Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

SR Earthquake Fund, Ltd.

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SR Earthquake Fund, Ltd. – At a glance:

  • Issuer: SR Earthquake Fund, Ltd.
  • Cedent / sponsor: Swiss Re
  • Placement / structuring agent/s: Credit Suisse First Boston
  • Risk modelling / calculation agents etc: ?
  • Risks / perils covered: California earthquake risks
  • Size: $137m
  • Trigger type: Industry loss index
  • Ratings: Fitch: Class A1 and A2 - 'BBB-', Class B - 'BB', Class C - 'B'
  • Date of issue: Jul 1997

SR Earthquake Fund, Ltd. – Full details:

This catastrophe bond provides Swiss Re with coverage for California earthquake losses up to $24bn. Triggers for losses are on a pro-rata basis and attach at $18.5 billion, $21 billion and $24 billion. Losses would be calculated using the Property Claims Service index for the state of California.

Class A1 – $42m.
Class A2 – $20m.
Class B – $60.3m.
Class C – $14.7m.

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