Alpha Wind 2000-A Ltd.

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Alpha Wind 2000-A Ltd. - At a glance:

• Issuer / SPV: Alpha Wind 2000-A Ltd.
• Cedent / Sponsor: State Farm
• Placement / structuring agent/s: Goldman Sachs structured the securities & co-underwrote them with E.W. Blanch Capital Markets Inc.
• Risk modelling / calculation agents etc: RMS
• Risks / Perils covered: Florida hurricanes
• Size: $90m
• Trigger type: Indemnity
• Ratings: S&P: 'BB+'
• Date of issue: May 2000

Alpha Wind 2000-A Ltd. - Full details

These hurricane cat bond securities provide $90 million of retrocessional coverage to Arrow Re. Arrow Re has reinsured a $100 million portion of an excess-of-loss treaty covering State Farm policies, primarily homeowners, in Florida. This securitization represents a 90% cession of that risk to the holders of the securities.

The securities have been rated ‘BB+’ by Standard & Poor’s.

The deal covers State Farm from certain insured hurricane losses in Florida.

The notes attach at $3.8 billion, roughly a 1 in 100 year loss level. The exhaustion point is a single event loss of approximately $5.7 billion, which RMS estimated to be slightly beyond the 250 year return period loss level.