Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Constitution Re swap

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Constitution Re swap – At a glance:

  • Issuer: Constitution Re swap
  • Cedent / sponsor: Constitution Re
  • Placement / structuring agent/s: Swiss Re New Markets, Goldman Sachs, E.W. Blanch Capital Markets
  • Risk modelling / calculation agents etc: ?
  • Risks / perils covered: U.S. hurricane risks
  • Size: $10m
  • Trigger type: Modelled loss
  • Ratings: ?
  • Date of issue: Aug 1998

Constitution Re swap – Full details:

Basis swap. Payouts linked to comparative movements of industry losses against windstorm losses incurred by the reinsurer.

Arrow Re, a Goldman Sachs Class 3 reinsurer, worked with E.W. Blanch Capital Markets to hedge the bulk of this exposure by entering into a series of industry loss warranty contracts, referenced against industry-wide losses with a variety of reinsurers.

GS Risk Advisors and Swiss Re New Markets structured instruments that transferred and securitized the difference between the Constitution Re contract and the industry-based contracts and placed them with investors.

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