Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Helix ’04 Ltd.

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Helix ’04 Ltd. – At a glance:

  • Issuer: Helix ’04 Ltd.
  • Cedent / sponsor: Converium
  • Placement / structuring agent/s: Aon Capital Markets is lead-manager
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S. hurricane, U.S. earthquake, European windstorm, Japan earthquake
  • Size: $100m
  • Trigger type: Modelled loss
  • Ratings: S&P: 'BB+'
  • Date of issue: Jun 2004

Helix ’04 Ltd. – Full details:

This 5 year bond covers European windstorm risk, US earthquake risk, North Atlantic hurricane risk and Japanese earthquake risk.

Helix comprises a single tranche (rated BB+ by S&P) which can only be triggered by a second event. Its assets are only at risk once the trigger point has been hit once. The bond pays out if the trigger point is hit a second time.

The trigger was calculated by AIR Worldwide using a portfolio based on Coverium’s exposure. It’s first triggered when notional losses reach $150m, the second trigger is activated when losses reach $175m. It will pay out according to a sliding scale up to $275m. The notes are triggered only by second and subsequent events in any of the four peril regions during the five-year term of the transaction.

The deal is weighted towards Euro windstorm, thus reflecting Converium’s exposure. 46% of the exposure is Euro windstorm, 28% North Atlantic hurricane, 15% US earthquake and 11% Japanese earthquake. The weighting of the deal may be changed after two years as long as the deal’s expected loss of 1.07% is not changed.

The notes were priced at the London Interbank Offered Rate plus 540 basis points.

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