Swiss Re Insurance-Linked Fund Management

Xactanalysis Insights and PCS

ALPS Capital II embedded value life ILS under review for possible upgrade


The notes issued by ALPS Capital II plc for an embedded value life insurance-linked securitization have been placed under review for a possible rating upgrade by Moody’s. Swiss Re sponsored the 2005 transaction which securitized future life profits of $370m by transferring closed block of life insurance policies risk to the capital markets to increase capital efficiency.

The deal issued four tranches of notes. Moody’s says the reason for the review for possible upgrade is due to the Series A notes, which only ran for 5 years, being paid in full. The Series B notes have been paid down by approx 47% since they were last assessed in 2008. The Series B, C and D notes are under review for upgrade while Moody’s assesses the impact of this.

Moody’s also note that the actuarial experience of the block of life insurance business has been better than expected, generating more cash than was originally projected.

This is positive for the embedded value securitisation market which has been in the doldrums since the financial markets crisis of a few years ago.

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