Swiss Re has securitized $175 million of notes backed by extreme mortality risk, which is the company's third deal in the last 12 months under its Vita Capital IV program.
Swiss Re Capital Markets was the sole manager and bookrunner on the transaction. Collateral for the Vita IV notes consisted of securities issued by the International Bank for Reconstruction and Development.
Swiss Re has a history of periodically securitizing its life risks, having more than $ 1.5 billion in extreme mortality risk protection from its Vita programs. Series I and II of the Vita program (issued in November 2009 and May 2010, respectively) provided coverage in the U.K. and U.S.
The latest installment of the Vita program broadens the coverage to include Canada, Germany and Japan.
Swiss Re can receive payments from Vita IV of up to $100 million in the event of extreme population mortality in the U.S. or Japan and up to $75 million in the event of extreme population mortality in Canada or Germany.
Vita IV has issued Series III and IV notes, each of which are linked to extreme mortality risk in the respective covered areas. Both series of notes mature in 2015 and are rated 'BB+' by Standard & Poor's.