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

Parametric Re Ltd.

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Parametric Re Ltd. – At a glance:

  • Issuer: Parametric Re Ltd.
  • Cedent / sponsor: Tokio Marine & Nichido Fire Insurance
  • Placement / structuring agent/s: Swiss Re Capital Markets, Goldman Sachs.
  • Risk modelling / calculation agents etc: EQE International
  • Risks / perils covered: Tokyo, Japan earthquakes
  • Size: $100m
  • Trigger type: Parametric
  • Ratings: Moodys: 'Ba2' and 'Baa3'
  • Date of issue: Nov 1997

Parametric Re Ltd. – Full details:

Two tranches over 10 year period, covering indexed losses from any Tokyo earthquake over 7.1. Payout is determined on a sliding scale depending on how much above the M7.1 trigger point an event within the defined area around Tokyo is.

Multiple events were covered by this cat bond but with a limit of one event per 30 day period (to discount aftershocks).

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