Swiss Re Insurance-Linked Fund Management

Xactanalysis Insights and PCS

Vita Capital Ltd.

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Vita Capital Ltd. – At a glance:

  • Issuer: Vita Capital Ltd.
  • Cedent / sponsor: Swiss Re
  • Placement / structuring agent/s: Swiss Re Capital Markets Corp structured the deal.
  • Risk modelling / calculation agents etc: ?
  • Risks / perils covered: Extreme mortality
  • Size: $400m
  • Trigger type: Mortality index
  • Ratings: S&P: 'A+'
  • Date of issue: Dec 2003

Vita Capital Ltd. – Full details:

Swiss Reinsurance Co. has successfully sponsored its first ever insurance-linked security relating to life insurance risk, and has obtained $400 million of coverage from institutional investors.

As part of the transaction, Swiss Re entered into a financial arrangement with Vita Capital Ltd. to provide up to $400 million of payments to Swiss Re in certain extreme mortality risk scenarios. In turn, to fund potential payments under this arrangement, Vita Capital issued $400 million of principal at-risk variable rate notes.

The structure of the Vita Capital risk coverage is based on a combined mortality index similar to other index-based insurance-linked securities. The mortality index measures annual general population mortality in five select countries by applying predetermined weights to publicly-reported mortality data from each country. The principal of the Vita Capital notes will be at risk if, during any single calendar year in the risk coverage period, the combined mortality index exceeds 130% of its baseline 2002 level. The bond matures on Jan. 1, 2007.

The Vita Capital securities were rated “A+” by Standard & Poor’s and “A3” by Moody’s Investor Service.

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