Redwood Capital XI gives protection for California earthquake risk

Swiss Re has placed a $150m cat bond, Redwood Capital XI. The notes are rated “B1” by Moody’s.

Swiss Re Capital Markets acted as sole manager and bookrunner on theissuance. The collateral for this issuance of Redwood XI notes consists of treasury money market funds. Risk modelling and analysis was performed by EQECAT.

This cat bond gives protection for California earthquake risk. Swiss Re would receive up to $150m of payments in the event of a California earthquake in the covered area that meets specific trigger criteria. The transaction covers a one-year risk period ending on 31 December 2010.

Redwood XI is a special purpose vehicle with a flexible structure that will allow subsequent issuances of notes. Over $2.1 billion of protection has been raised through prior Redwood programmes.