Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Trinity Re Ltd.

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Trinity Re Ltd. – At a glance:

  • Issuer: Trinity Re Ltd.
  • Cedent / sponsor: Centre Solutions (Bermuda)
  • Placement / structuring agent/s: Goldman Sachs, Chase, Donaldson Lufkin & Jenrette, Zurich Capital Markets.
  • Risk modelling / calculation agents etc: ?
  • Risks / perils covered: Florida hurricanes
  • Size: $83.5m
  • Trigger type: Indemnity
  • Ratings: Fitch: Class A1 - 'AAA', Class A-2 - 'BB'
  • Date of issue: Mar 1998

Trinity Re Ltd. – Full details:

Two tranches, covering 1 year of Florida hurricane losses. The securities feature an innovative trigger reset mechanism which resets features of the bond following a hurricane loss. The reset mechanism limits the level of risk assumed by investors while providing some flexibility to the insurer to grow and otherwise change the underlying book of Florida residential insurance policies. The offering is also the first insurance securitization to feature book-entry format, which is expected to enhance liquidity for the security in the secondary market. Centre Solutions (Bermuda) Limited believes the Trinity Re offering sets a new benchmark in terms of low cost risk transfer utilizing a structure that can be applied to a broad array of risks.

Loss of principal on the bond is triggered when Centre Solutions (Bermuda) Limited incurs losses as the direct result of a hurricane under an excess of loss reinsurance policy the company has written to a Florida residential property insurer.

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