Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Parkton Re Ltd

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Parkton Re Ltd – At a glance:

  • Issuer: Parkton Re Ltd
  • Cedent / sponsor: North Carolina JUA / IUA
  • Placement / structuring agent/s: Swiss Re Capital Markets and GC Securities were co-lead manager and joint bookrunner
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: North Carolina hurricane
  • Size: $200m
  • Trigger type: Indemnity
  • Ratings: S&P: 'B+'
  • Date of issue: Jul 2009
  • news coverage: Articles discussing Parkton Re Ltd from

Parkton Re Ltd – Full details:

Parkton Reinsurance Ltd. is a Cayman Islands special purpose vehicle set up to issue a $200m (increased from $125m due to investor demand) bond on behalf of two North Carolina nonprofit insurance associations (the North Carolina Joint Underwriting Association and the North Carolina Insurance Underwriting Association).

Parkton Re has been issued to provide the two nonprofits with $200m of reinsurance protection against hurricane losses in North Carolina and the Barrier Islands until 6th May 2011. The bond will simply be triggered if storm losses experienced by members of the NCJUA and NCIUA exceed a set amount during the next two years.

Standard and Poor’s have rated Parkton Re Ltd’s. Series 2009-1 notes B+.

Losses will not be directly linked to Swiss Re America’s exposure in the covered area, rather they will be based on the actual losses experienced by the NCJUA and the NCIUA. Standard & Poor’s looked at sea surface temperature data to work out a probability of attachment of 2.24%. The notes cover 16.67% of losses over an attachment level of $2.55B up to the exhaustion level of $3.3B.

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