GI Capital Ltd.
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GI Capital Ltd. - At a glance:
- Issuer / SPV: 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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