Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

PRIME Capital CalQuake & Euro Wind Ltd.

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PRIME Capital CalQuake & Euro Wind Ltd. – At a glance:

  • Issuer: PRIME Capital CalQuake & Euro Wind Ltd.
  • Cedent / sponsor: Munich Re
  • Placement / structuring agent/s: Lehman Re, Goldman Sachs and American Re Securities Corp.
  • Risk modelling / calculation agents etc: RMS
  • Risks / perils covered: U.S. earthquake, European windstorm
  • Size: $135m
  • Trigger type: Parametric index
  • Ratings: S&P: 'BB+'
  • Date of issue: Jan 2001
  • Other coverage: Link to external coverage

PRIME Capital CalQuake & Euro Wind Ltd. – Full details:

Issued at the same time as PRIME Capital Hurricane Ltd., this deal securitizes Munich Re’s exposures to earthquakes in California and windstorms in Europe.

The deals securities are linked to parametric triggers linked to information published by government and meteorological agencies.

In the San Francisco Bay and Los Angeles areas, the triggers are based on earthquake magnitude within specified areas. The European windstorm trigger is a weighted index calculated from windspeed measurements from 600 stations accross five countries.

The placement has a three year term which began on January 1st.

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