Swiss Re Insurance-Linked Fund Management

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Alpha Wind 2000-A Ltd.

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Alpha Wind 2000-A Ltd. – At a glance:

  • Issuer: Alpha Wind 2000-A Ltd.
  • Cedent / sponsor: State Farm
  • Placement / structuring agent/s: Goldman Sachs structured the securities & co-underwrote them with E.W. Blanch Capital Markets Inc.
  • Risk modelling / calculation agents etc: RMS
  • Risks / perils covered: Florida hurricanes
  • Size: $90m
  • Trigger type: Indemnity
  • Ratings: S&P: 'BB+'
  • Date of issue: May 2000

Alpha Wind 2000-A Ltd. – Full details:

These hurricane cat bond securities provide $90 million of retrocessional coverage to Arrow Re. Arrow Re has reinsured a $100 million portion of an excess-of-loss treaty covering State Farm policies, primarily homeowners, in Florida. This securitization represents a 90% cession of that risk to the holders of the securities.

The securities have been rated ‘BB+’ by Standard & Poor’s.

The deal covers State Farm from certain insured hurricane losses in Florida.

The notes attach at $3.8 billion, roughly a 1 in 100 year loss level. The exhaustion point is a single event loss of approximately $5.7 billion, which RMS estimated to be slightly beyond the 250 year return period loss level.

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