Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Green Valley Ltd. (Series 2)

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Green Valley Ltd. (Series 2) – At a glance:

  • Issuer: Green Valley Ltd. (Series 2)
  • Cedent / sponsor: Groupama
  • Placement / structuring agent/s: Swiss Re Capital Markets are arranging this deal. Swiss Re are counterparty and guarantor
  • Risk modelling / calculation agents etc: RMS are calculation and reset agent. METNEXT are reporting agent
  • Risks / perils covered: European windstorm
  • Size: $128m
  • Trigger type: Parametric index
  • Ratings: S&P: 'BB+'
  • Date of issue: Sep 2010
  • news coverage: Articles discussing Green Valley Ltd. (Series 2) from

Green Valley Ltd. (Series 2) – Full details:

Swiss Re are bringing to market a second cat bond under the Green Valley Ltd. Cayman Islands domiciled special purpose vehicle for French insurer Groupama. The transaction comprises €100m (US$128m) of insurance-linked securities.

This Series 2 deal provides Swiss Re, who act as a kind of transformer in this deal, with a source of parametric cover for reinsurance they provide Groupama.

The Green Valley Ltd. 2010 cat bond is providing cover solely for French windstorm risks making it the first Euro wind transaction of 2010.

The transaction is destined to run over 1.45 European wind seasons which equals approximately 15 months.

The Green Valley transaction will provide cover to Swiss Re, and ultimately Groupama, against losses suffered between Oct. 1st, 2010, and Dec. 31st, 2011 with maturity due on 10th January 2012.

The transaction can be extended in three-month increments by up to nine months beyond maturity, to allow for loss development and reporting.

Collateral is being invested in European Bank for Reconstruction and Development floating-rate notes which are highly rated.

The deal uses a parametric trigger and risk modeling is based on RMS’s Europe Windstorm Model. RMS have developed a France windstorm index against which potential losses will be weighted. Any loss must meet a certain point on the index to qualify as a triggering event.

The deal priced lower than expected at 350bp above a discounted Euribor rate.

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