Vita Capital IV Ltd.

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Vita Capital IV Ltd. - At a glance:

• Issuer / SPV: Vita Capital IV Ltd.
• Cedent / Sponsor: Swiss Re
• Placement / structuring agent/s: Swiss Re arranged this deal
• Risk modelling / calculation agents etc: RMS
• Risks / Perils covered: Extreme mortality
• Size: $175m
• Trigger type: Mortality index
• Ratings: S&P: 'BB+'
• Date of issue: Oct 2010
• Artemis.bm news coverage: Articles discussing Vita Capital IV Ltd. from Artemis.bm

Vita Capital IV Ltd. - Full details

These two series of notes will add to the two series Swiss Re issued through Vita Capital IV in the last twelve months.

The $100m series III Class E notes will be exposed to increases in age and gender weighted mortality rates which exceed a predefined index point (mortality index value) in the U.S. and Japan.

The $75m series IV Class E notes will be exposed to increases in age and gender weighted mortality rates which exceed a predefined index point (mortality index value) in Germany and Canada.

Collateral for the transaction will be invested in securities issued by the International Bank for Reconstruction and Development (IBRD) which are rated ‘AAA’ which is the same collateral arrangements as the series II Vita Capital IV Ltd. notes issued by Swiss Re last year.

This transaction will provide Swiss Re with further protection against events which could cause mass mortality such as pandemics, epidemics, war, natural and man-made catastrophes and even terrorist attacks.

For the notes to be triggered there needs to be a large jump in mortality rates in one of the covered countries. For the series III notes to be triggered, the reference mortality index would need to jump by over 5% for the U.S. and by at least 7.5% for Japan over any two consecutive-year measurement periods during the covered period. For the series IV notes , the reference mortality indices would have to increase by at least 10% for Germany and 11.5% for Canada.

Risk Management Solutions performed the risk modelling for this transaction using a range of their models including terrorism, disaster and infectious disease models.

The transaction provides Swiss Re with risk protection through to the last quarter of 2014.