Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Gold Eagle Capital Ltd.

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Gold Eagle Capital Ltd. – At a glance:

  • Issuer: Gold Eagle Capital Ltd.
  • Cedent / sponsor: American Re
  • Placement / structuring agent/s: American Re Securities Corporation, Merrill Lynch & Co., Salomon Smith Barney acted as placement agents.
  • Risk modelling / calculation agents etc: RMS
  • Risks / perils covered: U.S. hurricane, U.S. earthquake
  • Size: $183m
  • Trigger type: Modelled loss
  • Ratings: Moodys: Class A - 'Baa3', Class 2 - 'Ba2'
  • Date of issue: Nov 1999

Gold Eagle Capital Ltd. – Full details:

The securities provide Gold Eagle Capital Ltd. with funds in order to enter into a catastrophe related index swap agreement with American Re Capital Markets. Payments will be determined by the RMS Cat Index.

They provide cover for Eastern or Gulf Coast hurricanes or midwest or California earthquakes.

Deal is structured in three tranches: $50m Class A floating rate modeled index linked notes, $144m Class B floating rate modeled index linked notes and $6m Class B modeled index linked shares.

The risk period runs through March 31st, 2001.

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