Marking a first in the
longevity risk transfer market, Swiss Re has completed the first
longevity trend bond, transferring $50m of longevity trend risk to
the capital markets.
The bond was issued through
Cayman Island-based special purpose vehicle Kortis Capital
Ltd.
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According to Swiss Re, the
longevity trend bond is based on population data and would trigger
in the event that there is a large divergence in the mortality
improvements experienced between male lives aged 75 to 85 in
England and Wales and male lives aged 55 to 65 in the
US.
Commenting, Swiss Re’s head
of life and health Christian Mumenthaler said: “The Kortis
programme is of particular note as it provides protection against
adverse deviation in mortality improvements for both Swiss Re’s
mortality and longevity portfolios, while taking into account the
complementary nature of the two risks.”
Swiss Re has a solid record
of developing the capital markets for insurance risk transfers,
initially with natural catastrophe bonds and more recently by
periodically securitising its life risks.
Since 2003, Swiss Re has
obtained over $1.5bn in extreme mortality risk protection from its
Vita life risks securitisation programme.
