Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Calabash Re Ltd.

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Calabash Re Ltd. – At a glance:

  • Issuer: Calabash Re Ltd.
  • Cedent / sponsor: ACE American Insurance Co.
  • Placement / structuring agent/s: Swiss Re structured the deal
  • Risk modelling / calculation agents etc: EQECAT
  • Risks / perils covered: U.S. hurricane
  • Size: $100m
  • Trigger type: Industry loss index
  • Ratings: S&P: 'BB'
  • Date of issue: May 2006
  • news coverage: Articles discussing Calabash Re Ltd. from

Calabash Re Ltd. – Full details:

Swiss Re structured a $100 million cat bond in May to cover reinsurance of US hurricane exposure it provided to Ace American Insurance.

Called Calabash Re, the deal gives Swiss Re a source of index-based coverage for hurricanes in the US on a per-occurrence basis for a three-year period.

If a hurricane passes through the covered area and triggers a loss to Ace’s notional portfolio in excess of a predetermined index value, the note-holders risk a loss of principal.

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