Parametric Re Ltd.

The Artemis Catastrophe Bond and Insurance-linked Securities Deal Directory aims to provide a one-stop resource for information on every cat bond and ILS transaction we hold information on. The content of this Deal Directory is provided as is and there will be some omissions. Help us to keep these cat bond and ILS transaction summaries up to date by contacting us if you see an error or omission that you can correct.

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).




Go back to the Catastrophe Bond Deal Directory

The Artemis Catastrophe Bond & Insurance-Linked Securities Deal Directory is copyright © Steve Evans Ltd. Reproduction or publication without permission is not permitted. Use of this information within a commercial product, or for profit, without a license is strictly prohibited. Contact us if you would like to use this content or to discuss licensing.














Jardine Lloyd Thompson Capital Markets