Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Akibare II Ltd.

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Akibare II Ltd. – At a glance:

  • Issuer: Akibare II Ltd.
  • Cedent / sponsor: Mitsui Sumitomo Insurance Co. Ltd.
  • Placement / structuring agent/s: Swiss Re Capital Markets are structuring agent and bookrunner. GC Securities are co-manager
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: Japan typhoon (wind & flood losses)
  • Size: $130m
  • Trigger type: Modelled loss
  • Ratings: S&P: Class A - 'BB'
  • Date of issue: Apr 2012
  • news coverage: Articles discussing Akibare II Ltd. from

Akibare II Ltd. – Full details:

Akibare II Ltd. is a Cayman Islands domiciled SPV and variable rate note program established for issuing catastrophe bond notes.

This first issuance from Akibare II Ltd. will see a single tranche of Series 2012-1 Class A notes issued, sized during marketing at $90m, with the aim of providing cover for Japanese typhoon risks.

The sponsor is Swiss Re but the ultimate cedant and beneficiary of the cat bond transaction is Mitsui Sumitomo Insurance Co. Ltd.

The notes issued by Akibare II will be exposed to Japanese typhoons and tropical storms (including wind and flood losses) over a four-year period until the end of March 2016.

The transaction will provide fully collateralized multi-year protection to Swiss Re, the risk transfer contract counterparty and ultimately to Mitsui Sumitomo. Residential, commercial and industrial line of business losses are included.

The exposure for this cat bond will be at its peak in the summer months of July through October when the Japanese typhoon season is at its peak. Tokyo as the largest urban area of Japan contributes 16% exposure to the modelled portfolio of risk.

The Akibare II deal uses a modelled loss trigger and the single tranche comprising $90m Series 2012-1 Class A notes will have an index value attachment point of 1180 and an exhaustion point of 1830.

After an event, AIR Worldwide will gather event parameters from the following reporting agencies; Japan Meteorological Agency, Regional and Mesoscale Meteorology Branch, and the Tropical Rainfall Measuring Mission. Parameters such as location, central pressure and precipitation data will be used to create a map of the area impacted by a typhoon. This information will be run though AIR’s model against a notional portfolio to establish a modelled notional loss. Based on the modelled notional loss figure, AIR will calculate an event percentage, an index value and any corresponding event payment amount. The notional portfolio can be reset annually along with the scaling factors.

The collateral from the sale of the notes will be deposited in a collateral account and invested in U.S. Treasury money market funds.

Update: At pricing this deal had upsized the single tranche of notes to $130m. It will pay a coupon of TMMF + 3.75% which is slightly above the expected range it was thought it would price at.

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