Swiss Re Insurance-Linked Fund Management

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St Agatha Re Ltd.

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St Agatha Re Ltd. – At a glance:

  • Issuer: St Agatha Re Ltd.
  • Cedent / sponsor: Hiscox (Lloyd's Syndicate 33)
  • Placement / structuring agent/s: Aon Capital Markets
  • Risk modelling / calculation agents etc: RMS
  • Risks / perils covered: U.S. earthquake risks
  • Size: $33m
  • Trigger type: Modelled loss
  • Ratings: S&P: 'BB+'
  • Date of issue: Apr 2002

St Agatha Re Ltd. – Full details:

The placement provides Syndicate 33 at Lloyd’s of London, which is managed by Hiscox, with a new source of catastrophe reinsurance protection for earthquake events in the California and New Madrid seismic regions of the USA. Earthquakes occurring in either the New Madrid or California Regions with a magnitude of not less than 5.0 are qualifying events and trigger a loss calculation. It is the first such transaction to provide reinsurance cover exclusively to a Lloyd’s of London syndicate.

The transaction structure incorporates a transparent modelled loss trigger. The notes have a straight forward structure under which coverage limits are based on modeled losses to a notional portfolio. The notional portfolio represents insurance industry exposures in the California and New Madrid regions, and remains fixed for the life of the transaction.

St Agatha Re Ltd., named after the patron saint against earthquakes, issued the notes. St Agatha Re Ltd is a Bermuda domiciled reinsurance company established for this transaction.

The notes were priced at 675 points over LIBOR with an initial maturity of three years. The notes are rated BB+ by Standard & Poor’s.

The cat bond, covers a three-year period beginning April 9, 2002.

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