Calabash Re Ltd.

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Calabash Re Ltd. - At a glance:

• Issuer / SPV: Calabash Re Ltd.
• Cedent / Sponsor: ACE American Insurance Co.
• Placement / structuring agent/s: Swiss Re structured the deal
• Risk modelling / calculation agents etc: EQECAT
• Risks / Perils covered: U.S. hurricane
• Size: $100m
• Trigger type: Industry loss index
• Ratings: S&P: 'BB'
• Date of issue: May 2006

Calabash Re Ltd. - Full details

Swiss Re structured a $100 million cat bond in May to cover reinsurance of US hurricane exposure it provided to Ace American Insurance.

Called Calabash Re, the deal gives Swiss Re a source of index-based coverage for hurricanes in the US on a per-occurrence basis for a three-year period.

If a hurricane passes through the covered area and triggers a loss to Ace’s notional portfolio in excess of a predetermined index value, the note-holders risk a loss of principal.