RMS

RMS Models Excess Mortality for New Catastrophe Bond Issuance

Calif – October 26, 2010 – 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 notes provide Swiss Reinsurance Company Ltd. with up to $175 million of coverage against all excess mortality risks - including infectious disease, terrorism, and earthquake - in the U.S., Japan, Canada, and Germany until the end of 2014. The program was solely structured and placed by Swiss Re Capital Markets Corporation.

Analysis was conducted using the RMS Infectious Disease Model, which was first released in 2007 and has recently been updated to incorporate the latest data from the 2009 H1N1 influenza pandemic. It includes explicit modeling of influenza, as well as emerging infectious diseases such as small pox and Ebola epidemics.

Issuance of the latest notes follows RMS’ analysis of the Vita Capital IV Ltd. Series I Notes in 2009 - the first excess mortality securitization to include an expert risk analysis based on a probabilistic catastrophe model.

"Catastrophe risk models allow us to understand the dynamics of infectious disease and quantify the potential risks posed by new or emerging strains," commented Dr. Maura Sullivan, director of excess mortality solutions at RMS. "Disease scenarios are developed using scientific data and mathematical models, as well as the experience of epidemiologists, virologists, medical doctors, and biostatisticians."

"RMS is proud to support the expansion of Vita IV’s coverage to include Japan, Germany and Canada excess mortality risk," said Peter Nakada, managing director of RiskMarkets, RMS' dedicated insurance-linked securities team. "The latest issuance reaffirms the market’s willingness to explore emerging risks, and we will continue to expand our modeling capabilities to enable new and innovative securitizations."