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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Constitution Re swap

Constitution Re swap – At a glance:

Constitution Re swap – Full details:

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