Swiss Re has sponsored its latest natural catastrophe protection program called Vega Capital, which closed on June 27.
The placement involved $150 million of principal at-risk variable rate notes that have been purchased by a variety of 144A institutional investors.
The company obtained protection against North Atlantic hurricane, European windstorm, California earthquake, and Japanese earthquake and typhoon through this program, which protects Swiss Re on both a multi-event and multi-peril basis.
Four classes of notes were issued and ranked in order of seniority. Vega provides transparency to investors by utilizing index- and modeled loss-based triggers with fixed risk profiles. Investors can choose between different risk layers while achieving diversification across five natural catastrophe risks.
Company head of property and specialty products division Brian Gray said Vega provides the company with protection for low-layer earnings volatility for peak natural catastrophe perils, over multiple events.
The program is the first natural catastrophe securitization to use a cash reserve account to enhance protection to noteholders.