Constitution Re swap
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Constitution Re swap - At a glance:
- Issuer / SPV: 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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