Swiss Re’s latest catastrophe bond transaction has now completed successfully. The deal saw their new Cayman Islands domiciled issuer Mythen Ltd. secure $400m of fully collateralized industry loss based per-occurrence coverage for first and second event U.S. hurricanes and European windstorms. As we revealed last week, Mythen Ltd. more than doubled from its target size of $150m during marketing to complete at $400m. Mythen Ltd. is seen as the follow-up vehicle to Swiss Re’s Successor cat bond programs.
Mythen Ltd. features three tranches of notes, targeting multi-peril per-occurrence coverage for first and second event U.S. hurricanes and European windstorms. All cover from each tranche of notes is on an industry loss basis using PCS for U.S. wind and PERILS for European windstorms. The Class A notes provide cover for U.S. hurricanes on a per-occurrence basis, with an attachment point of 830 and an exhaustion point of 1,085. This tranche provides first event cover. The Class E tranche of notes provide cover for second and subsequent event U.S. hurricanes on a per-occurrence basis, with an activation point of 182, an attachment point of 161 and an exhaustion point of 200. The Class E notes need two hurricanes to occur, and qualify as events, for any losses to occur. The Class H tranche of notes are multi-peril and cover European windstorms on a first event per-occurrence basis, with an attachment point of 594 and an exhaustion point of 759. They also cover second and subsequent event U.S. hurricanes on a per-occurrence basis. An interesting structural mix.
Mythen Ltd. was rated by Moody’s and they have affirmed ratings for each of the three tranches of notes as follows. The $50m Series 2012-1 Class A notes received a rating of Ba3. The $100m Series 2012-1 Class E notes were also rated Ba3. The $250m Series 2012-1 Class H notes have been rated B2.
The Class A and Class E notes both priced at the top of the expected range paying coupons of 8.5% and 8% respectively. The Class H notes priced above the expected range by over 1%, completing with a coupon to investors of 11%.
The Mythen Ltd. programme and three tranches of notes have all been approved for listing and admitted to the Cayman Islands Stock Exchange.