Swiss Re structures and places USD 240 million of insurance-linked securities on behalf of Allianz SE

05 April 2012, Zurich

Swiss Re Capital Markets has structured and successfully placed USD 240 million of insurance-linked securities issued by Blue Danube Ltd. ("Blue Danube"), 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 a 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, comments: “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."

Class

Notional amount

Term

Rating

Class A

USD 120 m

3 years

"BB+ (sf)"

(S&P)

Class B

USD 120 m

3 years

"BB- (sf)"

 

AIR Worldwide Corporate provided the expert risk modelling analysis. The transaction is based on a modelled 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.

The Blue Danube 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. The Blue Danube notes may also be subject to selling restrictions in certain other jurisdictions.

Notes to editors

Swiss Re

The Swiss Re Group is a leading wholesale provider of reinsurance, insurance and other insurance-based forms of risk transfer. Dealing direct and working through brokers, its global client base consists of insurance companies, mid-to-large-sized corporations and public sector clients. From standard products to tailor-made coverage across all lines of business, Swiss Re deploys its capital strength, expertise and innovation power to enable the risk taking upon which enterprise and progress in society depend. Founded in Zurich, Switzerland, in 1863, Swiss Re serves clients through a network of over 60 offices globally and is rated "AA-" by Standard & Poor's, "A1" by Moody's and "A+" by A.M. Best. Registered shares in the Swiss Re Group holding company, Swiss Re Ltd, are listed on the SIX Swiss Exchange and trade under the symbol SREN. For more information about Swiss Re Group, please visit: www.swissre.com

Blue Danube Ltd.

Blue Danube Ltd. is a Bermuda exempted company financed through the offering of insurance-linked securities.

Swiss Re Capital Markets

In the U.S., securities products and services are offered through Swiss Re Capital Markets Corporation, a registered broker dealer and a member of FINRA and SIPC.  Swiss Re Capital Markets Limited is authorized and regulated in the U.K. by the Financial Services Authority. Both Swiss Re Capital Markets Corporation and Swiss Re Capital Markets Limited, together Swiss Re Capital Markets, are wholly owned subsidiaries of Swiss Reinsurance Company Ltd.

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  • the direct and indirect impact of the continuing deterioration in the financial markets and the efficacy of efforts to strengthen financial institutions and stabilize the credit markets and the broader financial system;
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  • operational factors, including the efficacy of risk management and other internal procedures in managing the foregoing risks.

These factors are not exhaustive. We operate in a continually changing environment and new risks emerge continually. Readers are cautioned
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