RMS

RMS Performs Analysis for Two New Series of Notes Issued by Vita Capital

Provides Swiss Re with Excess Mortality Coverage from All Perils

London – August 8, 2011 – Risk Management Solutions (RMS) today announced it has conducted the expert risk analysis for two new series of notes issued under the Vita Capital IV Ltd. Program. The issuance provides Swiss Reinsurance Company Ltd. with five years of protection against all extreme mortality in the U.S., U.K, Canada, and Germany, including from infectious disease, terrorism, and earthquake casualty. This new issuance follows the 2009 and 2010 Vita notes modeled by RMS, the leading catastrophe risk adviser on life and health securitizations.

Series VI of Vita Capital IV Ltd., a Cayman Island special purpose vehicle (SPV), provides US$80 million in coverage for all four countries covered by the transaction, while series V provides US$100 million of coverage for extreme mortality events in both Canada and Germany. "The upsizing and tight pricing of this deal demonstrates both strong investor demand and confidence in RMS' life and health modeling," said Peter Nakada, managing director of RMS RiskMarkets. "We are bullish on the market for both excess mortality and longevity securitizations."

Infectious disease was assessed using the RMS^® Infectious Disease Model, which was first released in 2007 and is the only model of its type available in the market, incorporating detailed scientific data and the experience of epidemiologists, virologists, medical doctors, and biostatisticians. The terrorism risk assessment was based on the latest RMS^® Probabilistic Terrorism Model. "The ability to model terrorism risk explicitly for prime target cities such as London is crucial for extreme mortality transactions," commented Dr. Gordon Woo, catastrophist at RMS.