Swiss Re launches the first catastrophe bond indices

28 June 2007, Zurich

Today Swiss Re launched a basket of catastrophe bond performance indices, named Swiss Re Cat Bond Indices. This is a first and important step in significantly increasing the transparency of cat bond returns.

Cat bonds have become an important source of natural catastrophe capacity for the insurance industry. In 2006, the issuance of such bonds doubled to USD 4.9 billion and their strong growth has continued during the first half of 2007 with USD 3.8 billion issued to date. Whilst the primary cat bond market continues to grow, Swiss Re believes that Swiss Re Cat Bond Indices will create further interest in secondary market trading.

Swiss Re Cat Bond Indices are a series of performance indices constructed to track the price return and the total rate of return for USD denominated cat bonds. Swiss Re Cat Bond Indices track the performance of the main basket, all outstanding USD denominated catastrophe bonds. The following sub-baskets comprise the main basket:

  1. Single-Peril US Wind Cat Bonds
  2. Single-Peril California Earthquake Cat Bonds
  3. BB Cat Bonds (S&P rated)

Dan Ozizmir, Swiss Re's Managing Director with overall responsibility for Insurance-Linked Securities, comments: "Swiss Re has taken a further innovative step by launching the Swiss Re Cat Bond Indices. These indices will significantly improve the transparency of cat bond returns and thus attract additional investors to the asset class, further improving interest in the secondary market." He adds: "Provided the response to Cat Bond Indices is positive, Swiss Re will work with other market participants to ensure that the indices become tradable.

The index methodology is owned by Swiss Re and will be calculated on a weekly basis by S&P Custom Indices and published on Bloomberg.

Notes to editors

Swiss Re

Swiss Re is the world's leading and most diversified global reinsurer. The company operates through offices in more than 25 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 "AA-" by Standard, Poor's, "Aa2" by Moody's and "A+" by A.M. Best.

Cautionary note on forward-looking statements

Certain statements contained herein are forward-looking. These statements 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 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;
  • cyclicality of the reinsurance industry;
  • changes in general economic conditions, particularly in our core markets;
  • uncertainties in estimating reserves;
  • the performance of financial markets;
  • expected changes in our investment results as a result of the changed composition of our invested assets or changes in our investment policy;
  • 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;
  • changes in rating agency policies or practices;
  • the lowering or withdrawal of one or more of the financial strength or credit ratings of one or more of our subsidiaries;
  • changes in levels of interest rates;
  • political risks in the countries in which we operate or in which we insure risks;
  • extraordinary events affecting our clients, such as bankruptcies and liquidations;
  • risks associated with implementing our business strategies;
  • changes in currency exchange rates;
  • changes in laws and regulations, including changes in accounting standards and taxation requirements; and
  • changes in competitive pressures.

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.