Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Vita Capital V Ltd. completes successfully, takes 2012 insurance-linked securities issuance to $4 billion


Swiss Re’s sixth issuance in their series of Vita mortality-linked catastrophe bond (or insurance-linked security) deals has completed successfully. Vita Capital V Ltd. completed and received its formal ratings yesterday after being in the market since we first wrote about the deal three weeks ago, during which time it nearly tripled in size to secure $275m of protection against an increase in mortality experience in their underlying book of business.

Demand for the notes issued by Vita Capital V were sufficiently high for Swiss Re to manage to upsize the transaction from the $100m deal it began marketing as to complete at $275m. Investors in the notes will be at risk of an increase in age and gender weighted mortality rates that exceed a specified percentage of a predefined mortality index value for the term of the deal until 15th January 2017.

The notes issued by Vita Capital V provide Swiss Re with cover via an ISDA-based contract. Swiss Re, the counterparty, will make payments in exchange for extreme mortality protection provided by Vita Capital V for a specified notional amount. Cover is on an aggregate basis over a five-year risk period against excess mortality in certain specified countries. The Class D-1 tranche of notes covers excess mortality in Australia and Canada while the Class E-1 notes cover excess mortality in Australia, Canada and the U.S. The deal is triggered using a mortality index.

The notes have priced at the lower end of the expected range with the Class D-1 notes paying a coupon of 2.7% and the Class E-1 notes paying a coupon of 3.4%.

Standard & Poor’s have given the two tranches of notes their official ratings. The Class D-1 notes have a rating of ‘BBB-‘ and the Class E-1 notes have a rating of ‘BB+’. S&P base their rating on the actual catastrophe risk involved in the transaction as the lowest rated item in the deal.

The Vita Capital V Ltd. specialist debt programme has been approved by the Cayman Islands Stock Exchange and Swiss Re could use this shelf facility to issue further series of notes at any time during the next five years. The two tranches of notes issued by Vita Capital V have both been admitted for listing on the Cayman Islands Stock Exchange as well.

With the completion of Vita Capital V we now have just under $4 billion of completed ILS and cat bonds listed for 2012 in our Deal Directory. Read full details of Vita Capital V Ltd.

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