Swiss Re issues securities covering earthquakes in Canada

Swiss Re has structured and placed US$150 million [approximately Cdn$172 million] of securities covering flood and earthquake catastrophic events in Canada, Great Britain, and the United States on behalf of Allianz Global Corporate & Specialty AG.The multiperil issuance is part of a US$1 billion program designed to provide protection against high severity losses incurred from earthquakes in Canada or the United States (excluding California) and river floods in Great Britain, according to a Swiss Re release.In case of a natural catastrophic event of the perils defined, the programme would pay a claim based on pre-defined parameters and calculated by the risk modelling company Risk Management Solutions.The loss caused by an earthquake in Canada or the United States will be based on a modelled loss of a notional portfolio of exposures, explains information from Swiss Re.If in an earthquake event, the notional modelled loss amount exceeds pre-defined attachment points, the noteholders will experience a reduction of their principal.The transaction attracted considerable investor demand, was over-subscribed, and met by strong interest from a wide variety of investors including, dedicated ILS funds, hedge funds, and money managers, a Swiss Re statement says.All of the securities have been sold.