Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Tramline Re II Ltd. (Series 2013-1)

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Tramline Re II Ltd. (Series 2013-1) – At a glance:

  • Issuer: Tramline Re II Ltd. (Series 2013-1)
  • Cedent / sponsor: Amlin AG
  • Placement / structuring agent/s: Aon Benfield Securities are sole structurer and bookrunner
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S earthquake, Canada earthquake
  • Size: $75m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Jun 2013
  • Coupon / pricing yield Class A: 3.25%
  • news coverage: Articles discussing Tramline Re II Ltd. (Series 2013-1) from

Tramline Re II Ltd. (Series 2013-1) – Full details:

Tramline Re II Ltd. is a newly registered Bermuda domiciled special purpose insurer (SPI) established for the purpose of issuing series of catastrophe bond notes.

With this 2013-1 issuance a single tranche of Class A notes is being issued by Tramline Re II Ltd. for the purpose of collateralizing a reinsurance agreement.

The deal will provide Amlin with a multi-year source of fully-collateralized reinsurance protection for U.S. and Canadian earthquake risks, including fire following.

The catastrophe bond will provide Amlin with reinsurance protection on a per-occurrence basis using an industry loss trigger. A state weighted PCS index will be used for U.S. earthquake risks, while for the Canadian earthquake risks the PCS index will be weighted by province.

The attachment point for the notes is an index level of $325m and the exhaustion $425m, with an attachment probability of 1.49%, an exhaustion probability of 1% and an expected loss of 1.21%. The notes are being marketed with a coupon price guide range of 3.25% to 3.75%.

Historical modelling shows that the notes would have faced a 100% loss of principal from the 1906 San Francisco earthquake and the 1812 New Madrid quake. Events such as the 1994 Northridge quake would not have come close to the attachment point.

Collateral from the sale of the notes will be invested in money market funds focues on highly rated treasuries.

The deal will provide cover for a four-year term up to July 2017.

Update: The price guidance range for these notes narrowed while marketing slightly to 3.25% to 3.5%.

Update 2: The deal settled with pricing at the lower end of the range at 3.25%. The size of the issuance did not change at $75m.

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