Swiss Re transfered $75 million of U.S. and U.K. extreme mortality risk to the capital markets through a new securitization program called VITA Capital IV Ltd.
The transaction covers a five-year risk period starting in the issuance year and ending in 2014. The notes are rated 'BB+' by Standard & Poor’s.
The company said that the transaction will help to manage Swiss Re’s exposure to peak mortality risk in a capital efficient way, to meet increased client demand for extreme mortality risk protection and, ultimately, to position Swiss Re for further growth.
Collateral for the Vita IV notes will initially consist of securities issued by the International Bank of Reconstruction and Development. Risk modelling and analysis was performed by Risk Management Solutions.
Swiss Re has a history of securitizing its life risks, obtaining over $ 1.4 billion in extreme mortality risk protection in its predecessor VITA programs.