Mythen Ltd. (Series 2012-1) – Full details:
Mythen Ltd. is a Cayman Islands SPV and shelf program, which Swiss Re are said to be using as a replacement for their Successor programs.
This first issuance from Mythen Ltd. will see them issue three tranches of notes, seeking multi-peril per-occurrence coverage for first and second event U.S. hurricanes and European windstorms. All cover is on an industry loss basis using PCS for U.S. wind and PERILS for European windstorms.
The Class A tranche of notes provide cover for U.S. hurricanes on a per-occurrence basis, using PCS reported industry losses as a trigger and an index with an attachment point of 830 and an exhaustion point of 1,085. This tranche would attach on a first event basis.
The Class E tranche of notes provide cover for second and subsequent event U.S. hurricanes on a per-occurrence basis, again using PCS reported losses as a trigger and an index with an activation point of 182, an attachment point of 161 and an exhaustion point of 200. The Class E notes need two hurricanes to occur, and qualify as events, for any losses to occur.
The Class H tranche of notes are multi-peril and cover European windstorms on a first event per-occurrence basis, using PERILS industry losses as a trigger and an index with an attachment point of 594 and an exhaustion point of 759. They also cover second and subsequent event U.S. hurricanes on a per-occurrence basis using PCS reported losses and an index with an activation point of 350, an attachment point of 329 and an exhaustion point of 376. So this tranche of notes need either one European windstorm or two U.S. hurricanes to qualify within a year for any losses to occur.
Collateral is to be invested in IBRD notes and each tranche will pay a coupon above their return.
Moody’s have assigned provisional ratings to each tranche of cat bond notes issued by Mythen Ltd. as follows. $50m Series 2012-1 Class A Principal At-Risk Variable Rate Notes due April, 2015, ‘Ba3’. $100m Series 2012-1 Class E Principal At-Risk Variable Rate Notes due April, 2015, ‘Ba3’. $250m Series 2012-1 Class H Principal At-Risk Variable Rate Notes due April, 2015, ‘B2’.
The Class A tranche of notes are expected to pay a coupon of 8.5%, Class E are expected to pay 8% and Class H are expected to pay 11%.
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