Green Fields Capital Ltd. (Series 2011-1)

Green Fields Capital Ltd. is an SPV domiciled in Ireland. It’s issuing a €75m (US$98m) single tranche of Series 2011-1 notes for Swiss Re and is designed to provide them with protection on a per-occurrence basis against French windstorm until December 2014. This deal will give Swiss Re a source of industry loss cover for reinsurance provided to Groupama. It will run over four European wind seasons from January 1st 2011 to December 31st 2014.

The deal will be exposed to French windstorms throughout mainland France and Corsica. PERILS are being used for reporting purposes and RMS as calculation agent will determine whether there has been a loss after an event and create the index values from PERILS industry loss data. Events above an index value of €620m will be covered, with an exhaustion point of €718m. RMS has developed a French windstorm index formula which will work as a proxy for potential losses between the reinsurance agreement between Swiss Re and Groupama.

Collateral for this transaction will be invested in European Bank for Reconstruction and Development (a highly rated entity) floating-rate notes.