Swiss Re Insurance-Linked Fund Management

Xactanalysis Insights and PCS

Redwood Capital XI Ltd. California earthquake cat bond being prepared by Swiss Re


Swiss Re is preparing another catastrophe bond for launch hot on the heels of the successful issuance of Successor X Ltd. The latest cat bond to be marketed by long time market participant Swiss Re is a new deal in its Redwood series providing it with cover against California earthquakes.

Redwood Capital XI Ltd., a Caymans Islands based SPV,  is issuing a $150m deal designed to enable Swiss Re to transfer a portion of their California earthquake risks to the capital markets for a period of one year (the duration of 2010 with the risk period beginning on January 1st). Any losses to holders of the resulting notes are tied to industry losses as reported by PCS. EQECAT Inc. provided risk analysis for the deal. The trigger level is set at $6.5b.

Collateral will be invested in U.S. Treasury money market funds which have to be of a certain rating and level of security. Loss development will be allowed from any event which meets the trigger in extension periods of three months up to twenty four months. Moody’s has assigned a preliminary rating of ‘B1’ to the transactions notes. We’ll keep you updated as more information emerges and as this deal comes to market, and of course full details will be added to our Deal Directory in due course.

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