Mythen Re Ltd. (Series 2013-1)

With this new cat bond Swiss Re is looking to secure a source of fully-collateralized retrocessional reinsurance protection over what we understand to be a two-year risk period. The transaction will see a single tranche of Class B-1 notes issued and the deal is currently being marketed as $75m in size.

The cat bond will provide Atlantic hurricane protection for all the usual hurricane exposed U.S. coastal states from the Gulf coast round to the north-east. Protection will be on a per-occurrence basis and the cat bond will feature a PCSindustry loss index trigger. We’re told that the deal covers both personal and commercial property industry losses reported by PCS.

We’re told that the PCS index attachment level for the deal is 513.5, the exhaustion level is 624.8 and that the attachment probability is 3.18%, while the exhaustion probability is 2.21%. The notes will have an expected loss of 2.63% and we’re told will offer investors a coupon of 8% to 8.25%.

Update: At pricing this deal had increased in size by 33% to $100m and the pricing had dropped to the lower end of the marketed range at 8%.