Swiss Re securitizes $120M for typhoon risk

ZURICH--Swiss Reinsurance Co. has obtained fully collateralized retrocessional protection totaling $120 million against high severity losses incurred from typhoons in Japan through securities issued by a Cayman-Islands special purpose vehicle, AKIBARE Ltd., according to rating agency Standard & Poor's Corp.

The protection bought by Swiss Re against Japanese typhoon losses through the transaction mirrors a reinsurance contract Swiss Re entered into with Tokyo-based Mitsui Sumitomo Insurance Co., according to S&P. Mitsui is AKIBARE's sponsor.

S&P in London has given AKIBARE's securities BB+ ratings for both the Class A and Class B tranches, according to S&P.

Risk Management Solutions designed the trigger mechanisms and performed the risk analysis for the securitization, the Newark, Calif.-based company said in a statement.

AKIBARE uses 10-minute mean wind speeds, observed by more than 900 stations of the Automated Meteorological Data Acquisition System network in Japan, to calculate peak wind gusts, according to RMS.

RMS Consulting Managing Director Peter Nakada said in a statement: "Because the deal is based on strictly on wind speeds, it is transparent and simple for investors to understand."