Nathan Ltd.

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Nathan Ltd. - At a glance:

• Issuer / SPV: Nathan Ltd.
• Cedent / Sponsor: Munich Re
• Placement / structuring agent/s: The deal was structured and arranged by Munich Re. JP Morgan acted as the placement agent.
• Risk modelling / calculation agents etc: ?
• Risks / Perils covered: Extreme mortality
• Size: $100m
• Trigger type: Mortality index
• Ratings: ?
• Date of issue: Feb 2008

Nathan Ltd. - Full details

Munich Re has established a bond programme amounting to US$ 1.5bn for the transfer of extreme mortality risk to the capital markets.

The first five-year series of US$ 100m of Principal-At-Risk Variable Rate Notes issued by Nathan Ltd. (“Nathan”) has now been successfully priced at LIBOR plus 1.35%.

The programme is designed to protect Munich Re against large losses deriving from an exceptional rise in mortality rates after major pandemics or similar events across the United States, Canada, England and Wales, and Germany.