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Member, Beacon International Group, Ltd.
ZURICH, Switzerland--Swiss Reinsurance Co. has securitized a life insurance portfolio through a $400 million bond issue.
Under the deal, which is the first mortality risk securitization Swiss Re has performed, Cayman-domiciled special purpose vehicle Vita Capital Ltd. has issued a $400 million bond to cover against "certain extreme mortality risk scenarios," Swiss Re said in a statement. The bond will mature on Jan. 1, 2007.
The deal is based on a combined mortality index for five countries--France, Italy, Switzerland, the United Kingdom and the United States--Swiss Re said. The index is weighted using factors such as public mortality data and population size, among others.
The coverage would be triggered if the mortality index exceeds 130% of its baseline 2002 level in any calendar year.
Swiss Re Capital Markets Corp., the alternative risk transfer arm of Zurich-based Swiss Re, structured the deal.