Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Successor X Ltd. (Series 2011-2)

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Successor X Ltd. (Series 2011-2) – At a glance:

  • Issuer: Successor X Ltd. (Series 2011-2)
  • Cedent / sponsor: Swiss Re
  • Placement / structuring agent/s: Swiss Re Capital Markets are arranging the deal
  • Risk modelling / calculation agents etc: EQECAT
  • Risks / perils covered: U.S. hurricane, U.S. earthquake
  • Size: $305m
  • Trigger type: Industry loss index
  • Ratings: S&P: Class IV-E3 'B'
  • Date of issue: Feb 2011
  • news coverage: Articles discussing Successor X Ltd. (Series 2011-2) from

Successor X Ltd. (Series 2011-2) – Full details:

Successor X Ltd. Series 2011-2 is the fourth under Swiss Re’s Successor X program of deals.

This series of cat bond notes provides Swiss Re with protection on a per-occurrence basis for North Atlantic hurricane risks in certain U.S. states and Puerto Rico and major earthquake risk in California.

The cover will run for three years and is expected to mature in February 2014 (with room to extend by up to 24 months for losses to develop and be calculated.

Successor X 2011-2 features an industry-loss index based on actual losses reported by Property Claims Services (PCS) for North Atlantic hurricane. California earthquake risk uses a parametric trigger based on residential, commercial, and fire-following losses and includes one-second spectral acceleration data from the USGS.

Collateral will be invested in International Bank for Reconstruction and Development putable notes.

Two tranches of notes were issued. The first tranche of $165m of Class IV-E3 notes was rated ‘B’ by Standard & Poor’s. The second tranche of $140m of Class IV-AL3 notes was not rated.

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