Swiss Re transfers USD 175 million of extreme mortality risk to the capital markets through the Vita securitization programme

27 October 2010, Zurich

Swiss Re today announced the transfer of USD 175 million of extreme mortality risk to the capital markets through the Vita securitization programme.

This is the third time in the last 12 months that Swiss Re has successfully securitized extreme mortality risk under its latest Vita Capital IV Ltd. programme ("Vita IV"), with a total of USD 125 million issued in Series I and II in November 2009 and May 2010. 

Swiss Re's Head of Global Life & Health Risk Transformation, Alison Mckie, commented: "The Vita programme provides very efficient risk protection and capital relief, enabling us to provide more client solutions."

Under the transactions, Swiss Re may receive payments from Vita IV of up to USD 100 million in the event of extreme population mortality in the U.S. or Japan and up to USD 75 million in the event of extreme population mortality in Canada or Germany.  Vita IV, in turn, has issued two new Series of notes, Series III and IV Notes, to the capital markets, each of which is linked to extreme mortality risk in the respective covered areas. Both series of notes mature in 2015 and are rated "BB+ (sf)" by Standard & Poor's. 

"While Series I and II provided coverage in the UK and U.S., the latest issuance of Vita IV notes broadens the coverage  by including additional countries, reflecting Swiss Re's global mortality business," added Mckie.  

Swiss Re has a history of periodically securitizing its life risks, obtaining over USD 1.5 billion in extreme mortality risk protection from its Vita programmes.      

Swiss Re Capital Markets acted as sole manager and bookrunner on the notes issuance. Collateral for the new Series of Vita IV notes consists of securities issued by the International Bank for Reconstruction and Development.  

The Vita IV 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.

Notes to editors

Swiss Reinsurance Company Ltd

Swiss Re is a leading and highly diversified global reinsurer. The company operates through offices in more than 20 countries. Founded in Zurich, Switzerland, in 1863, Swiss Re offers financial services products that enable risk-taking essential to enterprise and progress. The company’s traditional reinsurance products and related services for property and casualty, as well as the life and health business are complemented by insurance-based corporate finance solutions and supplementary services for comprehensive risk management. Swiss Re is rated “A+“ by Standard & Poor’s, “A1” by Moody’s and “A” by A.M. Best.

VITA Capital IV Ltd.

VITA Capital IV Ltd. is a Cayman Islands exempted company financed through the offering of insurance-linked securities. 

Cautionary note on forward-looking statements

Certain statements and illustrations contained herein are forward-looking. These statements and illustrations provide current expectations of future events based on certain assumptions and include any statement that does not directly relate to a historical fact or current fact. Forward-looking statements typically are identified by words or phrases such as “anticipate“, “assume“, “believe“, “continue“, “estimate“, “expect“, “foresee“, “intend“, “may increase“ and “may fluctuate“ and similar expressions or by future or conditional verbs such as “will“, “should“, “would“ and “could“. These forward-looking statements involve known and unknown risks, uncertainties and other factors, which may cause Swiss Re’s actual results, performance, achievements or prospects to be materially different from any future results, performance, achievements or prospects expressed or implied by such statements. Such factors include, among others:

  • 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;
  • changes in global economic conditions and the effects of the global economic downturn;
  • the occurrence of other unanticipated market developments or trends;
  • Swiss Re’s ability to maintain sufficient liquidity and access to capital markets, including sufficient liquidity to cover potential recapture of reinsurance agreements, early calls of debt or debt-like arrangements and collateral calls under derivative contracts due to actual or perceived deterioration of Swiss Re’s financial strength;
  • the effect of market conditions, including the global equity and credit markets, and the level and volatility of equity prices, interest rates, credit spreads, currency values and other market indices, on Swiss Re’s investment assets;
  • changes in Swiss Re’s investment result as a result of changes in its investment policy or the changed composition of Swiss Re’s investment assets, and the impact of the timing of any such changes relative to changes in market conditions;
  • uncertainties in valuing credit default swaps and other credit-related instruments;
  • possible inability to realize amounts on sales of securities on Swiss Re’s balance sheet equivalent to its mark-to-market values recorded for accounting purposes;
  • the outcome of tax audits, the ability to realize tax loss carry forwards and the ability to realize deferred tax assets (including by reason of the mix of earnings in a jurisdiction or deemed change of control), which could negatively impact future earnings;
  • the possibility that Swiss Re’s hedging arrangements may not be effective;
  • the lowering or loss of one of the financial strength or other ratings of one or more companies in the Group;
  • risks associated with implementing Swiss Re’s business strategies;
  • the cyclicality of the reinsurance industry;
  • uncertainties in estimating reserves;
  • the frequency, severity and development of insured claim events;
  • acts of terrorism and acts of war;
  • mortality and morbidity experience;
  • policy renewal and lapse rates;
  • extraordinary events affecting Swiss Re’s clients and other counterparties, such as bankruptcies, liquidations and other credit-related events;
  • political risks in the countries in which Swiss Re operates or insures risks;
  • the impact of current, pending and future legislation and regulation affecting us or our ceding companies, and regulatory and legal actions;
  • the impact of significant investments, acquisitions or dispositions, and any delays, unexpected costs or other issues experienced in connection with any such transactions, including, in the case of acquisitions, issues arising in connection with integrating acquired operations;
  • changing levels of competition; and
  • 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
not to place undue reliance on forward-looking statements. We undertake
no obligation to publicly revise or update any forward-looking statements,
whether as a result of new information, future events or otherwise.