Swiss Re Insurance-Linked Fund Management

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Swiss Re announcement on completion of Green Valley Ltd. catastrophe bond


We’ve already covered the Green Valley Ltd. catastrophe bond in some detail on this blog (here and here) and it now resides in our catastrophe bond deal directory. Swiss Re, who issued and arranged the deal, have sent out a press release today announcing completion of the transaction which we felt worth posting for the quotes from Swiss Re and Groupama staff.

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Swiss Re places EUR 100 million of French windstorm risk on behalf of Groupama S.A. through Green Valley Ltd.; transaction marks a return of single-peril French windstorm issuances

Swiss Re Capital Markets has successfully structured and placed EUR 100 million of securities issued by Green Valley Ltd. (“Green Valley”) covering windstorm events in France. Green Valley is a special-purpose company incorporated under the laws of Cayman Islands. The transaction is sponsored by Swiss Re on behalf of Groupama S.A.

This is the second series of principal-at-risk variable-rate notes (“Notes”) issued by Green Valley. Proceeds of the issuance will serve to provide Swiss Re with a source of collateralised parametric index cover for a broader reinsurance agreement between Swiss Reinsurance Company and Groupama S.A. Swiss Re Capital Markets was the sole bookrunner for the offering.

“Groupama appreciates the success of this issuance, which complements Green Valley series 1 for the next 15 months,” said Christian Collin, Chief Financial and Risk Officer, Groupama.”We intent to develop a long term partnership with investors in this sector as cat bond coverage is now fully integrated into our reinsurance risk management strategy.”

The Class A Series 2 Principal At-Risk Variable Rate Notes are rated “BB+” by Standard & Poor’s and are scheduled for redemption in January, 2012. The collateral for this issuance consists of notes issued by the European Bank for Reconstruction and Development (the “EBRD”).

“We are pleased to build on our long term partnership with Groupama to help support their risk management strategy, and optimize the risk transfer process and transaction execution as they access the capital markets for reinsurance capacity,” said Jean-Louis Monnier, Head of ILS Europe. “Continued innovation and increased transparency are paving the way for growth and a return of primary insurers in the European cat bond market.”

Risk modelling and analysis were performed by Risk Management Solutions Inc. (RMS). The triggers for the perils covered by this bond are based on parametric indices.

The initial offering of notes by Green Valley closed on 27 December 2007 and is the largest euro-denominated cat bond ever placed in 144A form for French windstorm peril.

The Green Valley notes were sold in a private placement pursuant to Rule 144A of the U.S. Securities Act of 1933, as amended, (the “Securities Act”) and have not been registered under the Securities Act or any state securities laws; they may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act and applicable state securities laws.

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