Foundation Re Ltd. (Series 2006-1) – Full details:
The second cat bond from the Hartford from their $750m Foundation Re Ltd. shelf programme saw them secure another $105m of U.S. hurricane and earthquake cover.
Foundation Re Ltd., a special purpose Cayman Islands class B insurer issued the Class D notes from the $750 million catastrophe bond program and invested the proceeds in high-quality assets within a Regulation 114 trust account, and will swap the total return of that asset portfolio with Delta Reinsurance Ltd. (Delta Re).
RMS provided risk modelling and the industry loss index will be calculated using PCS data. The Class D notes cover a 26.25% quota share of catastrophic earthquake and hurricane index losses in the range of $1.34 – $1.74 billion. The annual probability of attachment for the notes is 1.59%.
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