ZURICH—Swiss Reinsurance Co. has transferred $75 million of extreme mortality risk in the United States and United Kingdom to the capital markets in a securitized transaction through a Cayman Islands company.
The transaction with VITA Capital IV Ltd., which comes at a time when the H1N1 flu virus is spreading, covers a five-year period ending in 2014. Vita IV, as it is called, issued notes rated BB+ linked to the risk into the capital markets.
The notes offering was successful notwithstanding the media focus on the H1N1 flu virus, Zurich-based Swiss Re said in a statement.
“This Vita transaction will help us to manage our exposure to peak mortality risk in a capital-efficient way, to meet increased client demand for extreme mortality risk protection and, ultimately, to position us for further growth,” said Brian Gray, Swiss Re’s chief underwriting officer, in the statement.
Swiss Re Capital Markets acted as manager and bookrunner on the note issuance. Collateral for the Vita IV notes initially will consist of securities issued by the International Bank of Reconstruction and Development.
Risk modeling was performed by Risk Management Solutions Inc.
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