$100m cat bond to cover US hurricane and earthquakes risks

Swiss Re has sold a $100m catastrophe bond covering exposures ceded to it by Ace, Reuters reports.

The bond was issued via special-purpose vehicle Calabash Re and split into tranches of $86m and $14m, the first covering US hurricane and earthquake risks, and the second US earthquake risk only.

Swiss Re priced the Class A notes to yield 15.25% over six-month Libor minus 20 basis points, and the quake-only Class B tranche to yield 5.5%.

Credit rating agency Standard & Poor's assigned ratings of BB- and BB+, respectively, to the two tranches last month.

Swiss Reinsurance America Corp is cedent for the deal, which will cover it against a portion of the exposure it has written for ACE American Insurance.