Swiss Reinsurance Company has transferred a third batch of mortality risk to investors.
Swiss Re, Zurich, says it has completed efforts to securitize $705 million in mortality risk through a special purpose vehicle, Vita Capital III Ltd.
Vita promises to make payments to Swiss Re if the overall death rate in the United States, United Kingdom, Germany, Japan and Canada turns out to be substantially higher than the base-year mortality level over the following 2 years.
Vita then sells “principal-at-risk” notes with returns tied to a mortality index to institutional investors.
If the death rates incorporated in the index remain within expected levels, the noteholders get the maximum level of return.