Variable product reinsurance

Abstract

A Variable Product reinsurance structure including: (i) a reinsurance Agreement between a Variable Product issuer (Ceding Company), and a separate account or Cell of a reinsurer, qualifying for (re)insurance accounting under FAS 133; and (ii) a plurality of derivative instruments qualifying for mark-to-market accounting under FAS 133, designed to hedge exposure to an index of securities that correlates to the specific market risks assumed by the Cell under the Agreement (hedges), purchased for the account of the Cell from multiple dealers, wherein none of the hedge dealers retains more than 50% of the risk of loss. The structure may also include (A) a basis hedge purchased from a third party dealer to hedge other risks assumed by the Cell or (B)(1) a note issued by the Cell, (2) an assumption by the Ceding Company of the risk of non-payment by the hedge dealers and, (3) a contract with an intermediary.

Dependencies are inferred from the claim text.