Successor X Ltd. (Series 2012-1) – Full details:
This is the sixth transaction under Swiss Re’s Cayman Islands domiciled SPV the Successor X programme.
Successor X Ltd. Series 2012-1 is seeking to issue three tranches of notes to secure additional multi-peril coverage for Swiss Re over a three year period.
The first tranche covers U.S. hurricanes. The second tranche covers U.S. hurricane and European windstorm risks. The third tranche covers U.S. hurricane, European windstorm and California earthquake risks.
All tranches are industry-loss based and provide coverage on a per-occurrence basis.
U.S. hurricane and California quake risks use a PCS industry-loss trigger while the European windstorm coverage uses a PERILS industry loss trigger.
Update: Just two tranches of Successor X 2012-1 notes have listed on the Cayman Islands stock exchange. We’re unsure whether the thrid tranche has completed or been dropped.
On the 27th January 2012 Successor X Ltd. listed a $40m tranche of Series 2012-1 Class V-D3 notes and a $23m tranche of Class V-AA3 notes. Both are due to mature in 2015 so provide three years of cover.
The Class V-D3 notes were marketed as PCS based U.S. hurricane notes, the Class V-AA3 notes were marketed as PCS U.S. hurricane and PERILS European windstorm notes.
The third tranche of Class V-AI3 notes which have not listed were designed to cover U.S. hurricane, European windstorm and California earthquake but have either failed to come to market or perhaps just not been listed on the exchange.