Swiss Re has done a $200 million 144A multi-peril natural catastrophe risk deal via Combine Re. This offering is the first catastrophe bond to combine the risks of two reinsured parties.

Combine Re is a newly-established catastrophe bond vehicle. This is the first catastrophe bond that brings together the risk of two reinsured parties into a single offering. It also serves as a key innovation to give insurers access to the catastrophe bond market.

Swiss Re has entered into a retrocession deal with Combine Re to get payments following the aggregation of insurance losses of the two reinsured parties, COUNTRY Mutual Insurance Co., based in Bloomington, Illinois, and North Carolina Farm Bureau Mutual Insurance Co. based in Raleigh, North Carolina.

Through Combine Re, Swiss Re has securitized risk that is based on the aggregate ultimate net loss of the two reinsured parties from perils of severe thunderstorm, hurricane, earthquake and winter storm happening in the U.S.

The structure of the Combine Re program presents investors with a broad range of risk and return profiles to offer investment grade and sub-investment grade classes notes. Combine Re has three tranches: $100 million of Class A notes, rated at investment grade or 'Baa1 (sf)' by Moody’s Investors Service; $50 million of Class B notes, rated 'Ba3 (sf)'; and $50 million of unrated Class C notes.

"This transaction is a confirmation of our client-centered approach to providing innovative and efficient risk-transfer solutions," says Markus Schmutz, managing director, Swiss Re Capital Markets.

"The Combine Re transaction further develops the cat bond market by providing investors with a true range of risk and return profiles, while providing both COUNTRY Mutual and the North Carolina Farm Bureau with significant annual aggregate protection, designed to respond during years of sustained multi-peril insurance losses," Schmutz said. "Catastrophe bonds continue to be a cornerstone of Swiss Re’s own risk management strategy and Swiss Re's extensive ILS capabilities have harnessed the benefits for both COUNTRY Mutual and the North Carolina Farm Bureau."

Independent third-party risk analysis for the notes was provided by AIR Worldwide.

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