Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Successor X Ltd. (Series 2011-3)

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Successor X Ltd. (Series 2011-3) – At a glance:

  • Issuer: Successor X Ltd. (Series 2011-3)
  • Cedent / sponsor: Swiss Re
  • Placement / structuring agent/s: Swiss Re Capital Markets are arranging the deal
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S. hurricane, European windstorm
  • Size: $130m
  • Trigger type: Industry loss index
  • Ratings: S&P: Class V-X4 - 'B-', Class V-F4 - NR
  • Date of issue: Nov 2011
  • news coverage: Articles discussing Successor X Ltd. (Series 2011-3) from

Successor X Ltd. (Series 2011-3) – Full details:

Successor X Ltd. issued two Series 2011-3 tranches of cat bond notes. The first, a $50m tranche of Class V-X4 notes which are exposed to major U.S. hurricanes in selected states and European windstorms in certain countries. The notes have a term of four years from November 2011 until November 2015.

The second tranche of Class V-F4 notes started marketing at $50m but closed at $80m. It’s believed that the V-F4 tranche cover solely U.S. hurricane risks. This tranche of notes have the same tenure as the V-X4 tranche.

The deal provides Swiss Re with protection on a per-occurrence basis over the risk period for specified North Atlantic U.S. hurricane and Europe windstorm risks, with a possible extension in three-month increments of up to 24 months for loss development and reporting purposes.

European windstorm coverage is for Belgium, Denmark, France, Germany, Ireland, Luxembourg, the Netherlands, Norway, Sweden, Switzerland, and the UK.

Atlantic hurricane coverage is for certain Gulf, Mid-Atlantic, Northeast, Southeast U.S. states and Florida and Puerto Rico.

U.S. hurricane risks use a PCS industry loss index with predetermined payout factors and European windstorm risks use the PERILS AG industry loss index, again with predetermined payout factors.

The V-X4 notes will payout for an index value of higher than 612 to 830 for U.S. hurricanes and from 594 on a per-occurrence basis up to 759 for European windstorms.

The V-F4 notes payout for an index value higher than 226 and have an exhaustion point of an index value of 362.

Each year Swiss Re can have the payout factors reset if they want. There will be one mandatory reset on the 15th June 2013 to reset the industry exposure data.

Proceeds of the sale of the notes will be invested in highly rated Treasury money market funds.


The Class V-F4 notes issued in this deal are at risk of principal losses due to hurricane Sandy, which struck the U.S. northeast in October 2012. Current industry loss estimates of $18.75 billion put the index value very near to the trigger point according to sources.

Many sources appear to believe that this cat bond faced a $15 million loss of principal, but sponsor Swiss re confirmed to Artemis that this cat bond did not suffer a loss in the end.

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