Swiss Re Insurance-Linked Fund Management

Xactanalysis Insights and PCS

Swiss Re issues new Vega Capital Ltd. notes


Swiss Re has issued two new tranches of notes under its Vega Capital Ltd. catastrophe bond style Cayman Islands SPV. The new transaction replicates the 2008 Vega Capital deal and will provide Swiss Re with another $106.5m of cover against accumulated losses.

Vega Capital Ltd. provides Swiss Re with three years of multi-event cover for a portfolio of its own underwriting risks including U.S. hurricanes, California earthquake, European windstorm, Japanese typhoon and Japanese earthquake (we assume these new tranches cover the same risks as the 2008 Vega deal). Swiss Re has, with the help of it’s Swiss Re Capital Markets division, repackaged its own risks into a collateralised risk obligation format to be transferred to the capital markets.

This new Vega Capital issuance is in two tranches; $63.9m of Series 2010-I Class C notes and $42,6m of Series 2010-I Class D notes. Both tranches of notes mature in three years in December 2013.

We’ll bring you more details on the structure of this latest Vega Capital transaction when we have them.

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