GI Capital Ltd.

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GI Capital Ltd. – At a glance:

Issuer: GI Capital Ltd.
Cedent / sponsor: Swiss Re
Placement / structuring agent/s: Swiss Re Capital Markets
Risk modelling / calculation agents etc: RMS
Risks / perils covered: Japan earthquake
Size: $125m
Trigger type: Parametric index
Ratings: S&P: 'BB+'
Date of issue: Jun 2004

GI Capital Ltd. – Full details:

This five year deal transfers Japanese earthquake risk to the capital markets. 66% of the deal targets earthquake risks in the Tokyo area.

The deal uses a parametric trigger (it’s triggered when losses reach a certain point on an index matched to the cedents exposure).

Expected loss is 0.76% and it has a BB+ rating from S&P.

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GI Capital Ltd.

GI Capital Ltd. – At a glance:

GI Capital Ltd. – Full details:

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