Swiss Re closed its third cat bond on behalf of ACE American Insurance Co - the $100mn US wind and quake transaction Calabash Re III Ltd - at the start of the US wind season on 1 June.
The $86mn Class A notes offer three-year cover against US wind and quake and will pay a spread of 1525 basis points (bps) over LIBOR. The $14mn Class B notes cover US quake only and pay LIBOR+550bps.
The two tranches are rated...
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