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According to Artemis’ sources, Swiss Re now looks likely to make just under $151 million in reinsurance recoveries from its mortality catastrophe bonds, with a 100% recovery anticipated for the $120 million Vita Capital VI deal and a recovery already thought made under the Matterhorn Re mortality cat bond notes.
In January we warned that the risk of investors losing money on these bonds was increasing.
The secondary market price of Vita Capital VI Limited Series 2021-1 had dropped to less than 3 cents per dollar at that time. This indicated that the market was already anticipating a loss of $120 million in principal.
The Vita Capital VI cat bond notes 2021-1 could be triggered if a mortality index, based on age and gender, rises above a trigger point. This would cover certain mortality losses for Swiss Re in Australia, Canada and the United States up until the end of 2025.
Swiss Re also sponsored the Class A tranche of $80,000,000 notes issued by Matterhorn Re Ltd., Series 2020-2, cat bond that…
