The bond issuance is the first time hurricane and mortality risks have been combined into a bond offering.
The issuance is comprised of two tranches of notes. The USD 120 million Class A notes, rated B+ by S&P, combine PCS North Atlantic hurricane risk with UK extreme mortality risk. The second tranche, rated B- by S&P, provides USD 80 million in protection for North Atlantic hurricane risk.
Martin Bisping, Head Non-Life Risk Transformation, at Swiss Re says: "The combination of hurricane and mortality risk is a significant innovation in the ILS market. This innovation has provided Swiss Re with an efficient way of bringing risks to the capital markets, in a new combination that we believe is attractive to investors."
The Class A tranche covers extreme mortality in the UK and complements the list of countries covered by Swiss Re’s previously placed Vita programmes. The notes will run until the end of 2016, giving Swiss Re 5 years of protection for the life risk and 4 years for the non-life risk.
Matthias Weber, Swiss Re’s Group Chief Underwriting Officer, says: "Swiss Re’s innovative multi-peril bond has met strong investor interest which reflects the continued growing trust in Insurance-Linked Securities. ILS remains a key part of Swiss Re’s Life and Non-life risk transformation strategy."
The notes were placed through Swiss Re’s newly created SPRV Mythen Re Ltd. The private placement closed on 5 November 2012.
