Swiss Re’s latest Vita Capital IV mortality-linked catastrophe bond upsizes to $180m


Swiss Re have successfully closed the latest in their Vita series of mortality catastrophe bond deals and the two tranches have received their official ratings today. The transaction, which has been issued by their Vita Capital IV Ltd. Cayman Islands domiciled SPV, began marketing in mid-July seeking to secure $100m of cover under the mortality catastrophe shelf program.

The deal almost doubled in size by its close, ending up securing Swiss Re $180m of cover for mortality events such as pandemics, epidemics, disasters and terrorist attacks affecting specified age and gender distributions in Canada, Germany, the U.K. and the U.S. (including the District of Columbia but excluding Puerto Rico and overseas territories).

Standard & Poor’s have given the two tranches of variable-rate mortality catastrophe-indexed notes their ratings today. The first tranche of Series V Class D notes was marketed at $50m in size but upsized to $100m and has been rated ‘BBB-‘. This tranche provides cover against catastrophic mortality in Canada and Germany. The second tranche of Series VI Class E notes was marketed at $50m as well but it too has upsized to $80m and S&P rated it ‘BB+’. The second tranche provides cover against catastrophic mortality events in Canada, Germany, the U.K. and the U.S. (including the District of Columbia but excluding Puerto Rico and overseas territories).

It’s good to see another successful deal come to market and be well received by investors. We suspect that this deal will have been oversubscribed which gave Swiss Re the opportunity to acquire more cover than expected.

Full details on this transaction can be found in our catastrophe bond Deal Directory.

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