Kortis transaction named ‘deal of the year’

The Banker, a leading financial publication read in more than 150 countries, has named Swiss Re’s Kortis transaction as its Deal of the Year in the Structured Finance Europe category of its annual awards.

Announced by Swiss Re in December 2010, the transaction was an innovative transfer of longevity trend risk to the capital markets. Kortis Capital Ltd. provides cover to Swiss Re against a divergence in mortality improvements experienced between two selected populations.


The bond is based on population data and would trigger in the event there is a large divergence in the mortality improvements experienced between males aged 75-85 in England & Wales and males aged 55-65 in the US.


“The revival of the European structured finance market has been relatively sluggish, and most deals have been very conservative in terms of structures and underlying assets. In this context, the Kortis deal is a worthy winner of this year's Structured Finance Deal of the Year award for Europe, in the form of a genuinely innovative and potentially crucial insurance-linked security," said Philip Alexander, Finance Editor of The Banker magazine.


He added: "As Western populations age, demand for longevity hedging is rising rapidly from pension funds and life insurers, requiring extra capacity from investment banks and reinsurance companies to take up this exotic and long-term risk. The Kortis deal provides a way to diversify longevity hedging in a format that can be readily traded on the secondary market.”


Swiss Re Capital Markets acted as sole manager and bookrunner on the notes issuance. Risk modeling and analysis were performed by Risk Management Solutions Inc. (RMS). Collateral for the Kortis notes consists of securities issued by the International Bank for Reconstruction and Development.