Swiss Re sponsors the first Mediterranean earthquake risk bond worth USD 100 million
01 June 2007, Zurich
Swiss Re obtains USD 100 million protection against earthquake risk in Turkey, Greece, Israel, Portugal and Cyprus. This is the first time that earthquake risk in these countries has been securitised in the capital markets.
Martin Bisping, Head of Retro and Syndication at Swiss Re, comments: "This transaction allows Swiss Re to continue meeting the Mediterranean market's increased demand for capital, and supports Swiss Re's strategic goals of reducing earnings volatility through active risk management and generating economic profit growth through efficient capital allocation.'
The transaction consists of a retrocession agreement between Swiss Re and MedQuake Ltd., which will issue USD 100 million of principal at-risk variable rate notes for this purpose. The notes cover severe earthquake risk in Turkey, Greece, Israel, Portugal and Cyprus for the period May 2007 through May 2010 and are based on a parametric index trigger.
Size in mio.
Scheduled redemption date
|A||BB-||USD 50||June 2010||355 bps|
|B||B||USD 50||June 2010||510 bps.|
* Spread (in basis points) to the three month LIBOR.
The private placement, which closed on 31 May 2007, was underwritten by Swiss Re Capital Markets and purchased by a variety of institutional investors according to Rule 144-A.
This is not an offer to sell or the solicitation of an offer to buy any securities. The securities sold by MedQuake Ltd. have not been registered under the US Securities Act of 1933, the Investment Company Act of 1940 or any state or foreign securities laws and, accordingly, may be offered, sold or resold only in transactions exempt from registration to qualified buyers that are residents of, purchasing in, and holding the securities in permitted US jurisdictions or permitted non-US jurisdictions.
Notes to editors
Parametric index trigger
A parametric index trigger is a more refined version of the pure parametric trigger using complicated formulae and more detailed measuring locations. The weights of these locations are usually chosen to limit the sponsor's exposure basis risk.
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.
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