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Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis

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The cash flows diagram for the mexican CAT bond is described in Figure 4. CAT-MEX Ltd. issues the bond that is placed among investors and invests the proceeds in high quality assets within a collateral account. Simultaneous to the issuance of the bond, CAT-MEX Ltd. enters into a reinsurance contract with SRC. The proceeds of the bond will also serve to provide SRC coverage for earth- quakes in Mexico in connection with an insurance agreement that FONDEN has entered with the European Finance Reinsurance Co. Ltd., an indirect wholly- owned subsidiary of SRC. A separate Event Payment Account was established with the Bank of New York providing FONDEN.