Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

New Mythen Re 2013 catastrophe bond from Swiss Re launches


Reinsurer Swiss Re has launched another catastrophe bond transaction under the Mythen name we understand. Mythen Re Ltd. (Series 2013-1) is the third deal to carry the Mythen name and the second under the Mythen Re vehicle, so-called because of the reinsurers head-office location on Mythenquai in Zurich. The 2013 deal sees Swiss Re looking for Atlantic hurricane protection.

With this new cat bond Swiss Re is looking to secure a source of fully-collateralized retrocessional reinsurance protection over what we understand to be a two-year risk period. The transaction will see a single tranche of Class B-1 notes issued and the deal is currently being marketed as $75m in size.

The cat bond will provide Atlantic hurricane protection for all the usual hurricane exposed U.S. coastal states from the Gulf coast round to the north-east. Protection will be on a per-occurrence basis and the cat bond will feature a PCS industry loss index trigger. We’re told that the deal covers both personal and commercial property industry losses reported by PCS.

We’re told that the PCS index attachment level for the deal is 513.5, the exhaustion level is 624.8 and that the attachment probability is 3.18%, while the exhaustion probability is 2.21%. The notes will have an expected loss of 2.63% and we’re told will offer investors a coupon of 8% to 8.25%.

We understand that this deal is being brought to market rapidly by Swiss Re, with Swiss Re Capital Markets acting as sole bookrunner, it began marketing today and is expected to price later this week and settle next week. That would be an extremely short roadshow for a cat bond, perhaps another factor to demonstrate the maturing ILS investor landscape. AIR Worldwide are providing risk modelling services. We understand that this transaction will not be rated.

That’s all the detail we have on this cat bond for now. We have added Mythen Re Ltd. (Series 2013-1) to our Deal Directory and will keep you updated as and when we hear that the cat bond has completed.

You can read about the earlier Mythen catastrophe bonds here:

Mythen Ltd. (Series 2012-1)

Mythen Re Ltd. (Series 2012-2)

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