Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Trinom Ltd.

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Trinom Ltd. – At a glance:

  • Issuer: Trinom Ltd.
  • Cedent / sponsor: Zurich Insurance Company
  • Placement / structuring agent/s: Morgan Stanley & Aon Capital Markets.
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S. hurricane, U.S. earthquake, European windstorm
  • Size: $161.9m
  • Trigger type: Modelled loss
  • Ratings: S&P: Class A-1 - 'BB', Class A-2 - 'BB+'
  • Date of issue: Jun 2001

Trinom Ltd. – Full details:

This transaction provides Zurich Re with fully collateralized protection against low-frequency, high-severity hurricane and earthquake exposures in the United States, as well as European windstorm.
The securities, which have an initial maturity of three years, were issued by Trinom Ltd., a Bermuda-based special purpose company. Zurich Insurance Company is the counter party to Trinom.

The issue was structured in a synthetic manner, coverage is based on modeled losses on a notional portfolio of Zurich Re. The notional portfolio was structured by Zurich Re so as to match a specific book of its European windstorm, California earthquake and US East Coast hurricane exposure.

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