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Swiss Re Structures and Places $240M of Insurance-Linked Securities on Behalf of Allianz SE

Posted on 05 Apr 2012

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Swiss Re Capital Markets has structured and successfully placed USD 240 million of insurance-linked securities issued by Blue Danube Ltd. ("Blue Danube"), on behalf of a subsidiary of Allianz SE. The securities cover North Atlantic hurricane, including Mexico and the Caribbean, as well as US and Canada earthquake risks.

Swiss Re Capital Markets underwrote a transaction which placed two classes of notes, each covering hurricane and earthquake for a risk period of three years. The bonds were structured on behalf of Allianz Argos 14 GmbH, a wholly owned subsidiary of Allianz SE.

Jean-Louis Monnier, Director and Head of ILS Europe at Swiss Re Capital Markets, comments: “We are very pleased to be able to support Allianz SE with their risk transfer needs, providing them with a multi-year solution covering exposure to peak hurricane and earthquake perils in the North Atlantic and North America."

AIR Worldwide Corporate provided the expert risk modelling analysis. The transaction is based on a modelled industry trigger transaction ("MITT"), developed by Swiss Re, which takes industry loss estimates for the US and Canada and weights them post-event based on certain applicable modeled portfolios. The transaction also utilizes a putable note issued by the International Bank of Reconstruction and Development ("IBRD") as collateral, which provides a LIBOR-based collateral return.