SCOR IN MORTALITY RISK SWAP DEAL WITH JP MORGAN

French reinsurer Scor has signed an index-linked mortality risk swap with US-based investment bank JP Morgan. The swap is indexed against a weighted combination of US and European population mortality, measured over two consecutive calendar years. A payment will be triggered if at any time during the period covered, the index exceeds 115%, up to an exhaustion point of 125%. A pro-rata payment of up to $100m and €36m will be made by JP Morgan between these levels. Scor said that the risk swap had been fully collateralised. The agreement runs from the beginning of this year to the end of 2011. Scor said that the contract protected it against major pandemics, natural catastrophes or terrorist attacks. Scor Global Life CEO Gilles Meyer said that “life risks make up a significant portion of Scor’s composite portfolio. This extreme mortality swap effectively hedges our balance sheet against a potential shock event...”. In November last year, Scor signed a multi-year catastrophe retrocession agreement with Atlas Re IV Ltd, providing €160m of retrocessional cover.