Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Second Green Valley Ltd. catastrophe bond to be issued


Swiss Re are bringing to market a second catastrophe bond under the Green Valley Ltd. Cayman Islands domiciled special purpose vehicle on behalf of French insurer Groupama. The transaction which comprises €100m of insurance-linked securities is expected to be completed within the next two weeks.

Green Valley Ltd. issued its first insurance-linked security notes in 2007 for Groupama, that transaction expires in January 2011 making way for this new deal which will provide a level of cover in its place. This Series 2 issuance 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.

This Green Valley Ltd. 2010 cat bond is providing cover solely for French windstorm risks making it the first Euro wind transaction of 2010 and hence extremely attractive to investors at this time as a chance to diversify their portfolio. Investor demand is said to be high for this deal and there could be chance of its size increasing should that option be attractive to the sponsors.

The transaction is destined to run over 1.45 European wind seasons which equals approximately 15 months. The Green Valley transaction will provide cover to Swiss Re against losses suffered between Oct. 1, 2010, and Dec. 31, 2011 and will therefore mature in January 2012.

Standard & Poor’s have given the single tranche of class A series 2 notes a preliminary rating of ‘BB+’.

There are more details on this cat bond transaction in our Deal Directory.

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