Swiss Re Insurance-Linked Fund Management

Xactanalysis Insights and PCS

Ajax Re Ltd.

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Ajax Re Ltd. – At a glance:

  • Issuer: Ajax Re Ltd.
  • Cedent / sponsor: Aspen Insurance
  • Placement / structuring agent/s: Willis Capital Markets acted as co-lead manager. Lehman Brothers acted as initial purchaser and bookrunner.
  • Risk modelling / calculation agents etc: ?
  • Risks / perils covered: California earthquake
  • Size: $100m
  • Trigger type: Industry loss index
  • Ratings: S&P: 'BB'
  • Date of issue: Apr 2007
  • news coverage: Articles discussing Ajax Re Ltd. from
  • Other coverage: Link to external coverage

Ajax Re Ltd. – Full details:

Aspen entered into a multi-year property catastrophe reinsurance agreement with Ajax Re Ltd. to provide up to $100 million of reinsurance coverage for Aspen’s insurance subsidiaries in the event of one or more California earthquakes.

Ajax Re issued the notes as part of a $1 billion shelf program. Loss payments are calculated using a PCS industry index of losses.

The notes have acoupon of Libor +625 basis points and mature on May 9, 2009.

The collapse of the Lehman Brothers in 2008 left the Class A tranche of Ajax Re Ltd. notes without a viable total return swap counterparty. Ajax Re Ltd. was downgraded due to it’s indirect exposure to the collapse of Lehman Brothers and nervousness about it’s ability to pay it’s quarterly interest amounts. It made those payments okay in the end but on May 8th was due to pay it’s principal, this payment was not made in full due to a shortfall in the value of the collateral assets under the total-return swap. S&P’s systems automatically withdrew the ratings at that time.

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