RMS Continues to Innovate for Expanded VITA Mortality Bond
Newark, Calif. -
August 02, 2012 -
Risk Management Solutions (RMS) today announced that it has conducted the expert risk analysis for Swiss Re Ltd's latest issuance from the VITA program. The transaction has increased significantly from its initial target of $100 million up to $275 million in only two weeks.
Vita V Series 2012-1 provides Swiss Re Ltd with multi-year extreme mortality protection through the capital markets, with two tranches: one covering catastrophic increases in death rates in Canada and Australia; and the other covering Canada, Australia, and the U.S.
"We are extremely pleased to continue to be involved in the VITA Series and to support the expansion of excess mortality in the ILS market," said Dr. Molly Sullivan, Senior Director of Model Development at RMS LifeRisks. "We are committed to providing the most robust risk quantification possible, and this issuance expands geographically to cover Australia and incorporates a country and gender-specific stochastic longevity model to better quantify baseline mortality trend and uncertainty."
In addition to adding Australia to the modeling, this was the first bond to link together the RMS longevity risk model with RMS excess mortality risk models, to provide a holistic view of the risk using science-based modeling.
Previous versions of VITA used conventional statistical methods for projecting baseline mortality, but the VITA V adoption of the RMS longevity model enables causes of future mortality improvements to be fully explored in the trend risk assessment. The RMS suite of LifeRisks models for excess mortality risk includes pandemic influenza, emerging infectious disease, terrorism, and natural catastrophe. These models simulate highly realistic scenarios in a fully probabilistic framework to assess the risk of a high mortality event in each country.
RMS also conducted the expert analysis for the previous issuance of VITA in August 2011. The VITA IV series of notes provided Swiss Re Ltd with five years of protection against all extreme mortality in the U.S., U.K, Canada, and Germany, including infectious disease, terrorism, and earthquake casualty.
RMS models and software help financial institutions and public agencies evaluate and manage catastrophe risks throughout the world, promoting resilient societies and a sustainable global economy.