Swiss Re Structures $240 million Insurance-linked Securities for Allianz

Swiss Re Capital Markets announced that it has “structured and successfully placed $240 million of insurance-linked securities [cat bonds] issued by Blue Danube Ltd., on behalf of a subsidiary of Allianz SE. The securities cover North Atlantic hurricane, including Mexico and the Caribbean, as well as US and Canada earthquake risks.”

Swiss Re Capital Markets underwrote the transaction, “which placed two classes of notes, each covering hurricane and earthquake for a risk period of three years. The bonds were structured on behalf of Allianz Argos 14 GmbH, a wholly owned subsidiary of Allianz SE.”

Jean-Louis Monnier, Director and Head of ILS Europe at Swiss Re Capital Markets, commented: “We are very pleased to be able to support Allianz SE with their risk transfer needs, providing them with a multi-year solution covering exposure to peak hurricane and earthquake perils in the North Atlantic and North America.”

The bulletin also noted that AIR Worldwide “provided the expert risk modeling analysis. The transaction is based on a modeled industry trigger transaction (“MITT”), developed by Swiss Re, which takes industry loss estimates for the US and Canada and weights them post-event based on certain applicable modeled portfolios.

“The transaction also utilizes a putable note issued by the International Bank of Reconstruction and Development (“IBRD”) as collateral, which provides a LIBOR-based collateral return.”

Blue Danube Ltd. is a Bermuda exempted company financed through the offering of insurance-linked securities. The “notes were sold in a private placement pursuant to Rule 144A of the U.S. Securities Act of 1933, as amended, (the “Securities Act”) and have not been registered under the Securities Act or any state securities laws; they may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act and applicable state securities laws,” said the announcement. “The Blue Danube notes may also be subject to selling restrictions in certain other jurisdictions.”

Source: Swiss Re Capital Markets