Insurance and capital markets: convergence or collision course?
In February 2008, Munich Re unveiled an unusual $1.5 billion programme for transferring extreme mortality risk to the capital markets. Through an issuing vehicle, Nathan, it launched an initial $100 million of principal-at-risk variable rate notes paying Libor plus 135 basis points to protect the company against large losses deriving from an exceptional rise in mortality rates in the US, Canada, England and Wales, and Germany.
What might trigger such a distressing event? A nuclear war would do it.
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