Zurich-based reinsurer Swiss Re says its subsidiary Swiss Re Capital Markets has placed a $200 million insurance-linked security with the capital markets that has the unique feature of covering the reinsurance exposures of two carriers.
The multiperil catastrophe-risk vehicle named Combine Re incorporates the risk of reinsured parties Country Mutual Insurance Co. of Bloomington, Ill., and North Carolina Farm Bureau Mutual Insurance Co. Inc. of Raleigh, N.C.
The bonds cover damage from severe weather including thunderstorms, hurricanes, earthquakes and winter storms in the United States.
“Because the two companies are geographically diverse, by aggregating their risk we were able to come up with three classes of notes all offering different risk and return profits,” says Richard Pennay, a senior vice president at Swiss Re. “By doing that, we were able to attract a broader investor base.”
The retrocession transaction involved three tranches, combining $100 million of Class A notes rated “Baa1” by Moody's; $50 million “Ba3”-rated Class B notes; and $50 million of riskier, unrated Class C notes.
Catastrophe modeler AIR Worldwide provided risk analysis for the notes.
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