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May 29, 2001
EQECAT, Inc. announced that it provided the risk analysis in support of the recent Swiss Re-sponsored SR Wind Ltd. issue, consisting of $120 million of four-year securities, which provide protection against one or more US hurricanes and one or more French windstorms. The UShurricane risk included the securitization of Puerto Rico risks, marking the first time that this region has been explicitly included in an insurance-linked transaction.
The risk modeling also employed the use of "second generation parametric loss triggers," which characterize the event severity, defined as wind speed, over a series of discrete points located within the region of interest. Dr. Mahmoud Khater of EQECAT said,
"the use of second generation triggers greatly minimizes the basis risk associated with the original parametric triggers that relied on wind gates, circles or boxes." He noted that "these new triggers are especially appropriate for use by reinsurers who typically have insufficient insurance data to issue an indemnity based security, and yet still provide the transparency desired by rating agencies and investors."
EQECAT has pioneered the use of parametric loss triggers, providing the earthquake parametric risk analysis for the very first parametric transaction, Parametric Re, as well as the first non-insurer issuer, Oriental Land (Tokyo Disneyland) which also used a parametric loss trigger.
Swiss Re Capital Markets Corporation acted as lead manager and Lehman Brothers Inc. as co-manager in the privately placed securities. Standard & Poor's and Fitch rated both the A-1 notes (primarily French windstorm) and the A-2 notes (primarily US hurricane) floating rate tranches BB+.
EQECAT, Inc. provides state-of-the-art products and services to the global property and casualty insurance, reinsurance and financial markets. EQECAT is the technical leader and innovator of catastrophe risk management models that quantify exposure to a range of natural and man-made catastrophic risks.
Through its modeling software platform, WORLDCATenterprise™, EQECAT enables clients to quantify and manage the potential financial impact of natural hazards. WORLDCATenterprise includes 181 natural hazard software models for 95 countries spanning six continents. These models are based upon innovative applications of the latest science, engineering expertise, claims and exposure data and advanced mathematics.
EQECAT, a subsidiary of ABSG Consulting Inc., was founded in 1994 and is headquartered in Oakland, California.
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