Notes from innovative Generali ILS listed on BSX

The notes relating to the €225 million innovative insurance-linked security issued by Italian insurer Assicurazioni Generali have been listed on the Bermuda Stock Exchange (BSX).

The principal at-risk variable rate notes issued by Irish designated activity company Horse Capital I are due in June 2020. The deal comprises three tranches of notes, each worth €85 million.

The deal provides Generali with €225 million of protection against the deterioration of the loss ratio of its motor third party liability portfolio.

The protection covers 12 of its core subsidiaries (in aggregate) located in seven countries in Europe (Italy, Germany, France, Austria, Czech Republic, Spain and Switzerland) for three years and is calculated on an annual ultimate loss basis. This is the first time ILS has been used to cover a risk of this type.

Generali said the deal allows it to better manage the possible volatility of its loss ratio and its solvency ratio, while at the same time leaving its subsidiaries to act in accordance with their underwriting discipline and claims management best practice.

The deal enjoyed strong demand from investors and was upsized by more than 40 percent from the initially proposed €180 million on the back of this. Willis Capital Markets & Advisory was the sole structuring agent and joint bookrunner on the deal.