Swiss Re Insurance-Linked Fund Management

Xactanalysis Insights and PCS

Fusion 2007 Ltd.

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Fusion 2007 Ltd. – At a glance:

  • Issuer: Fusion 2007 Ltd.
  • Cedent / sponsor: Swiss Re
  • Placement / structuring agent/s: ?
  • Risk modelling / calculation agents etc: ?
  • Risks / perils covered: Japan typhoon, Mexico earthquake
  • Size: $140m
  • Trigger type: Parametric index
  • Ratings: Class A - 'B', Class B - 'B', Class C - 'BB+'
  • Date of issue: Jun 2007

Fusion 2007 Ltd. – Full details:

The variable-rate catastrophe bond notes issued by Fusion Ltd., partly sponsored by Kyoei Fire&Marine Insurance Co. (KFMI).

Through this transaction, Swiss Reinsurance Co., as the counterparty, has bought fully collateralized retrocession protection against high severity losses incurred from typhoons in Japan in connection with a reinsurance contract it entered into with KFMI, and against high severity losses incurred from earthquakes in Mexico for a reinsurance contract with FONDEN the Mexican catastrophe fund.

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