Newton Re Ltd. (Series 2008-1)

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Newton Re Ltd. (Series 2008-1) - At a glance:

  • Issuer / SPV: Newton Re Ltd. (Series 2008-1)
  • Cedent / Sponsor: Catlin
  • Placement / structuring agent/s: Willis Capital Markets acted as co-lead manager with Lehman Brothers.
  • Risk modelling / calculation agents etc: RMS
  • Risks / Perils covered: U.S. hurricane, U.S. earthquake, European windstorm, Japan typhoon, Japan earthquake
  • Size: $150m
  • Trigger type: Indemnity
  • Ratings: S&P: 'BB'
  • Date of issue: Feb 2008
  • news coverage: Articles discussing Newton Re Ltd. (Series 2008-1) from
  • Other coverage: Link to external coverage

Newton Re Ltd. (Series 2008-1) - Full details

This transaction is unusual as it provides retrocessional ‘catastrophe bond’ type coverage for a diverse portfolio of property catastrophe exposures on an indemnity basis. As it would be triggered by Catlin’s actual losses, it reduces the basis risk present in most index-based or parametric-based catastrophe bond products.

The coverage, which expires on 31 December 2010, will be triggered if Catlin’s losses from defined US windstorms and earthquakes, European windstorms, and Japanese windstorms and earthquakes exceed an annual aggregate threshold amount.

In the transaction, which was completed on 21 February, Catlin has entered into a reinsurance agreement with Newton Re Limited, a special purpose reinsurer established in the Cayman Islands. Newton Re in turn has issued US$150 million of principal at-risk variable rate notes, the proceeds of which will be used to provide collateral for Newton Re’s obligations to Catlin under the reinsurance agreement.

The risk analysis relating to the transaction has been performed by Catlin, which will also perform similar analyses during the subsequent years of the agreement. Risk Management Solutions Inc. has and will continue to review the analysis provided by Catlin.

The notes, which were rated ‘BB’ by Standard & Poor’s and have a coupon of Libor plus 750 basis points.

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