Swiss Re’s latest transaction in the catastrophe bond market, Mythen Re Ltd. (Series 2012-2), has been given its preliminary ratings by S&P this morning. The novel cat bond deal is the first to bring a tranche of notes with exposure to both hurricane and mortality risk to market. Last week we wrote that one of the tranches of notes had been withdrawn from the offering but Swiss Re are going ahead with the other two, seeking a four-year source of U.S. hurricane and UK extreme mortality retrocessional reinsurance.
The Class A tranche of notes which will provide Swiss Re with a source of retrocessional protection for U.S. hurricanes and UK mortality risks has been given a preliminary rating of ‘B+’. These notes will raise $120m and priced at the bottom end of expectations at 8.50%. The Class A notes provide their cover on an aggregate basis.
The Class C tranche of notes, which are purely for U.S. hurricane risks, have received a preliminary rating of ‘B-‘. These notes raised $80m and again priced at the lower end of expectations at 11.75%. The Class B notes provide cover on a per-occurrence basis.
The cat bond will be exposed to U.S. hurricanes in selected U.S. states between November 2012 and November 2016 giving Swiss Re four full hurricane seasons of cover on both aggregate and per-occurrence basis. The class A notes are also exposed to mortality risk in England and Wales between January 2012 and December 2016.
This deal is due to close in a weeks time.
You can find much more detail on this transaction in our Deal Directory.