The river flood index has at least 50 weighted reference locations across the UK. Losses due will accrue once a minimum of four of these locations experience severe flood warnings lasting a day or more during a period of 12 consecutive days. Location weightings in the flood index, as well as the notional portfolio of earthquake exposures, may also be annually adjusted by Swiss Re to better match its own liabilities.
The notes have a legal maturity of July 2012. They are designed to hedge risks reinsured by Swiss Re for Munich-based insurance group Allianz.
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