Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Calabash Re III Ltd.

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Calabash Re III Ltd. – At a glance:

  • Issuer: Calabash Re III Ltd.
  • Cedent / sponsor: ACE American Insurance Co.
  • Placement / structuring agent/s: Swiss Re are marketing and arranging the deal
  • Risk modelling / calculation agents etc: ?
  • Risks / perils covered: U.S. hurricane, U.S. earthquake
  • Size: $100m
  • Trigger type: Modelled loss
  • Ratings: S&P: Class A - 'BB-', Class B - 'BB+'
  • Date of issue: Jun 2009
  • news coverage: Articles discussing Calabash Re III Ltd. from

Calabash Re III Ltd. – Full details:

Swiss Re has issued another catastrophe bond on behalf of it’s subsidiary Swiss Reinsurance America Corp.

Calabash Re III Ltd., the third issuance under the Calabash Re SPV and cat bond program, is a $100m bond designed to cover Swiss Re America from risks ceded to them through the reinsurance cover they provide to P&C insurer Ace Limited. So the ultimate beneficiary of any loss to Calabash Re III is Ace.

The deal covers Swiss Re America for a portion of their book of reinsurance with Ace. The deal is split into two tranches; $86m of Class A notes to cover U.S. hurricane and earthquake risks and $14m of Class B notes which cover only U.S. earthquakes.

The earthquake only tranche is said to have been in high demand, demonstrating the appetite for diversity of risks.

Standard & Poor’s have given the tranches ratings of BB- and BB+ respectively.

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