Swiss Re has continued its long-running Vita Capital series of transactions with the issue of $50mn of notes in the first transfer of extreme mortality exposure since November last year.
The Class E notes were issued by Cayman Islands-based Vita Capital IV Ltd on 1 June and have been assigned a BB+ rating by Standard & Poor's (S&P).
The transaction provides the Swiss reinsurance giant with four years of cover against US and UK extreme mortality events.
The latest issuance takes total extreme mortality risk transferred by Swiss Re under the Vita banner to more than $2bn since the launch of $400mn Vita Capital I in 2004.
The $1.2bn Vita III transaction is scheduled to expire at the end of 2012 and this latest issuance will partly replaces those notes, S&P said.
Swiss Re issued $75mn of notes from the Vita Capital IV shelf facility in November last year.
Like the 2009 Vita Capital IV transaction, the Class E notes are triggered upon greater than anticipated mortality in either the US or the UK and the attachment points vary by country.
S&P said that the notes attach at 105 percent of expected mortality in the US and 112.5 percent in the UK, with the exhaustion points at 110 percent and 120 percent in the US and UK respectively.
There is around $1.5bn of extreme mortality exposure outstanding in the capital markets, with almost $3bn of transactions completed in total since the first Vita deal in 2004.
Outstanding deals include Scor's 2008 extreme mortality swap, which was extended in September last year to provide more than $200mn of cover, Munich Re's $100mn Nathan transaction and Swiss Re's $75mn Vita IV and $1.2bn Vita III series of notes.
Sister publication Trading Risk understands that Axa did not renew its $450mn Osiris notes when they matured in January this year.