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.

While we try to make this an exhaustive list of triggered catastrophe bonds and cat bonds that have faced losses or 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 bond Sponsor Orig. size Cause of loss Loss amount ~Time to payment Date of loss
Caelus Re V Ltd. (Series 2018-1) Class C Nationwide Mutual Insurance Co. $175m California wildfires ~$70m (priced for ~40% loss) Ongoing 2018
Caelus Re V Ltd. (Series 2018-1) Class D Nationwide Mutual Insurance Co. $75m California wildfires ~$52.5m (priced for ~70% loss) Ongoing 2018
Cal Phoenix Re Ltd. (Series 2018-1) PG&E Corporation $200m California wildfires (Camp Fire) Dependent on liability Ongoing 2018
Residential Reinsurance 2013 Ltd. (Series 2013-2) Class 1 USAA $80m Hurricanes Harvey, Irma, California wildfires, winter storms Partial extension $20m of principal (priced for 65% loss, approx. $7m loss) Ongoing 2017 / 18
Residential Reinsurance 2014 Limited (Series 2014-1) Class 10 USAA $80m Hurricanes Harvey, Irma, California wildfires, winter storms Full extension of $80m of principal (priced as a total loss) Ongoing 2017 / 18
Residential Reinsurance 2015 Limited (Series 2015-1) Class 10 USAA $50m Hurricanes Harvey, Irma, California wildfires, winter storms ~$42.5m (priced for ~85% loss) Ongoing 2017 / 18
Residential Reinsurance 2016 Limited (Series 2016-1) Class 10 USAA $65m Hurricanes Harvey, Irma, California wildfires, winter storms ~$58.5m (priced for ~90% loss) Ongoing 2017 / 18
Residential Reinsurance 2016 Limited (Series 2016-1) Class 11 USAA $75m Hurricanes Harvey, Irma, California wildfires, winter storms ~$15m (priced for ~20% loss) Ongoing 2017 / 18
Residential Reinsurance 2017 Limited (Series 2017-1) Class 10 USAA $50m Hurricanes Harvey, Irma, California wildfires, winter storms Full extension of $50m of principal (expected to be a total loss) Ongoing 2017 / 18
Residential Reinsurance 2017 Limited (Series 2017-1) Class 11 USAA $225m Hurricanes Harvey, Irma, California wildfires, winter storms ~$34m (priced for ~15% loss) Ongoing 2017 / 18
Residential Reinsurance 2017 Limited (Series 2017-2) Class 1 USAA $55m California wildfires 2018 Full extension of $55m of principal (priced for up to 20% loss) Ongoing 2018
Residential Reinsurance 2018 Limited (Series 2018-1) Class 11 USAA $100m Hurricanes Florence, Michael. California wildfires. Convective weather & tornadoes. ~$80m (priced for ~80% loss) Ongoing 2018
Blue Halo Re Ltd. (Series 2016-1) Class B Allianz Risk Transfer $55m Hurricanes Harvey, Irma, Maria ~$30m (priced for ~60% loss) Ongoing 2017
Citrus Re Ltd. (Series 2015-1) Class B Heritage Property and Casualty Insurance Co. $97.5m Hurricane Irma ~$35m (priced for ~50% loss) Ongoing 2017
Citrus Re Ltd. (Series 2015-1) Class C Heritage Property and Casualty Insurance Co. $30m Hurricane Irma ~$20m (expected to be a total loss) Ongoing 2017
Citrus Re Ltd. (Series 2016-1) Class D-50 Heritage Property and Casualty Insurance Co. $150m Hurricane Irma ~$60m (priced for ~40% loss) Ongoing 2017
Citrus Re Ltd. (Series 2016-1) Class E-50 Heritage Property and Casualty Insurance Co. $100m Hurricane Irma $100m (expected to be a total loss) 9 months 2017
Citrus Re Ltd. (Series 2017-1) Class A Heritage Property and Casualty Insurance Co. $125m Hurricane Irma ~$40m (priced for ~55% loss) Ongoing 2017
Citrus Re Ltd. (Series 2017-2) Class B Heritage Property and Casualty Insurance Co. $35m Hurricane Irma $35m (expected to be a total loss) Ongoing 2017
Resilience Re Ltd. (Series 1711A) Unknown $63m Maturity extension, unknown reason ? Ongoing 2017
Resilience Re Ltd. (Series 1741A) Unknown $173m Maturity extension, unknown reason ? Ongoing 2017
Seaside Re 2017-3 Unknown $50m Maturity extension, unknown reason ? Ongoing 2017
Caelus Re V Ltd. (Series 2017-1) Class A Nationwide Mutual Insurance Co. $75m Hurricanes Harvey & Irma, thunderstorms, California wildfires, winter storms ~$7.5m (priced for ~10% loss) Ongoing 2017
Caelus Re V Ltd. (Series 2017-1) Class B Nationwide Mutual Insurance Co. $150m Hurricanes Harvey & Irma, thunderstorms, California wildfires, winter storms ~$127.5m (priced for ~85% loss) Ongoing 2017
Caelus Re V Ltd. (Series 2017-1) Class C Nationwide Mutual Insurance Co. $75m Hurricanes Harvey & Irma, thunderstorms, California wildfires, winter storms ~$75m (priced for ~100% loss) Ongoing 2017
Caelus Re V Ltd. (Series 2017-1) Class D Nationwide Mutual Insurance Co. $75m Hurricanes Harvey & Irma, thunderstorms, California wildfires, winter storms ~$75m (priced for ~100% loss) Ongoing 2017
Loma Reinsurance (Bermuda) Ltd. (Series 2013-1) Class C Argo Group $65m Hurricanes Harvey, Irma & Maria ~$32.5m (priced for ~50% loss) Ongoing 2017
Oak Leaf Re Ltd. (Series 2017-1) Class B Southen Oak Insurance Company $1.04m Hurricane Irma $1.04m Ongoing 2017
Manatee Re Ltd. (Series 2016-1) Class C Safepoint Insurance Company $20m Hurricane Irma $20m (priced for ~100% loss) Ongoing 2017
IBRD / FONDEN 2017 Class A FONDEN / AGROASEMEX S.A. $150m Mexico earthquake $150m 5 weeks 2017
Gator Re Ltd. American Strategic Insurance Group $200m Aggregated storm losses $35m 11 months 2016
MultiCat Mexico Ltd. (Series 2012-1) Class C Swiss Re / FONDEN $100m Hurricane Patricia $50m 4 months 2016
Queen Street III Capital Ltd. Munich Re $150m Collateral shortfall $28,375 n/a 2014
Queen Street II Capital Ltd. Munich Re $100m Collateral shortfall $20,242 n/a 2014
Vega Capital Ltd. (Series 2010-1) Class D Swiss Re $42.6m Hurricane Sandy $7.2m 6 months 2013
Crystal Credit Ltd. Class B Swiss Re $98m Credit insurance claims $47.2m 42 months 2011
Crystal Credit Ltd. Class C Swiss Re $76m Credit insurance claims $76m 42 months 2011
Mariah Re Ltd. (Series 2010-2) American Family Mutual Insurance Co. $100m U.S. severe thunderstorms $100m 3 months 2011
Mariah Re Ltd. (Series 2010-1) American Family Mutual Insurance Co. $100m U.S. severe thunderstorms $100m 3 months 2011
Muteki Ltd. Zenkyoren $300m Tohoku, Japan earthquake $300m 3 months 2011
Vega Capital Ltd. (Series 2010-1) Class D Swiss Re $42.6m Tohoku, Japan earthquake $15.9m 6 months 2011
Avalon Re Ltd. Class C Oil Casualty Insurance Ltd. $135m Casualty losses $12.69m 35 months 2010
Kamp Re 2005 Ltd. Zurich American Insurance Corporation $190m Hurricane Katrina?? $145m 26 months 2009
Nelson Re Ltd. (Series 2008-1) Class G Glacier Reinsurance $67.5m Hurricane Ike $0m n/a 2009
Ajax Re Ltd. Class A Aspen Insurance $100m Swap Counterparty Default (Lehman Brothers) $72m ? 2008
Carillon Ltd. Class A-1 Munich Re $51m Swap Counterparty Default (Lehman Brothers) $31m ? 2008
Newton Re Ltd. (Series 2008-1) Class A Catlin $150m Swap Counterparty Default (Lehman Brothers) $4m ? 2008
Willow Re Ltd. Class B Allstate $250m Swap Counterparty Default (Lehman Brothers) $10m ? 2008
George Town Re Ltd. St Paul Re $68.5m Natural catastrophes & World Trade Center losses $0.5m 17 months 2001
Kelvin Ltd. (First event notes) Koch Energy Trading, Inc. $22m U.S. winter 2000/01 excess cold $5.1m ? 2000

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