Validates catastrophe bond trigger terms: attachment point, exhaustion point, and pro-rata payout arithmetic for a given loss event. Determines layer position (BELOW_ATTACHMENT, WITHIN_LAYER, ABOVE_EXHAUSTION) and computed payout percentage. Use as step 2 in the parametric trigger adjudication workflow.
Cat BondICMA Cat Bond PrinciplesSwiss Re sigmaLayer ArithmeticProofs Deferred
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Cat Bond Layer Parameters
Loss level at which the cat bond begins to pay. Below this, no payout.
Loss level at which the cat bond pays out fully (100%). Above this, maximum payout.
Qualifying loss amount for the trigger event (as determined by loss index or indemnity).
Total principal at risk for this tranche.
Type of trigger specified in the cat bond indenture.
pro_rata: proportional payout within layer. binary: full payout once attachment is reached.