Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Vita Capital IV Ltd. (Series V and VI)

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Vita Capital IV Ltd. (Series V and VI) – At a glance:

  • Issuer: Vita Capital IV Ltd. (Series V and VI)
  • Cedent / sponsor: Swiss Re
  • Placement / structuring agent/s: Swiss Re are counterparty and deal arranger
  • Risk modelling / calculation agents etc: RMS
  • Risks / perils covered: Extreme mortality
  • Size: $180m
  • Trigger type: Mortality index
  • Ratings: S&P: Series V Class D - 'BBB-', Series VI Class E - 'BB+'
  • Date of issue: Jul 2011
  • news coverage: Articles discussing Vita Capital IV Ltd. (Series V and VI) from

Vita Capital IV Ltd. (Series V and VI) – Full details:

Swiss Re sought to issue $100m of mortality catastrophe-indexed notes through their Vita Capital IV Ltd. Cayman Islands domiciled SPV. Covered mortality events would include pandemics, epidemics, disasters, terrorist attacks etc.

The first $100m of Series V Class D notes provide cover against catastrophic mortality in Canada and Germany. The second $80m of Series VI Class E notes provide cover against catastrophic mortality events in Canada, Germany, the U.K. and the U.S. (including the District of Columbia but excluding Puerto Rico and overseas territories).

The notes are designed to provide Swiss Re with some protection against qualifying extreme mortality events affecting specified age and gender distributions in the covered countries.

The investors are at risk of an increase in age and gender-weighted mortality rates that exceed a specified percentage of a predefined index (the mortality index value; MIV) in the covered areas. The risk period for this transaction runs until 31st December 2015.

Standard & Poor’s explained; “The MIV will be defined on a rolling two-year period, and the probability of a loss attaching and the magnitude of the loss in principal will depend on the extent to which the MIV for any country and measurement period (that is, two consecutive years) exceeds the attachment point for the notes. Index values corresponding to future measurement periods will be measured against the index value for 2010 for all four covered countries. Adjustments will be applied for changes in mortality over the risk period.”

At the close of the transaction, Swiss Re entered into an ISDA standard swap contract with the issuer, exchanging payments for extreme mortality protection. The proceeds of the issuance will be invested in ‘AAA’ rated notes issued by the International Bank for Reconstruction and Development and placed in a collateral account. Coupon payments will be taken from the payments made under the ISDA contract and the investment earnings on the collateral which is held in trust.

This mortality cat bond started as a $100m transaction but by close had upsized to secure Swiss Re $180m of cover. The Series V Class D tranche doubled in size from $50m to $100m while the Series VI Class E notes upsized from $50m to $80m.

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