Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Green Valley Ltd. catastrophe bond closes


The second catastrophe bond to be issued by Green Valley Ltd. has successfully closed at its expected €100m. The transaction which has been marketed through September (and we wrote about previously here) closed today and runs until 10th January 2012.

This second Green Valley Ltd. insurance-linked security is designed to provide Swiss Re, who are acting as a kind of transformer in this deal, with a source of parametric cover for reinsurance that they provide to Groupama. The transactions notes are exposed to French windstorm risks alone which makes it the first Euro wind cat bond of 2010 and the deal runs for 15 months (which is 1.45 European wind seasons).

The deal priced lower than expected; during the marketing phase it was expected to price between 375-405 basis points above a discounted Euribor rate, it actually priced at 350bp. It’s said that the deal was oversubscribed by portfolio managers seeking an opportunity to diversify their catastrophe risks.

Standard & Poor’s confirmed its preliminary rating of BB+ today for the Class A Series 2 notes.

Further details about this transaction are available in the Deal Directory.

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