Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Montana Re Ltd. (Series 2010-1)

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

  • Issuer: 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
  • news coverage: Articles discussing Montana Re Ltd. (Series 2010-1) from

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-’.

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