Swiss Re Insurance-Linked Fund Management

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XL Mid-Ocean Re swap

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XL Mid-Ocean Re swap – At a glance:

  • Issuer: XL Mid-Ocean Re swap
  • Cedent / sponsor: XL Mid-Ocean Re
  • Placement / structuring agent/s: Goldman Sachs, Aon, Guy Carpenter.
  • Risk modelling / calculation agents etc: ?
  • Risks / perils covered: U.S. hurricane, U.S. earthquake, Caribbean hurricane & earthquake
  • Size: $200m
  • Trigger type: Indemnity
  • Ratings: ?
  • Date of issue: Aug 1998

XL Mid-Ocean Re swap – Full details:

Two tranches cover XL Mid-Ocean Re’s upper layer hurricane and earthquake exposure in the U.S. and Caribbean.

Provides retrocessional cover in financial swap form, with claim recovery triggered by actual losses incurred from catastrophes.

This deal was scheduled to be a catastrophe bond but was structured in swap format due to time constraints.

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