Swiss Re has successfully completed its first credit reinsurance securitization. According to the company the E252 million issue will fulfill its goal of increasing its capital efficiency through a process of transferring credit insurance risk to the capital markets.

The risk transfer consists of a retrocession agreement between Swiss Re and Crystal Credit. Crystal Credit will issue E252 million of principal at-risk variable-rate notes for this purpose. Meanwhile, the indemnity trigger allows Swiss Re to achieve capital relief at minimal basis risk while providing the investor with the benefit of an actively managed credit insurance book over three years.

The issue, which closed on January 13 2006, was purchased by a variety of institutional investors. It consists of three separate tranches, with an average pre-tax coupon of three month Euribor plus 3.93% per annum, paying quarterly, with a scheduled maturity of three years and a legal final maturity of 6.5 years.

John Fitzpatrick, head of Financial Services for Swiss Re commented, This is the first indemnity-based credit reinsurance securitization ever completed. The objective of the transaction is to achieve economic, regulatory and rating capital relief as part of Swiss Re’s overall objective to transfer risks to the capital markets and further improve capital efficiency.