Arbor I Ltd.

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Arbor I Ltd. – At a glance:

  • Issuer: Arbor I Ltd.
  • Cedent / sponsor: Swiss Re
  • Placement / structuring agent/s: Swiss Re Capital Markets acted as sole bookrunner
  • Risk modelling / calculation agents etc: ?
  • Risks / perils covered: U.S. hurricanes, European windstorms, California earthquakes and Japanese earthquakes
  • Size: $95m
  • Trigger type: Parametric index
  • Ratings: S&P: 'B'
  • Date of issue: Aug 2003

Arbor I Ltd. – Full details:

Swiss Reinsurance Co. has arranged $95 million in protection against a collection of natural catastrophe exposures through a catastrophe bond program the company is calling Arbor. It uses a Cayman Islands exempted companies (SPC) which was created, and which issued the catastrophe bonds.

Proceeds from the bonds, which have four-year maturities, will back contracts between the special purpose vehicle and Swiss Re, indemnifying the Zurich-based reinsurer should any of the specified natural catastrophes occur.

The financial contracts provide protection to Swiss Re based on parametric index triggers and have similar structural characteristics (e.g., index, attachment points, etc.) as the corresponding single peril tranches of the Pioneer deal.

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