Swiss Re Insurance-Linked Fund Management

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Mariah Re Ltd. (Series 2010-2)

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Mariah Re Ltd. (Series 2010-2) – At a glance:

  • Issuer: Mariah Re Ltd. (Series 2010-2)
  • Cedent / sponsor: American Family Mutual Insurance Co.
  • Placement / structuring agent/s: Aon Benfield Securities are sole bookrunner. Deutsche Bank are looking after collateral arrangements
  • Risk modelling / calculation agents etc: AIR Worldwide are calculation and reset agent. Property Claims Services are reporting agent
  • Risks / perils covered: U.S. severe thunderstorm
  • Size: $100m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Dec 2010
  • news coverage: Articles discussing Mariah Re Ltd. (Series 2010-2) from

Mariah Re Ltd. (Series 2010-2) – Full details:

A month after American Family Mutual Insurance Co. closed its first ever catastrophe bond transaction, the $100m Mariah Re Ltd. Series 2010-1 thunderstorm catastrophe bond, they have again tapped the capital markets to secure a second tranche of Series 2010-2 cat bond cover under the same programme.

The first Mariah Re tranche, issued in November, protected AmFam against U.S. thunderstorm losses and had an initial attachment point of $825m. This new tranche secures a layer of cover below that by attaching at $725m. A covered event is any severe thunderstorm with an event index equal to or greater than $10m and it has a maximum event index for a single event of $300m.

Mariah Re uses a PCS industry loss index as its trigger based on insured personal and auto property losses.

Update: The Mariah Re 2010-2 cat bond was triggered and is now a total loss after covered tornado losses reached it’s exhaustion point. Investors stand to lose their full principle on this deal, and the investors in the Series 2010-1 tranche are now exposed to some losses as well.

Update July 2013: The Mariah Re Ltd. cat bond payout is being disputed and the case has gone to litigation. The law suit claims that the reporting on events, upgrading catastrophes from non-metro to metro classification, was unorthodox and so a legal claim has been filed. More details.

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