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NEW SECURITISATION DEAL REVEALED AS REINSURERS MEET IN BADEN BADEN
Wednesday 27 October 2010
Author: Russell Group
 

While much of the talk at the annual Baden Baden Reinsurance meeting focused on price and discipline Swiss Re announced a placement of a new mortality risk securitisation.

The reinsurer revealed the transfer of $175 million of extreme mortality risk to the capital markets through the Vita securitization programme.

It is the third time in the past 12 months that Swiss Re has successfullysecuritized extreme mortality risk under its latest Vita Capital IV Ltd. programme (Vita IV), with a total of $125 million issued in Series I and II in November 2009 and May 2010.

Swiss Re's Head of Global Life & Health Risk Transformation, Alison Mckie, explained: "The Vita programme provides very efficient risk protection and capital relief, enabling us to provide more client solutions."

Under the transactions, Swiss Re may receive payments from Vita IV of up to $100 million in the event of extreme population mortality in the U.S. or Japan and up to $75 million in the event of extreme population mortality in Canada or Germany.

Vita IV, in turn, has issued two new series of notes, Series III and IV notes, to the capital markets, each of which is linked to extreme mortality risk in the respective covered areas. Both series of notes mature in 2015 and are rated BB+ by Standard & Poor's.

"While Series I and II provided coverage in the UK and U.S., the latest issuance of Vita IV notes broadens the coverage by including additional countries, reflecting Swiss Re's global mortality business," added Ms Mckie.

Swiss Re has a history of periodically securitizing its life risks, obtaining over $1.5 billion in extreme mortality risk protection from its Vita programmes.

Swiss Re Capital Markets acted as sole manager and bookrunner on the notes issuance. Collateral for the new Series of Vita IV notes consists of securities issued by the International Bank for Reconstruction and Development.