Horse Capital I DAC is an innovative ILS transaction designed exclusively to protect the motor third party liability (‘MTPL’) loss ratio of a portfolio of subsidiaries of Generali in Europe on a combined basis.
The transaction, which was completed on December 19, and is in place to June 2020, was well received by investors, with each of the three proposed tranches upsized from EUR 60m to EUR 85m.
Horse Capital I DAC provides Generali with EUR 255m of three-year, fully-collateralized protection against a deterioration of the loss ratio of Generali Group’s MTPL portfolio as calculated on an annual ultimate loss basis for twelve of its core subsidiaries (in aggregate) located in seven countries in Europe. This will allow Generali to better manage the volatility of its loss ratio and solvency ratio on one of its core lines of business.
Bill Dubinsky, Head of ILS at Willis Capital Markets & Advisory, said: “From the onset, we believed that capital markets investors were well placed to support this type of risk (i.e. MTPL loss ratio). By structuring the transaction to meet the requirements of investors for transparency as well as the robustness of payment mechanics, we achieved an efficient and effective hedge for Generali supported by a broad panel of investors.”
“Through this transaction, Generali opens the door to substantial opportunities with innovative ILS risks for both investors and potential sponsors going forward.”
Tony Melia, CEO of Willis Re International, said: “We are very pleased that Generali, one of the leading insurers globally, brought this exciting transaction to market. It demonstrates Generali's ability to optimise its usage of reinsurance and other risk mitigation techniques to support the achievement of key financial objectives.”
“With the implementation of Solvency II we are seeing increasing interest from leading insurance groups to work with Willis Towers Watson to structure innovative covers that meet their specific needs”.
Rafal Walkiewicz, CEO of Willis Capital Markets & Advisory, said: “In recent years we have faced unprecedented growth in natural catastrophe cat bonds issuance but innovation outside of nat-cat risk has been slow. Willis Capital Markets & Advisory prides itself on structuring innovative solutions to offer capital market investors the opportunity to buy directly into a full spectrum of insurance risk. Working side by side with our Willis Re colleagues we deliver new products that help our clients benefit from capital markets disruption of the traditional reinsurance market”.
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