Vega Capital Ltd. (Series 2010-I)

The Artemis Catastrophe Bond and Insurance-linked Securities Deal Directory aims to provide a one-stop resource for information on every cat bond and ILS transaction we hold information on. The content of this Deal Directory is provided as is and there will be some omissions. Help us to keep these cat bond and ILS transaction summaries up to date by contacting us if you see an error or omission that you can correct.

Vega Capital Ltd. (Series 2010-I) - At a glance:

• Issuer / SPV: Vega Capital Ltd. (Series 2010-I)
• Cedent / Sponsor: Swiss Re
• Placement / structuring agent/s: Swiss Re Capital Markets are arranging the deal
• Risk modelling / calculation agents etc: EQECAT
• Risks / Perils covered: U.S. hurricane, U.S. earthquake, European windstorm, Japan typhoon, Japan earthquake
• Size: $106.5m
• Trigger type: Multiple trigger types
• Ratings: Moody's: Class C - 'Ba3'
• Date of issue: Dec 2010
• Artemis.bm news coverage: Articles discussing Vega Capital Ltd. (Series 2010-I) from Artemis.bm

Vega Capital Ltd. (Series 2010-I) - Full details

Swiss Re has issued two new tranches of notes under its Vega Capital Ltd. Cayman Islands SPV. The new transaction replicates the 2008 Vega Capital deal and will provides them with another $106.5m of cover against accumulated losses.

The structure of the transaction affords investors more protection than some other cat bonds due to the unique use of a reserve account to add an extra layer of protection.

Swiss Re said ‘An aggregate annual limit per peril combined with tranching of the Notes in order of seniority allows Swiss Re to reach investors targeting different risk/return profiles and provide investors with a diversifying multi-trigger event.’

The deal provides Swiss Re with cover for some of their U.S. hurricane, European windstorm, Californian earthquake, Japanese earthquake and Japanese typhoon risks.

The index triggers used for the various perils are: North Atlantic hurricane – PCS industry loss index, European windstorm – PERILS industry loss index, California earthquake – Parametric index, Japan earthquake – Parametric index and Japan typhoon – Parametric index.

The collateral from the notes was used to buy AAA rated puttable notes issued by the International Bank of Reconstruction and Development.

This new Vega Capital issuance is in two tranches; $63.9m of Series 2010-I Class C notes which Moody’s rated ‘Ba3’, and $42,6m of Series 2010-I Class D notes which weren’t rated. Both tranches of notes mature in three years in December 2013.