Swiss Re’s Vita Capital mortality bond settles at $120m, priced on target

Swiss Re’s Vita Capital mortality bond settles at $120m, priced on target

Swiss Re has actually effectively upsized its new Vita Capital VI Limited (Series 2021-1) mortality disaster bond transaction to $120 million, just below its revised upper-end target for the deal.The global reinsurance giant had actually returned to the catastrophe bond market with a new excess, or extreme, death cat bond transaction back in June.
At the cat bonds release to investors, Swiss Re was seeking at least $75 million of death retrocessional reinsurance from the transaction.
A favorable reaction from financiers then saw the deal target increasing, to between $100 million and $125 countless severe death defense.
In the end, were informed that Swiss Re has gone for $120 million of extreme mortality protection with this new disaster bond deal, with prices on-target with its preliminary marketing of the notes.
It is maybe a little unexpected the deal did not attain the upper target, viewing as just $5 countless additional commitments were needed from the ILS investor base, for who this might have been a fascinating diversifier.
However, as the first death feline bond to explicitly include coverage for COVID-19 deaths, despite the fact that only from 2022, this may have impacted demand for the notes rather.
Vita Capital VI Limited, Swiss Res Cayman Islands based unique function car, has now provided a single tranche of Class B notes, sized at $120 million.
Its an efficient piece of capital markets backed retro reinsurance protection for Swiss Re mortality exposed life book of company, as the Vita Capital offers offer a source of excess (or extreme) death retrocessional reinsurance defense, based upon a mortality index trigger.
The $120 countless notes can be triggered by a severe mortality event which raises a death index, weighted by age and gender, above a predefined trigger point.
It covers certain mortality losses in Australia, Canada, the UK and the United States for Swiss Re, across a term from the start of 2021 to the end of 2025, with the notes maturity slated for early 2026, so using five years of protection.
As weve described before, mortality from the COVID-19 pandemic is left out for the calendar year 2021, but consisted of beyond that.
The $120 million of Series 2021-1 Class B notes to be released by Vita Capital VI Ltd. have a preliminary attachment likelihood of 1.06%, an initial fatigue probability of 1.16% and a preliminary anticipated loss of 0.75%.
These death cat bond notes were first marketed to financiers with a recommended voucher of 3% which is where the deal settled at its higher $120 million size
You can check out all about this new Vita Capital VI Limited (Series 2021-1) deal from Swiss Re and every other disaster bond released in our Artemis Deal Directory.

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