Swiss Re has announced the creation of a new catastrophe bond the first of which that includes a reserve account to create further protection for thenoteholder.

The reinsurer has obtained $106.5 million in coverage against North Atlantic hurricane, European windstorm, Californian earthquake, Japanese earthquake and Japanese typhoon through a natural catastrophe protection programme named Vega Capital Ltd (Vega).

In its announcement Swiss Re said the deal means it is “securing three years' of natural catastrophe protection on both a multi-event and multi-peril basis through a second takedown under the Vega cat bond programme. Vega has a flexible structure that allows multiple issuances of securities at any time.”

Martin Bisping, Swiss Re Head of Non-Life Risk Transformation, says: "Vega allows Swiss Re to manage earnings volatility arising from peak natural catastrophe perils, over multiple events. It is an innovative cat bond that combines transparent indices for five different natural catastrophe scenarios with an efficient structure. Vega underscores our track record in product innovation, transforming high frequency cat events into capital markets."

Swiss Re added Vega is the first cat bond programme with a reserve account to enhance protection to noteholder principal.

“Investors chose between two risk layers, benefiting from enhanced index triggers and achieving diversification across five natural catastrophe risks in different regions of the world,” said the reinsurer.