SR Earthquake Fund, Ltd.
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SR Earthquake Fund, Ltd. - At a glance:
- Issuer / SPV: SR Earthquake Fund, Ltd.
- Cedent / Sponsor: Swiss Re
- Placement / structuring agent/s: Credit Suisse First Boston
- Risk modelling / calculation agents etc: ?
- Risks / Perils covered: California earthquake risks
- Size: $137m
- Trigger type: Industry loss index
- Ratings: Fitch: Class A1 and A2 - 'BBB-', Class B - 'BB', Class C - 'B'
- Date of issue: Jul 1997
SR Earthquake Fund, Ltd. - Full details
This catastrophe bond provides Swiss Re with coverage for California earthquake losses up to $24bn. Triggers for losses are on a pro-rata basis and attach at $18.5 billion, $21 billion and $24 billion. Losses would be calculated using the Property Claims Service index for the state of California.
Class A1 – $42m.
Class A2 – $20m.
Class B – $60.3m.
Class C – $14.7m.
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