Montana Re Ltd. (Series 2010-1)

The Artemis Catastrophe Bond and Insurance-linked Securities Deal Directory aims to provide a one-stop resource for information on every cat bond and ILS transaction we hold information on. The content of this Deal Directory is provided as is and there will be some omissions. Help us to keep these cat bond and ILS transaction summaries up to date by contacting us if you see an error or omission that you can correct.

Montana Re Ltd. (Series 2010-1) - At a glance:

  • Issuer / SPV: Montana Re Ltd. (Series 2010-1)
  • Cedent / Sponsor: Flagstone Re
  • Placement / structuring agent/s: GC Securities structured and placed this deal
  • Risk modelling / calculation agents etc: RMS
  • Risks / Perils covered: U.S. hurricane, U.S. earthquake, European windstorm, Japan typhoon, Japan earthquake
  • Size: $210m
  • Trigger type: Multiple trigger types
  • Ratings: S&P: Class C - 'B', Class E - 'B-'
  • Date of issue: Dec 2010
  • Artemis.bm news coverage: Articles discussing Montana Re Ltd. (Series 2010-1) from Artemis.bm

Montana Re Ltd. (Series 2010-1) - Full details

The second issuance from Montana Re Ltd., Flagstone Re’s Cayman Islands domiciled SPV.

The transaction provides Flagstone Re with three years of fully collateralized retrocessional coverage through Montana Re.

Montana Re 2010 is split into three tranches and provides Flagstone Re with cover against U.S. hurricane and earthquake, Japan typhoon and earthquake, European windstorm, and for the first time, Cayman Islands hurricane.

The deal uses the RMS Paradex model and in index-trigger. It is the first deal with five different perils all using a Paradex trigger. RMS also helped Flagstone design a unique ‘cat in a circle’ parametric arrangement for the Cayman hurricane risk.

$70m of Series 2010 – 1, Class C Principal-at-Risk Variable Rate Notes due January 8, 2014.
$80m of Series 2010-1, Class D Principal-at-Risk Variable Rate Notes due January 8, 2014.
$60m of Series 2010-1, Class E Principal-at-risk Variable Rate Notes due January 8, 2014.

The Class C notes cover losses from U.S. hurricanes and earthquakes on a per-occurrence basis and received a rating of ‘B’ from Standard & Poor’s.

The Class D notes we believe cover the Cayman Islands hurricane risks but were not rated by S&P.

The Class E notes cover losses from second and subsequent U.S. hurricane and earthquake, European windstorm, and Japan earthquake and typhoon on an annual aggregate basis and S&P rated them ‘B-’.




Go back to the Catastrophe Bond Deal Directory

The Artemis Catastrophe Bond & Insurance-Linked Securities Deal Directory is copyright © Steve Evans Ltd. Reproduction or publication without permission is not permitted. Use of this information within a commercial product, or for profit, without a license is strictly prohibited. Contact us if you would like to use this content or to discuss licensing.














Jardine Lloyd Thompson Capital Markets