Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Vega Capital Ltd. (Series 2010-I)

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Vega Capital Ltd. (Series 2010-I) – At a glance:

  • Issuer: Vega Capital Ltd. (Series 2010-I)
  • 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, European windstorm, Japan typhoon, Japan earthquake
  • Size: $106.5m
  • Trigger type: Multiple trigger types
  • Ratings: Moody's: Class C - 'Ba2'
  • Date of issue: Dec 2010
  • news coverage: Articles discussing Vega Capital Ltd. (Series 2010-I) from

Vega Capital Ltd. (Series 2010-I) – Full details:

Swiss Re has issued two new tranches of notes under its Vega Capital Ltd. Cayman Islands SPV. The new transaction replicates the 2008 Vega Capital deal and will provides them with another $106.5m of cover against accumulated losses.

The structure of the transaction affords investors more protection than some other cat bonds due to the unique use of a reserve account to add an extra layer of protection.

Swiss Re said ‘An aggregate annual limit per peril combined with tranching of the Notes in order of seniority allows Swiss Re to reach investors targeting different risk/return profiles and provide investors with a diversifying multi-trigger event.’

The deal provides Swiss Re with cover for some of their U.S. hurricane, European windstorm, Californian earthquake, Japanese earthquake and Japanese typhoon risks.

The index triggers used for the various perils are: North Atlantic hurricane – PCS industry loss index, European windstorm – PERILS industry loss index, California earthquake – Parametric index, Japan earthquake – Parametric index and Japan typhoon – Parametric index.

The collateral from the notes was used to buy AAA rated puttable notes issued by the International Bank of Reconstruction and Development.

This new Vega Capital issuance is in two tranches; $63.9m of Series 2010-I Class C notes which Moody’s rated ‘Ba3’, and $42.6m of Series 2010-I Class D notes which weren’t rated. Both tranches of notes mature in three years in December 2013.


The Class D tranche of notes were impacted by the Japanese earthquake in March 2011. The notes themselves did not lose any principle but the reserve account was depleted by $16m.

Update 2:

The Class C notes were upgraded to Ba2 in February 2012 due to an improved reserve account position and a reduced remaining term.

Update 3:

The Class C notes were upgraded again in March 2013 due to an improved and increased level of protection in the reserve account and a shortening of the remaining risk period.

The reserve account faced a $7.2m loss from hurricane Sandy and a $15.9m loss due to the Tohoku earthquake, but at March 2013 the reserve account had actually increased due to the regular payments Swiss Re makes into it.

The reserve account stood at $42m in March 2013. Also, ratings agency Moody’s said that covered events from more than one of the covered perils would be required for the Class C notes to face a loss before their maturity in December 2013.

Moody’s upgraded the Class C notes to ‘Baa3’.

Update on loss:

The Class D tranche of notes were impacted by the Japanese earthquake in March 2011. The notes themselves did not lose any principle but the reserve account was depleted by $15.9m.

The Class D tranche of notes were impacted by hurricane Sandy in 2012. The notes themselves did not lose any principle but the reserve account was depleted by $7.2m.

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