UnipolSai’s Azzurro Re II 2024 quake cat bond price rises to top-end

In what might be viewed as another sign of a more balanced supply-demand dynamic in the catastrophe bond market, the latest deal from UnipolSai Assicurazioni S.p.A. has remained at €100 million in size, but the pricing for the Azzurro Re II DAC (Series 2024-1) cat bond notes has been lifted to the top-end of initial guidance.

Italian primary insurance company UnipolSai returned to the catastrophe bond market at the end of February, with a target to secure €100 million in earthquake catastrophe reinsurance protection focused on its exposures in Italy.

The issuance remains at that size, we understand, so the issuance is on-track to secure the targeted four years of indemnity trigger and per-occurrence based reinsurance from the capital markets, to cover some of UnipolSai’s claims related to earthquakes impacting Italy and neighbouring countries, but with the covered subject business and so exposure base predominantly within the insurer’s home country of Italy.

However, in what is at least partly another signal of the balancing out of supply and demand in the cat bond market, as the pipeline has grown sufficiently to absorb a lot of the cash in the market, the price guidance for these notes has been lifted and fixed at the upper-end.

The €100 million of Series 2024-1 Class A notes that will be issued by Azzurro Re II DAC come with an initial expected loss of 2.46% and were first offered to cat bond investors with coupon guidance in a range from 5.75% to 6.5%.

But, we’re now told by sources that the price guidance has been updated to 6.5%, so fixed at the top-end of the initial range of spreads that was offered.

Which shows cat bond investors demanding a higher-level of spread for the risk, despite this being considered a diversifying peril.

As the cat bond market pipeline has built out into the second-quarter, fund managers expectations for use of cash have increased significantly, so the trend of ever decreasing prices may be behind us, for some perils at least, with minimum spread requirements increasingly likely to be enforced, it now seems.

You can read all about this Azzurro Re II DAC (Series 2024-1) catastrophe bond from UnipolSai and every other cat bond transaction in our extensive Artemis Deal Directory.