Kelvin Ltd.

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Kelvin Ltd. - At a glance:

  • Issuer / SPV: Kelvin Ltd.
  • Cedent / Sponsor: Koch Energy Trading, Inc.
  • Placement / structuring agent/s: Goldman Sachs
  • Risk modelling / calculation agents etc: RMS
  • Risks / Perils covered: Temperature risks
  • Size: $50m
  • Trigger type: ?
  • Ratings: ?
  • Date of issue: Nov 1999

Kelvin Ltd. - Full details

3-year transaction transfering to investors the risk associated with certain levels of annual losses across a fixed portfolio of 28 weather derivative contracts, each is based on temperature experience at one of 19 weather stations throughout the U.S. Securities were offered to investors in two tranches, First Event Senior Notes and Second Event Senior Notes, by special-purpose Cayman Islands company Kelvin Ltd. In the event of seasonal perturbations in daily temperature at the 19 locations, the collateral accounts backing the notes will be used to make payments to Koch Energy Trading, under a weather portfolio swap.

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