Swiss Re in New $400 Million Nat Cat Bond for Europe, U.S. Wind Risks

May 7, 2012

Swiss Re Ltd. Announced that it has secured $400 million in natural catastrophe coverage through a newly-formed issuer Mythen Ltd., which it described as a “flexible program that allows Swiss Re to cede wind risks in both the United States and Europe to the capital markets.

“The new program is the latest in a series of catastrophe bonds that Swiss Re has issued since 1997 and a demonstration of Swiss Re’s commitment to transferring natural catastrophe risk to capital markets. Mythen Ltd. is an addition to Swiss Re’s existing catastrophe bond programs which will enable the company to issue multiple bonds over an extended time-frame in a flexible, transparent and efficient way.”

Martin Bisping, Head Non-life Risk Transformation at Swiss Re, explained: “The transformation of re/insurance risks into an investor-friendly asset class continues to be a cornerstone of our hedging strategy for peak natural catastrophe risks. In order to grant us full flexibility to pursue this approach in the future, and to provide investors with bonds that have innovative and diversifying features, we have created the new Mythen program as a follow-on to our long-standing Successor Program.”

The bulletin said the Mythen program was named after the location of Swiss Re’s Zurich headquarters on Mythenquai in the city. It will replace the Successor X program, through which the company received $2.4 billion in protection against natural catastrophe events between 2006 and 2012.

Swiss Re also reported that it had “sponsored three tranches of notes in the first transaction through the Cayman Islands-registered vehicle Mythen Ltd, obtaining a total of $400 million in protection over three years against US hurricanes and European windstorm. Mythen’s innovative structure covers first and second event multi-peril losses.”

Matthias Weber, Swiss Re’s Group Chief Underwriting Officer, noted: “Last year was the second most active year ever in terms of insured natural catastrophe losses. This highlights the need for re/insurers to effectively manage their peak exposures and ensure capacity is available. With almost 15 years of expertise in the field of insurance linked securities [ILS], Swiss Re continues to pioneer new catastrophe bond solutions, both for its own book and for clients.”

The terms for the notes were detailed as follows:
Class Notional – amount
‘A’ $50 million, rated Ba3 (sf) for US Hurricane (1st event)
‘E’ $100 million rated Ba3 (sf) for, US Hurricane (2nd and subsequent events)
‘H’ $250 million rated B2 (sf) for, Multi-peril (European windstorm/ two US Hurricanes)

The Mythen notes were sold in a private placement pursuant to Rule 144A of the U.S. Securities Act of 1933, as amended, and have not been, and will not be, 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.

Source: Swiss Re

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