Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Pacific Re

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Pacific Re – At a glance:

  • Issuer: Pacific Re
  • Cedent / sponsor: Yasuda Fire & Marine
  • Placement / structuring agent/s: Aon Capital Markets structured the deal. Munich Re participated.
  • Risk modelling / calculation agents etc: RMS
  • Risks / perils covered: Japan typhoon
  • Size: $80m
  • Trigger type: Indemnity
  • Ratings: Moodys: 'Ba3'
  • Date of issue: Jul 1998

Pacific Re – Full details:

Coverage against Japanese typhoon-related losses. The notes have a dual trigger structure which can be triggered by either one large typhoon or two smaller, separate typhoons.

Multi-year structure with an option to convert the notes to cover a lower layer if a major catastrophe causes reinsurance prices to rise in the traditional market.

The notes priced at 370 points over LIBOR with an initial maturity of five years.

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