Swiss Re Insurance-Linked Fund Management

Xactanalysis Insights and PCS

New Successor X Ltd. catastrophe bonds marketing for Swiss Re


Swiss Re is bringing to market two new tranches of catastrophe bond notes under it’s Successor X Ltd. SPV. Earlier this year Swiss Re issued $120m worth of notes through Successor X Ltd. to provide them with cover for a portion of their U.S. hurricane, European windstorm, California earthquake and Japanese earthquake risks.

This new Successor X Ltd. issuance is as yet unsized but is designed to provide Swiss Re with cover on a per-occurrence basis for certain of their North Atlantic U.S. hurricane, California earthquake and Australia earthquake risks until December 2013. We believe this is only the second time Australian earthquake risks have been covered in an insurance-linked security transaction.

The two tranches in this Series 2011-1 deal are Class III-R3 and Class III-S3 and Standard & Poor’s have given both a preliminary rating of ‘B-‘. The notes will be exposed to U.S. hurricanes in certain U.S. states (in the Gulf, mid-Atlantic, northeast, south east and Florida) and Puerto Rico along with the California and Australia earthquake risk.

This deal will use highly rated International Bank for Reconstruction and Development and U.S. Treasury Money Market Fund notes as investment collateral.

EQECAT are providing the risk modelling services for this cat bond transaction. They will calculate index values post-event for each of the perils. For U.S. hurricane they will use actual wind track data from the U.S. NOAA to create the index. For U.S. earthquake data of location, shock and fire-following from the USGS will be used, and for Australian earthquake data based on magnitude, depth and location from Geoscience Australia will be used.

Investors will be happy to see another multi-peril catastrophe bond coming to market, particularly one including risks in Australia (as it’s a great diversification opportunity). The cat bond market is really picking up as we reach year end, the test will be whether that continues into the first quarter of 2011.

As ever this deal will be added to our Deal Directory and we’ll update you as it comes to market and more details emerge.

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