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Swiss Re confirms closure of Vega $150mn CRO

Swiss Re has obtained $150mn protection against North Atlantic hurricane, European windstorm, Californian earthquake, Japanese earthquake and Japanese typhoon through collateralised risk obligation (CRO) Vega Capital Ltd, as predicted by The Insurance Insider.

Swiss Re said that Vega is the latest natural catastrophe securitisation to be sponsored by the group and the first natural catastrophe securitisation to use a cash reserve account to enhance protection to noteholders.

“Vega protects Swiss Re on both a multi-event and multi-peril basis, and affirms Swiss Re’s leading role in product innovation in the insurance-linked securities sector,” the reinsurance giant said in a statement.

Swiss Re said that four classes of notes were issued and ranked in order of seniority. Vega provides transparency to investors by utilising index- and modelled loss based triggers with fixed risk profiles.

Investors can choose between different risk layers while achieving diversification across five natural catastrophe risks, Swiss Re added.

Brian Gray, Swiss Re’s head of property and specialty products said: “Vega represents a positive evolution in the structure of cat bond programmes for Swiss Re. It provides us with protection for low-layer earnings volatility for our peak natural catastrophe perils, over multiple events.”

Vega is a shelf-offering programme that allows issuance of securities at any time. The private placement, structured and underwritten by Swiss Re Capital Markets, closed on 27 June.

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