S&P affirms ratings on four more catastrophe bond transactions

by Artemis on July 21, 2014

Standard & Poor’s Ratings Services (S&P), the most active credit rating agency in the insurance-linked securities (ILS) space, has affirmed its rating for 4 tranches of natural peril catastrophe bonds, from four issuers, after their annual resets.

Each year outstanding catastrophe bonds are typically scrutinised and analysed by S&P, or by the rating agency responsible, to assess whether the probability of attachment remains within the expected range specified in the deals offering documentation and within the bounds expected of its rating.

This is known as the annual reset and also takes into account any qualifying losses suffered to date by a cat bond, any changes to the underlying portfolio of risk as well as any difference in expectations, or perceived risk, for the cat bond due to the shortened time to maturity.

All 4 catastrophe bonds have undergone annual resets of their probability of attachment and S&P said that in each case the probability of attachment was reset to a percentage consistent with the cat bonds transaction documents and the current rating for the transaction.

S&P also reviewed the creditworthiness of each of the ceding companies (or sponsors) as well as the ratings on the collateral held in trust that, as long as there are no loss events, would be used to redeem the cat bond principal on the redemption date.

A list of the four affirmed catastrophe bonds, along with links to more details from the Artemis Deal Directory on each transaction and the rating of each tranche of cat bond notes, can be found below.

Caelus Re 2013 Ltd.
Series 2013-I Class A BB-(sf)

MetroCat Re Ltd.
Series 2013-I Class A BB-(sf)

Mona Lisa Re Ltd.
Series 2013-2 Class A BB-(sf)

Tradewynd Re Ltd.
Series 2013-I Class 1 B+(sf)

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