Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Foundation Re III Ltd.

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Foundation Re III Ltd. – At a glance:

  • Issuer: Foundation Re III Ltd.
  • Cedent / sponsor: Hartford Fire Insurance Co.
  • Placement / structuring agent/s: Goldman Sachs are sole bookrunner and lead manager. GC Securities are co-manager. Deutsche Bank Trust Co. Americas are indenture trustee
  • Risk modelling / calculation agents etc: RMS
  • Risks / perils covered: U.S. hurricane
  • Size: $180m
  • Trigger type: Industry loss index
  • Ratings: S&P: 'BB+'
  • Date of issue: Jan 2010
  • news coverage: Articles discussing Foundation Re III Ltd. from

Foundation Re III Ltd. – Full details:

The latest Hartford catastrophe bond through its Foundation SPV based in the Cayman Islands.

Foundation Re III Ltd. was at first marketed as a $100m deal designed to provide the Hartford with reinsurance on a per-occurrence basis over a four year period against certain U.S. hurricanes. It closed at $180m due to good market conditions and investor appetite.

The trigger for the transaction is a state-weighted PCS index-based industry loss trigger. The notes can be triggered by an event index value in excess of $1.2035B on a per occurrence basis and have an exhaustion amount of $1.4035B.

The deal can be extended beyond four years by up to 24 months in three month increments to allow for loss development and reporting (the risk period cannot be extended).

Collateral from the sale of the notes will be invested in highly rated U.S. Treasury money market funds.

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