Swiss Re Places $150 Million Vega Securitization

July 1, 2008

Swiss Re announced that it has obtained $150 million worth of protection against North Atlantic hurricanes, European windstorms, Californian earthquakes and Japanese earthquakes and typhoons through a natural catastrophe protection program named Vega Capital Ltd.

Swiss Re described Vega as “the latest natural catastrophe securitization to be sponsored by Swiss Re and the first natural catastrophe securitization to use a cash reserve account to enhance protection to noteholders. Vega protects Swiss Re on both a multi-event and multi-peril basis, and affirms Swiss Re’s leading role in product innovation in the insurance-linked securities sector.”

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,” the announcement explained.
Brian Gray, Swiss Re’s Head of Property and Specialty Products division commented: “Vega represents a positive evolution in the structure of cat bond programs for Swiss Re. It provides us with protection for lowlayer earnings volatility for our peak natural catastrophe perils, over multiple events.”

Swiss Re also noted that “Vega is a shelf-offering program that allows issuance of securities at any time. The private placement closed on 27 June 2008 and involved $150 million of principal at-risk variable rate notes, which have been purchased by a variety of institutional investors according to Rule 144A. This private placement was structured and underwritten by Swiss Re Capital Markets.

Source: Swiss Re:

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