Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Kamp Re 2005 Ltd.

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Kamp Re 2005 Ltd. – At a glance:

  • Issuer: Kamp Re 2005 Ltd.
  • Cedent / sponsor: Zurich American Insurance Corporation
  • Placement / structuring agent/s: Swiss Re Capital Markets was bookrunner and structured the deal
  • Risk modelling / calculation agents etc: RMS
  • Risks / perils covered: U.S. hurricane, U.S. earthquake
  • Size: $190m
  • Trigger type: Indemnity
  • Ratings: S&P: 'BB+'
  • Date of issue: Aug 2005

Kamp Re 2005 Ltd. – Full details:

Kamp Re 2005 will protect Zurich American Insurance Corporation against U.S. hurricanes for three years and also against quakes on the New Madrid fault. The bond will be triggered if Zurich’s losses from a single storm or quake rise above $1bn.

Swiss Re has also placed itself as a cedent in this deal by selling reinsurance to Zurich and buying into Kamp for protection.

Kamp Re was triggered by the 2005 hurricane season, particularly Katrina with the end result being that investors lost 75% of the principal in the deal. $45m was returned to investors (of the $190m) when the deal reached final maturity.

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