Swiss Re Places $97 Million Windstorm Cat Bond for Groupama

January 7, 2011

Swiss Re Capital Markets has successfully structured and placed €75 million [app. $97 million] of notes issued by Green Fields Capital Limited covering French windstorm events.

“Green Fields is a newly established Irish special purpose company incorporated with limited liability,” the bulletin explained. The transaction sponsor is Groupama S.A., with Swiss Reinsurance Company Ltd acting as the counterparty for the deal.

“Green Fields single tranche series 2011-1 Class A notes is the first issuance under a principal-at-risk variable-rate note shelf program. The four-year notes are rated “BB+ (sf)” by Standard & Poor’s, and are scheduled for redemption in January 2015. The risk period for the tranche is from January 2011 through December 2014. Collateral for this issuance consists of a
European Bank for Reconstruction and Development “EBRD” Floating Rate Note.”

The new issue follows the placement in October of €100 million [$138.6 million – at the time] of securities issued by Green Valley Ltd., covering windstorm events in France on behalf of Groupama. Green Valley is a special-purpose company incorporated under the laws of Cayman Islands.

Jean-Louis Monnier, Swiss Re’s Head of ILS Europe, commented: “Swiss Re is pleased to support key clients such as Groupama in their risk management strategies to cede peak risks into capital markets by launching programs like Green Fields, which builds upon the successes of past Green Valley transactions.”.

Swiss Re Capital Markets acted as sole structuring agent and bookrunner for the offering. The transaction utilizes a PERILS Industry Loss Trigger. Risk modeling and analysis were performed by Risk Management Solutions Inc. (RMS).

Source: Swiss Re

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