Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Gamut Re Ltd.

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Gamut Re Ltd. – At a glance:

  • Issuer: Gamut Re Ltd.
  • Cedent / sponsor: Nephila Capital
  • Placement / structuring agent/s: Underwritten by Goldman Sachs and Swiss Re Capital Markets
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: Multi peril
  • Size: $310m
  • Trigger type: Indemnity
  • Ratings: ?
  • Date of issue: Jun 2007
  • news coverage: Articles discussing Gamut Re Ltd. from
  • Other coverage: Link to external coverage

Gamut Re Ltd. – Full details:

Gamut Re is a sidecar type vehicle which can “participate in the property catastrophe reinsurance and catastrophe bond markets until the end of 2009,” the statement added.

“The funds raised by Gamut Re will be used to source a diversified portfolio of natural catastrophe risks which will be managed using collateralised debt obligation (CDO) technology. Its unique structure leverages the resources of Nephila Capital’s expertise in the catastrophe bond, industry loss warranty, and reinsurance markets.”

The deal consists of five tranches, two of which are unrated. Class A notes at $60m with a A- rating, Class B notes at $120m with a BBB– rating, Class C notes at $60m with a BB- rating, Class D and E are unrated and sized at $25m and $45m respectively.

The Class A tranche has an attachment probability of 0.15% and an expected loss of 0.02%. The Class B tranche has an attachment probability of 0.54% and an expected loss of 0.244%. The Class C tranche has an attachment probability of 2.79% and an expected loss of 1.675%.

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