Tradition Re's Dutch auction hedges 2010 hurricane risk
Tradition Re, the US reinsurance division of interdealer broker Tradition, has completed a Dutch auction on behalf of a reinsurer aiming to hedge risk during the 2010 hurricane season in Florida.
Offers were submitted in the form of point price levels, as traded on the Chicago Mercantile Exchange (CME), for a Florida CME Hurricane Index (CHI) Seasonal Accumulated Binary Option with a strike level of 22 – this denotes the level of hurricane damage, as measured against the CHI.
The Dutch auction format meant offers were accepted in a minimum bid size of $1million (100 lots) and increments of
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