Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Shore Re Ltd.

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Shore Re Ltd. – At a glance:

  • Issuer: Shore Re Ltd.
  • Cedent / sponsor: Massachusetts Property Insurance Underwriting Association
  • Placement / structuring agent/s: GC Securities are sole bookrunner for this transaction. GC Securities and Munich Re are co-lead managers
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: Massachusetts named storm
  • Size: $96m
  • Trigger type: Indemnity
  • Ratings: S&P: 'BB'
  • Date of issue: Jul 2010
  • news coverage: Articles discussing Shore Re Ltd. from

Shore Re Ltd. – Full details:

Munich Re has established a new Caymans Island SPV called Shore Re Ltd. which issued a $96m catastrophe bond on behalf of a Massachusetts state wind insurance pool.

The Massachusetts Property Insurance Underwriting Association (MPIUA) has been reinsured by Munich Re America for a portion of their hurricane risks and they in turn cededed the risk with the capital markets.

The three year deal uses an indemnity trigger and will provide protection against windstorm losses on a per-occurrence basis.

Covered losses will not have any link to Munich Re’s loss experience in the area, rather they will cover the actual paid losses experienced by members of the MPIUA.

The collateral for this deal will be invested in highly rated Treasury money market funds.

The issuance provides cover against extreme event losses caused by hurricanes in Massachusetts with a statistical return period of around 70 years.

The Shore Re cat bond paid interest for the risk at 700 basis points (7%).

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