Mortality catastrophe bond news

Swiss Re has made an early redemption of the loss exposed Class A notes from its Matterhorn Re Ltd. (Series 2020-2) catastrophe bond issuance after benefiting from roughly $33.1 million in recoveries under their retrocessional protection, leaving the remaining $46.9 million of principal set to be returned to investors, Artemis understands.

According to Artemis’ sources, Swiss Re now looks likely to make just under $151 million in reinsurance recoveries from its mortality catastrophe bonds, with a 100% recovery anticipated for the $120 million Vita Capital VI deal and a recovery already thought made under the Matterhorn Re mortality cat bond notes.

The threat of loss to investors in mortality catastrophe bonds has increased in recent weeks, with Swiss Re’s Vita Capital VI deal marked down for a near total loss and one of the Matterhorn Re cat bonds sponsored by the reinsurer has seen its maturity extended, as mortality estimates have risen again, Artemis has learned.

The secondary market price for the Vita Capital VI Limited (Series 2021-1) mortality catastrophe bond transaction that was sponsored by global reinsurance firm Swiss Re has dropped, with the market seemingly anticipating an increasing chance of losses being paid under the terms of the notes.

According to our sources, the Vita Capital VI Limited (Series 2021-1) mortality catastrophe bond transaction that was sponsored by global reinsurance firm Swiss Re, is viewed as at-risk of attaching after preliminary data showed an increase in weighted mortality rates in 2022 for the US and the UK.

According to Artemis’ sources, the issuance of a $100 million mortality catastrophe bond, sponsored by Securian Financial Group life insurance subsidiary, Minnesota Life Insurance Company, has now been cancelled after investor feedback related to concerns over COVID-19 pandemic related exposure.

Securian Financial Group life insurance subsidiary, Minnesota Life Insurance Company has returned to the insurance-linked securities (ILS) market to sponsor its second mortality catastrophe bond transaction, seeking another $100 million or more of capital markets backed extreme mortality reinsurance with a La Vie Re Limited (Series 2021-1) issuance.

French reinsurance company SCOR “kicked itself” for not having renewed its mortality catastrophe bonds in the past, the firms new CEO Laurent Rousseau explained today.

Swiss Re has successfully upsized its new Vita Capital VI Limited (Series 2021-1) mortality catastrophe bond transaction to $120 million, just below its revised upper-end target for the deal.

Global reinsurance giant Swiss Re is aiming to upsize its new Vita Capital VI Limited (Series 2021-1) mortality catastrophe bond transaction, with the targeted issuance now lifted to between $100 million and $125 million of extreme mortality protection, we’re told.