Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

GI Capital Ltd.

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GI Capital Ltd. – At a glance:

  • Issuer: GI Capital Ltd.
  • Cedent / sponsor: Swiss Re
  • Placement / structuring agent/s: Swiss Re Capital Markets
  • Risk modelling / calculation agents etc: RMS
  • Risks / perils covered: Japan earthquake
  • Size: $125m
  • Trigger type: Parametric index
  • Ratings: S&P: 'BB+'
  • Date of issue: Jun 2004

GI Capital Ltd. – Full details:

This five year deal transfers Japanese earthquake risk to the capital markets. 66% of the deal targets earthquake risks in the Tokyo area.

The deal uses a parametric trigger (it’s triggered when losses reach a certain point on an index matched to the cedents exposure).

Expected loss is 0.76% and it has a BB+ rating from S&P.

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