Lion Re DAC (Series 2025-1)

Italian headquartered insurance giant Assicurazioni Generali S.p.A. has returned to the catastrophe bond market for what will become its fifth cat bond transaction and the fourth to bear the Lion name.

This is also the second catastrophe bond from the sponsor to have specific green features, as the company continues to utilise its green, social & sustainable insurance-linked securities (ILS) framework.

We’re told that Generali has established a new designated activity company in Ireland for its latest catastrophe bond issuance, Lion Re DAC.

Lion Re DAC is looking to issue two tranches of Series 2025-1 notes that will be sold to investors and the proceeds used to collateralize reinsurance agreements for sponsor Generali.

The notes are designed to provide Generali with a four year source of collateralized reinsurance protection against losses from windstorms across Europe and earthquakes in Italy, the same perils as the soon to mature Lion III Re deal.

The reinsurance protection will be on an indemnity trigger and per-occurrence basis for both of the tranches of notes, we understand.

Lion Re DAC is offering a EUR 125 million Class A tranche of Series 2025-1 notes that will provide Generali with both European windstorm and Italy quake protection, with windstorm coverage attaching at EUR 900m and exhausting at EUR 1.1bn, while earthquake protection would attach at EUR 600m and exhaust at EUR 800m, we are told.

As a result, the Class A notes will have an initial attachment probability of 3.64%, an initial expected loss of 3% and are being offered to cat bond investors with price guidance in a range from a spread of 5.5% to 6.25%.

A EUR 75 million Class B tranche of notes will provide Generali with only Italy earthquake protection, attaching slightly lower down at EUR 400m and exhausting coverage at EUR 500m, we are told.

The Class B notes will have an initial attachment probability of 2.64%, an initial expected loss of 2.33% and are being offered to cat bond investors with price guidance in a range from a spread of 5.25% to 6%, sources said.

For comparison, the soon to mature Lion III Re cat bond featured a single tranche of notes exposed to both perils and had an initial expected loss of 2.99% and priced to pay investors a spread of 3.5%.

Under the terms of Generali’s Green, Social and Sustainability Insurance-linked Securities Framework, the new Lion Re DAC cat bond will free up an amount of the insurers own capital equal to its limit which will then be allocated to eligible projects by the company. While the collateral will be invested in EBRD notes. The insurer will also report on the allocation of the freed up capital and the project benefits derived from that, we understand.

Update 1:

Generali secured the targeted EUR 200 million of reinsurance protection from this renewal of its Lion Re “green catastrophe bond.”

The EUR 125 million Class A tranche of Lion Re DAC Series 2025-1 notes were priced for a risk interest spread of 5.5% to be paid to investors, so at the low-end of the initial range.

The EUR 75 million Class B tranche of Lion Re DAC Series 2025-1 notes were priced to pay investors a spread of 6%, so at the upper-end of the initial guidance range.