Successor X Ltd. (Series 2010-1) – Full details:
This Series 2010-1 Successor X three tranche transaction is designed to protect Swiss Re from U.S. hurricane, European windstorm, California and Japan earthquake risks for three years.
The size of the deal is still to be confirmed. It is due to run from March 2010 to March 2013 with final maturity sometime in March 2015.
The contract provides protection on a per-occurrence basis and can be extended for up to 24 months for losses to develop.
The notes cover Swiss Re for U.S. hurricanes in all hurricane prone areas and also Puerto Rico. European windstorm cover is for Belgium, Denmark, France (mainland only), Germany, Ireland, Luxembourg, Netherlands, Switzerland and the UK.
Swiss Re have chosen to use PERILS AG (the joint venture set up to aggregate and distribute European catastrophe loss data) as reporting agency for the European windstorm component of the deal. This is the first time PERILS have been involved in a catastrophe bond transaction.
Collateral is being invested in direct U.S. government obligations with a Standard & Poor’s stability rating of at least ‘AAAm-G’. These highly rated secure assets have a much lower chance of default.
The deal uses a modelled loss trigger for the U.S. hurricane component. However for the European windstorm component an industry loss trigger is used based on insured exposure and payout factors by region and estimated by PERILS. U.S quake and Japan quake risks are based on parametric index triggers.