Willow Re Ltd. (Series 2008-1)

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

  • Issuer / SPV: Willow Re Ltd. (Series 2008-1)
  • Cedent / Sponsor: Allstate
  • Placement / structuring agent/s: Goldman Sachs managed the deal.
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / Perils covered: U.S. hurricane
  • Size: $250m
  • Trigger type: Industry loss index
  • Ratings: S&P: 'BB+'
  • Date of issue: Jun 2008
  • Artemis.bm news coverage: Articles discussing Willow Re Ltd. (Series 2008-1) from Artemis.bm

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

Allstate have closed their second catastrophe bond deal under the Cayman Islands domiciled Willow Re.
The $250m deal provides Allstate with 3 years protection against windstorms in Texas on a per-occurrence basis.

The deal is structured such that it would be triggered based on industry losses. The initial trigger amount is $950 million and the initial exhaustion amount is $1.20 billion.

AIR will remodel the transaction each year to keep the probability of attachment and expected loss at levels equal to or less than the initial probability of attachment and expected loss, respectively. The trigger and exhaustion amounts will change accordingly to reflect this annual reset.

The Event Index Value will equal the personal property payout factor times the hurricane event Property Claim Services (PCS) industry event personal property loss amount. The Event Index Value will be calculated by AIR. Based on PCS cat update figures, the hurricane event PCS industry event personal property loss amount will equal the amount of insured industry personal property losses in Texas as a result of a hurricane, as estimated and stated in the most recent catastrophe bulletin issued by PCS.

Standard & Poor’s assigned a rating of BB+ to the principal at risk variable rate notes.

Update: Willow Re had issues with making interest payments and was one of the cat bonds to suffer due to the failure of Lehman Brothers. See the Artemis.bm news coverage link above for more details.




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