Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Green Fields Capital Ltd. catastrophe bond being marketed by Swiss Re


Yet another catastrophe bond is coming to market in this busy last quarter of 2010. The pipeline has almost never been so full with such a range of deals and risks. This latest cat bond, Green Fields Capital Ltd., is being issued on behalf of Swiss Re to provide them with cover for some of the reinsurance they provide Groupama.

Green Fields Capital Ltd. is an SPV domiciled in Ireland. It’s issuing a €75m single tranche of Series 2011-1 notes for Swiss Re and is designed to provide them with protection on a per-occurrence basis against French windstorm until December 2014. As mentioned above, this deal will give Swiss Re a source of industry loss cover for reinsurance provided to Groupama. It will run over four European wind seasons from January 1st 2011 to December 31st 2014.

The deal will be exposed to French windstorms throughout mainland France and Corsica. It’s interesting to see a deal cover just France for European windstorm, often they cover multiple countries in Europe. PERILS are being used for reporting purposes and Risk Management Solutions (RMS) as calculation agent will determine whether there has been a loss after an event and create the index values from PERILS industry loss data. Events above an index value of €620m will be covered, with an exhaustion point of €718m. RMS has developed a French windstorm index formula which will work as a proxy for potential losses between the reinsurance agreement between Swiss Re and Groupama.

Collateral for this transaction will be invested in European Bank for Reconstruction and Development (a highly rated entity) floating-rate notes. Standard & Poor’s have given the single tranche of notes a preliminary rating of ‘BB+’.

It’s encouraging to see the rate with which new transactions are coming to market at the moment. We’ve added the details of the Green Fields Capital Ltd. transaction to our catastrophe bond deal directory and will update you as this deal comes to market.

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