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Praying for a catastrophe

The logic of plugging together two industries - insurance and capital markets - is irrefutable and inevitable. But pricing insurance risk and selling it to investors is a painful process, frustrated by a glut of insurers selling their cover too cheaply. The visionaries are positioning themselves for a change in circumstances that could be swift and merciless, like the perils they're trying to insure. By David Shirreff.

Cat bond prices are quoted on Bloomberg by Swiss Re New Markets
Current Indicative Prices and Yields
December 31 1998 12:01

January 4th, 1999

These levels are INDICATIVE ONLY, please call for live quotes. Mike Angerame (212) 317-5570
Price Yld over benchmark Underlying risk
*SR Earthquake Class "B" 100 8/32-101 (5.60-4.20%) CA Earthquake
*SR Earthquake Class "C" 100 25/32-101 2/32 (6.15-5.55%) CA Earthquake
*Parametric Re 101 5/32-101 24/32 (2.00-0.85%) US Total Cover
Mosaic Re 101 5/32-101 24/32 (2.00-0.85%) US total cover
Residential Re 101 9/32-101 18/32 (0.90-0.20%) Florida Wind
Trinity 1999 99 17/32-100 20/32 (4.65-3.50%) Florida Wind
Pacific Re **Call for current quote** Japan Wind
* Denotes Private Placements by Swiss Re Capital Markets, Please call for
Copyright 1998 BLOOMBERG L.P.

For three years British Aerospace talked to investment banks about securitizing the downside risk in its aircraft lease portfolio.

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