Vita Capital VI Limited (Series 2021-1)

The Artemis Catastrophe Bond and Insurance-linked Securities Deal Directory aims to provide a one-stop resource for information on every cat bond and ILS transaction we hold information on. The content of this Deal Directory is provided as is and there will be some omissions. Help us to keep these cat bond and ILS transaction summaries up to date by contacting us if you see an error or omission that you can correct.

Share

Vita Capital VI Limited (Series 2021-1) – At a glance:

  • Issuer: Vita Capital VI Limited
  • Cedent / sponsor: Swiss Re
  • Placement / structuring agent/s: Swiss Re Capital Markets is sole structuring agent and bookrunner
  • Risk modelling / calculation agents etc: RMS
  • Risks / perils covered: Extreme mortality
  • Size: $120m
  • Trigger type: Mortality index
  • Ratings: NR
  • Date of issue: Jul 2021

Vita Capital VI Limited (Series 2021-1) – Full details:

Global reinsurance firm Swiss Re has returned to the capital markets with the eighth extreme mortality catastrophe bond under its Vita Capital series of deals.

Swiss Re is aiming to secure capital markets backed protection for its life reinsurance business, with $75 million or more of extreme mortality protection the target.

According to our sources, this new Vita Capital mortality cat bond is particularly interesting as deaths due to COVID-19 are excluded for calendar year 2021 under the terms of the deal, but we’re told appear to be included and therefore covered for future years while the deal remains in-force.

Vita Capital VI Limited, a Cayman Islands based special purpose vehicle, will issue a single tranche of Class B notes, currently targeting $75 million of protection for Swiss Re.

The notes will be sold to investors and the proceeds used to collateralize a retro reinsurance arrangement between the special purpose issuance vehicle and Swiss Re itself.

The transaction will provide Swiss Re with excess (or extreme) mortality retrocessional reinsurance protection, based on a mortality index trigger.

As a result, the notes could be triggered by an extreme mortality event that raises the mortality index, which will be weighted by age and gender, above a predefined trigger point.

Meaning that the investors in these notes will be at risk of an increase in age and gender-weighted mortality rates, exceeding a specified percentage of the predefined index across the covered areas.

The covered areas are Australia, Canada, the UK and the United States, we’re told, which is an expansion on the last Vita Capital mortality cat bond from Swiss Re, which did not cover excess mortality in the US.

We understand the mortality retro reinsurance protection will run from the beginning of 2021 to the end of 2025, with the notes maturity slated for early 2026, so providing five years of coverage.

The $75 million of Series 2021-1 Class B notes to be issued by Vita Capital VI Ltd. are said to have an initial attachment probability of 1.06%, an initial exhaustion probability of 1.16% and an initial expected loss of 0.75%.

The notes are being marketed with a suggested coupon of 3%, we’re told.

Update 1:

Swiss Re is aiming to upsize its new Vita Capital VI Limited (Series 2021-1) mortality catastrophe bond transaction, with the target for the issuance now lifted to between $100 million and $125 million of extreme mortality protection, we’re told.

At the same time the pricing has not changed, with sources telling us the now larger offering of notes continue to come with a coupon of 3%.

Update 2:

Swiss Re eventually secured $120 million of excess mortality protection from its latest Vita Capital VI mortality cat bond transaction.

The $120 million of notes sold to investors priced at the marketed coupon level of 3%.

———————————————————————
Artemis Live - ILS and reinsurance video interviews and podcastView all of our Artemis Live video interviews and subscribe to our podcast.

All of our Artemis Live insurance-linked securities (ILS), catastrophe bonds and reinsurance video content and video interviews can be accessed online.

Our Artemis Live podcast can be subscribed to using the typical podcast services providers, including Apple, Google, Spotify and more.

Print Friendly, PDF & Email

« Go back to the Catastrophe Bond Deal Directory

Help us keep this valuable resource up to date. If you have information on a catastrophe bond or insurance-linked security deal we have not covered or can see something that we should change, please contact us to let us know.