Parametric Re Ltd.
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Parametric Re Ltd. - At a glance:
- Issuer / SPV: Parametric Re Ltd.
- Cedent / Sponsor: Tokio Marine & Nichido Fire Insurance
- Placement / structuring agent/s: Swiss Re Capital Markets, Goldman Sachs.
- Risk modelling / calculation agents etc: EQE International
- Risks / Perils covered: Tokyo, Japan earthquakes
- Size: $100m
- Trigger type: Parametric
- Ratings: Moodys: 'Ba2' and 'Baa3'
- Date of issue: Nov 1997
Parametric Re Ltd. - Full details
Two tranches over 10 year period, covering indexed losses from any Tokyo earthquake over 7.1. Payout is determined on a sliding scale depending on how much above the M7.1 trigger point an event within the defined area around Tokyo is.
Multiple events were covered by this cat bond but with a limit of one event per 30 day period (to discount aftershocks).
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