Sakura Capital Ltd.
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Sakura Capital Ltd. - At a glance:
- Issuer / SPV: Sakura Capital Ltd.
- Cedent / Sponsor: Swiss Re
- Placement / structuring agent/s: Swiss Re Capital Markets acted as sole bookrunner
- Risk modelling / calculation agents etc: ?
- Risks / Perils covered: Japan earthquake
- Size: $15m
- Trigger type: Parametric index
- Ratings: S&P: 'BB+'
- Date of issue: Aug 2003
Sakura Capital Ltd. - Full details
Sakura Ltd., a Cayman Islands special purpose vehicle, provides Swiss Re with a layer of protection for certain Japanese earthquake risks over four years.
The transaction utilises a parametric trigger based on an index which has specified attachment and exhaustion points to calculate how much of the cat bond prinicipal is lost after an event.
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