Swiss Re looks to renew CDO-style cat bond
Swiss Re is seeking to renew a multi-peril, multi-event cat bond deal structured as the reinsurance equivalent of collateralised debt obligations.
It hopes to raise more than $100mn from the renewal of its 2008 Vega Capital collateralised risk obligation, according to sources.
Swiss Re will assemble and re-package a static portfolio of catastrophe risk from its own underwriting portfolio under management from Swiss Re Capital Markets.
French reinsurer Scor also brought a new, more traditional offering to market last week, targeting EUR60mn of cover from Japanese earthquake and European windstorm risks in its latest Atlas issue, according to The Insurance Insider's sister publication Trading Risk.
If successful, Atlas VI series 2010-I will cover the same perils as Scor's 2007 Atlas IV bond, due to mature in December. However, the latest offer has been scaled down from the previous EUR160mn capacity.
Atlas VI will have a slightly longer timeframe, providing cover against four European wind seasons and maturing in April 2014, sources said.
The cover will be provided on an aggregate basis - kicking in once losses have exceeded a certain level - to protect Scor against both frequency and severity of disasters.
The bond has parametric loss triggers calculated using modelling agency RMS's Paradex indices for both European windstorm and Japanese quake.
The latest sales follow several diversifying offers that have sold well in the past month, as the cat bond market enters an active fourth quarter.
Cat bond sales should continue to be "significant" throughout 2011 as capacity in the market continues to rise, broker GC Securities predicted in a recent market update.
New capital inflows and cashflow from maturing bonds and a competitive reinsurance pricing environment are boosting available cat bond capacity and will continue to push prices down on new issuances, the report said.
The reinsurance broker expects total 2010 sales to be at the lower end of its previous forecast of $4bn-$5bn, exceeding 2009's total of $3.4bn.