Catastrophe bond losses: cat bonds defaulted, triggered or at risk

This directory lists catastrophe bond losses, transactions which have been triggered, paid out or defaulted and those considered at risk of doing so, along with information on the details behind each cat bond triggering event. Click on the name of each catastrophe bond for details of the transaction, as well as more information on the loss and the reason it was triggered, defaulted or why it paid out.

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While we try to make this an exhaustive list of triggered catastrophe bonds and cat bonds that have defaulted sometimes there is no public information available to us. If you know of another triggered catastrophe bond we should add to this list please contact us.

Cat bondSponsorOrig. sizeCause of lossLoss amount~Time to paymentDate of loss
Seaside Re 2018-2Unknown$50mMaturity extension from Jan 2019, unknown reason?Ongoing2018
Akibare Re Ltd. (Series 2016-1)Mitsui Sumitomo Insurance Co. Ltd.$200mJapan typhoon losses~$60m (priced for ~30% loss)Ongoing2018
Caelus Re V Ltd. (Series 2018-1) Class CNationwide Mutual Insurance Co.$175mCalifornia wildfires~$44m (priced for ~25% loss)Ongoing2018
Caelus Re V Ltd. (Series 2018-1) Class DNationwide Mutual Insurance Co.$75mCalifornia wildfires~$48m (priced for ~65% loss)Ongoing2018
Cal Phoenix Re Ltd. (Series 2018-1)PG&E Corporation$200mCalifornia wildfires (Camp Fire)Dependent on liabilityOngoing2018
Residential Reinsurance 2013 Ltd. (Series 2013-2) Class 1USAA$80mHurricanes Harvey, Irma, California wildfires, winter stormsPartial extension $20m of principal (priced for 65% loss, approx. $7m loss)Ongoing2017 / 18
Residential Reinsurance 2014 Limited (Series 2014-1) Class 10USAA$80mHurricanes Harvey, Irma, California wildfires, winter stormsFull extension of $80m of principal (priced as a total loss)Ongoing2017 / 18
Residential Reinsurance 2015 Limited (Series 2015-1) Class 10USAA$50mHurricanes Harvey, Irma, California wildfires, winter storms~$42.5m (priced for ~85% loss)Ongoing2017 / 18
Residential Reinsurance 2016 Limited (Series 2016-1) Class 10USAA$65mHurricanes Harvey, Irma, California wildfires, winter storms~$58.5m (priced for ~90% loss)Ongoing2017 / 18
Residential Reinsurance 2016 Limited (Series 2016-1) Class 11USAA$75mHurricanes Harvey, Irma, California wildfires, winter storms~$15m (priced for ~20% loss)Ongoing2017 / 18
Residential Reinsurance 2017 Limited (Series 2017-1) Class 10USAA$50mHurricanes Harvey, Irma, California wildfires, winter stormsFull extension of $50m of principal (expected to be a total loss)Ongoing2017 / 18
Residential Reinsurance 2017 Limited (Series 2017-1) Class 11USAA$225mHurricanes Harvey, Irma, California wildfires, winter storms~$34m (priced for ~15% loss)Ongoing2017 / 18
Residential Reinsurance 2017 Limited (Series 2017-2) Class 1USAA$55mCalifornia wildfires 2018Full extension of $55m of principal (priced for up to 20% loss)Ongoing2018
Residential Reinsurance 2018 Limited (Series 2018-1) Class 11USAA$100mHurricanes Florence, Michael. California wildfires. Convective weather & tornadoes.~$80m (priced for ~80% loss)Ongoing2018
Blue Halo Re Ltd. (Series 2016-1) Class BAllianz Risk Transfer$55mHurricanes Harvey, Irma, Maria~$30m (priced for ~60% loss)Ongoing2017
Citrus Re Ltd. (Series 2015-1) Class BHeritage Property and Casualty Insurance Co.$97.5mHurricane Irma~$35m (priced for ~50% loss)Ongoing2017
Citrus Re Ltd. (Series 2015-1) Class CHeritage Property and Casualty Insurance Co.$30mHurricane Irma$30m?Approx. 19 months (Irma Sept. 2017, to notes delisted with zero balance Mar. 2019)2017
Citrus Re Ltd. (Series 2016-1) Class D-50 Heritage Property and Casualty Insurance Co.$150mHurricane Irma~$75m (priced for ~50% loss)Ongoing2017
Citrus Re Ltd. (Series 2016-1) Class E-50 Heritage Property and Casualty Insurance Co.$100mHurricane Irma$100m (expected to be a total loss)9 months2017
Citrus Re Ltd. (Series 2017-1) Class AHeritage Property and Casualty Insurance Co.$125mHurricane Irma~$40m (priced for ~55% loss)Ongoing2017
Citrus Re Ltd. (Series 2017-2) Class BHeritage Property and Casualty Insurance Co.$35mHurricane Irma$35m?Approx. 19 months (Irma Sept. 2017, to notes delisted with zero balance Mar. 2019)2017
Resilience Re Ltd. (Series 1711A)Unknown$63mMaturity extension, unknown reason?Ongoing2017
Resilience Re Ltd. (Series 1741A)Unknown$173mMaturity extension, unknown reason?Ongoing2017
Caelus Re V Ltd. (Series 2017-1) Class ANationwide Mutual Insurance Co.$75mHurricanes Harvey & Irma, thunderstorms, California wildfires, winter storms~$7.5m (priced for ~10% loss)Ongoing2017
Caelus Re V Ltd. (Series 2017-1) Class BNationwide Mutual Insurance Co.$150mHurricanes Harvey & Irma, thunderstorms, California wildfires, winter storms~$124.5m (priced for ~83% loss)Ongoing2017
Caelus Re V Ltd. (Series 2017-1) Class CNationwide Mutual Insurance Co.$75mHurricanes Harvey & Irma, thunderstorms, California wildfires, winter storms~$75m (priced for ~100% loss)Ongoing2017
Caelus Re V Ltd. (Series 2017-1) Class DNationwide Mutual Insurance Co.$75mHurricanes Harvey & Irma, thunderstorms, California wildfires, winter storms$75m (priced for ~100% loss)Ongoing2017
Loma Reinsurance (Bermuda) Ltd. (Series 2013-1) Class CArgo Group$65mHurricanes Harvey, Irma & Maria~$32.5m (priced for ~50% loss)Ongoing2017
Oak Leaf Re Ltd. (Series 2017-1) Class BSouthen Oak Insurance Company$1.04mHurricane Irma$1.04mOngoing2017
Manatee Re Ltd. (Series 2016-1) Class CSafepoint Insurance Company$20mHurricane Irma$20m (priced for ~100% loss)Ongoing2017
Seaside Re 2017-3Unknown$50mMaturity extension from Jan 2018, unknown reasonMatured at Dec 2018. Unknown if any payout made.11 months2017
IBRD / FONDEN 2017 Class AFONDEN / AGROASEMEX S.A.$150mMexico earthquake$150m5 weeks2017
Gator Re Ltd.American Strategic Insurance Group$200mAggregated storm losses$35m11 months2016
MultiCat Mexico Ltd. (Series 2012-1) Class CSwiss Re / FONDEN$100mHurricane Patricia$50m4 months2016
Queen Street III Capital Ltd.Munich Re$150mCollateral shortfall$28,375n/a2014
Queen Street II Capital Ltd.Munich Re$100mCollateral shortfall$20,242n/a2014
Vega Capital Ltd. (Series 2010-1) Class DSwiss Re$42.6mHurricane Sandy$7.2m6 months2013
Crystal Credit Ltd. Class BSwiss Re$98mCredit insurance claims$47.2m42 months2011
Crystal Credit Ltd. Class CSwiss Re$76mCredit insurance claims$76m42 months2011
Mariah Re Ltd. (Series 2010-2)American Family Mutual Insurance Co.$100mU.S. severe thunderstorms$100m3 months2011
Mariah Re Ltd. (Series 2010-1)American Family Mutual Insurance Co.$100mU.S. severe thunderstorms$100m3 months2011
Muteki Ltd.Zenkyoren$300mTohoku, Japan earthquake$300m3 months2011
Vega Capital Ltd. (Series 2010-1) Class DSwiss Re$42.6mTohoku, Japan earthquake$15.9m6 months2011
Avalon Re Ltd. Class COil Casualty Insurance Ltd.$135mCasualty losses$12.69m35 months2010
Kamp Re 2005 Ltd.Zurich American Insurance Corporation$190mHurricane Katrina??$145m26 months2009
Nelson Re Ltd. (Series 2008-1) Class GGlacier Reinsurance$67.5mHurricane Ike$0mn/a2009
Ajax Re Ltd. Class AAspen Insurance$100mSwap Counterparty Default (Lehman Brothers)$72m?2008
Carillon Ltd. Class A-1Munich Re$51mSwap Counterparty Default (Lehman Brothers)$31m?2008
Newton Re Ltd. (Series 2008-1) Class ACatlin$150mSwap Counterparty Default (Lehman Brothers)$4m?2008
Willow Re Ltd. Class BAllstate$250mSwap Counterparty Default (Lehman Brothers)$10m?2008
George Town Re Ltd.St Paul Re$68.5mNatural catastrophes & World Trade Center losses$0.5m17 months2001
Kelvin Ltd. (First event notes)Koch Energy Trading, Inc.$22mU.S. winter 2000/01 excess cold$5.1m?2000

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