Swiss Re Insurance-Linked Fund Management

Xactanalysis Insights and PCS

Arbor II Ltd.

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Arbor II Ltd. – At a glance:

  • Issuer: Arbor II 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: U.S. hurricane, European windstorm, California earthquake, Japan earthquake
  • Size: $27m
  • Trigger type: Parametric index
  • Ratings: S&P: 'A+'
  • Date of issue: Aug 2003

Arbor II Ltd. – Full details:

Swiss Reinsurance Co. has arranged $27 million in protection against a collection of natural catastrophe exposures through a catastrophe bond program the company is calling Arbor II Ltd., a special purpose Cayman Islands exempted companies (SPC).

Proceeds from the bonds, which have four-year maturities, will back contracts between the special purpose vehicles and Swiss Re, indemnifying the Zurich-based reinsurer should any of the specified natural catastrophes occur and qualify under the terms of Arbor II Ltd.

The financial contracts in Arbor II Ltd. provide protection to Swiss Re based on parametric index triggers and have similar structural characteristics (e.g., index, attachment points, etc.) as the corresponding single peril tranches of the Pioneer deal.

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