Swiss Re Insurance-Linked Fund Management

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Swiss Re on their role in Blue Danube cat bond


Reinsurer Swiss Re have published a press release discussing their role in the recently completed Blue Danube Ltd. catastrophe bond. Swiss Re Capital Markets, the arm of Swiss Re who deal with capital markets structuring and placement, acted as an arranger/structurer and also bookrunner on the transaction, which provides German insurer Allianz with three years of multi-peril cover, successfully placing $240m of insurance-linked securities issued by Blue Danube on behalf of Allianz.

Jean-Louis Monnier, Director and Head of ILS Europe at Swiss Re Capital Markets, commented; “We are very pleased to be able to support Allianz SE with their risk transfer needs, providing them with a multi-year solution covering exposure to peak hurricane and earthquake perils in the North Atlantic and North America.”

Swiss Re say in their press release that they developed the trigger for this cat bond, using a modelled industry trigger transaction (MITT) which takes industry loss estimates for the U.S. and Canada and weights them after the event against certain applicable modelled portfolios.

Swiss Re also note that the transaction utilizes a putable note issued by the International Bank of Reconstruction and Development (IBRD) as collateral for the notes and that this provides a LIBOR-based collateral return.

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