Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Catastrophe bonds, insurance linked securities, reinsurance capital & investment, risk transfer intelligence.
Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Constitution Re swap

The Artemis Catastrophe Bond and Insurance-linked Securities Deal Directory aims to provide a one-stop resource for information on every cat bond and ILS transaction we hold information on. The content of this Deal Directory is provided as is and there will be some omissions. Help us to keep these cat bond and ILS transaction summaries up to date by contacting us if you see an error or omission that you can correct.

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Constitution Re swap – At a glance:

  • Issuer: Constitution Re swap
  • Cedent / sponsor: Constitution Re
  • Placement / structuring agent/s: Swiss Re New Markets, Goldman Sachs, E.W. Blanch Capital Markets
  • Risk modelling / calculation agents etc: ?
  • Risks / perils covered: U.S. hurricane risks
  • Size: $10m
  • Trigger type: Modelled loss
  • Ratings: ?
  • Date of issue: Aug 1998

Constitution Re swap – Full details:

Basis swap. Payouts linked to comparative movements of industry losses against windstorm losses incurred by the reinsurer.

Arrow Re, a Goldman Sachs Class 3 reinsurer, worked with E.W. Blanch Capital Markets to hedge the bulk of this exposure by entering into a series of industry loss warranty contracts, referenced against industry-wide losses with a variety of reinsurers.

GS Risk Advisors and Swiss Re New Markets structured instruments that transferred and securitized the difference between the Constitution Re contract and the industry-based contracts and placed them with investors.

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