For managing extreme mortality exposures in a capital-efficient manner
Swiss Re has obtained $75m of extreme mortality risk in the US and UK to the capital markets via a new VITA securitisation programme.
The company has entered into a transaction with VITA Capital IV (Vita IV) to receive up to $75m of payments in the event of severe population mortality in US or the UK. The agreement covers a five-year risk period starting in the issuance year and ending in 2014. Vita IV, in turn, has issued notes linked to this risk into the capital markets.
This is a continuation of the company’s hedging strategy, enabling it to manage extreme mortality exposures in a capital-efficient manner.
Brian Gray, chief underwriting officer of Swiss Re, said: “This Vita transaction will help us to manage our exposure to peak mortality risk in a capital efficient way, to meet increased client demand for extreme mortality risk protection and, ultimately, to position us for further growth.”
Swiss Re Capital Markets acted as sole manager and bookrunner on the note issuance. 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.