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 bond | Sponsor | Orig. size | Cause of loss | Loss amount | ~Time to payment | Date of loss |
|---|---|---|---|---|---|---|
| Sanders Re II Ltd. (Series 2020-1) Class B | Allstate | $100m | Aggregated severe weather through 2023/24 risk period | TBC. Mark to market implied ~50% loss of principle. Deductible ~82% eroded. | Ongoing | 2023/24 |
| Topanga Re Ltd. (Series 2021-1) - Class B | Farmers Insurance Group | $60m | Aggregated catastrophe losses, largely severe and convective weather related | TBC. Mark to market implied 20% to 35% loss of principal | Ongoing | 2023 |
| Claveau Re Ltd. (Series 2021-1) | Arch Capital Group Ltd. | $150m | Aggregated catastrophe losses incl. Sep 2022 Hurricane Ian, Dec 2022 Winter Storm Elliott, and Feb 2023 Turkey earthquake | TBC. Principal reduced to $124.6m, suggesting $25.4m recovery so far. Remaining principal marked for bids of ~75. | Ongoing | 2023 |
| Matterhorn Re Ltd. (Series 2020-2) - Class A | Swiss Re | $80m | Mortality rate increase | 38.56% reduction in the notional outstanding, so $49.15m remains marked at around 50. | Ongoing | ? |
| Bonanza Re Ltd. (Series 2023-1) Class B | ARX Holding Corp. (Progressive Home) | $65m | Aggregate catastrophe losses through calendar year 2023 | Notes had been repeatedly marked down to as low as bids of ~20 cents, but aggregated losses failed to reach the attachment, resulting in a full recovery for investors. | No loss | N/A |
| Vita Capital VI Limited (Series 2021-1) | Swiss Re | $120m | Mortality rate increase for UK and US | 100% of principal trigged for a recovery, collateral set to be redeemed. | Ongoing | May 2023 |
| IBRD / FONDEN 2020 - Class D | FONDEN / AGROASEMEX S.A. | $125m | Pacific Hurricane Otis | TBC (appears 25% or 50% of principal) | Ongoing | Oct 2023 |
| Kilimanjaro III Re Ltd. (Series 2019-2) - Class A-2 | Everest Group | $150m | Hurricane Ian | Small recovery currently expected based on latest industry loss estimate. | Ongoing | Sep 2022 |
| Kilimanjaro III Re Ltd. (Series 2019-1) - Class A-1 | Everest Group | $150m | Hurricane Ian | Small recovery currently expected based on latest industry loss estimate. | Ongoing | Sep 2022 |
| Herbie Re Ltd. (Series 2021-1) | Fidelis | $150m | Hurricane Ian, Tukey earthquake, US SCS | Mark to market implied 30% to 40% loss on remaining principal. Principal reduction after recovery, to $139.74m outstanding. | Ongoing | Sep 2022 |
| Integrity Re Ltd. (Series 2022-1) | American Integrity Insurance Company of Florida, Inc. | $50m | Hurricane Ian | Mark to market implied ~10% to 20% loss of principal. | Ongoing | Sep 2022 |
| Integrity Re II Pte. Ltd. (Series 2020-1) - Class A | American Integrity Insurance Company of Florida, Inc. | $150m | Hurricane Ian | Mark to market implied ~100% loss of principal. Maturity extended. | Ongoing | Sep 2022 |
| Integrity Re Ltd. (Series 2019-1) | American Integrity Insurance Company of Florida, Inc. | $50m | Hurricane Ian | Mark to market implied ~20% to 50% loss of principal. Maturity extended. | Ongoing | Sep 2022 |
| Residential Reinsurance 2019 Limited (Series 2019-1) - Class 12 | USAA | $60m | Aggregated catastrophe events | 50% of principal returned, leaving $30m extended. Mark to market implied ~20% loss of remaining principal. | Ongoing | TBC |
| FloodSmart Re Ltd. (Series 2020-1) - Class B | FEMA / NFIP | $100m | Hurricane Ian | Redeemed in full after FEMA decided the notes would not be triggered. | No payout | Sep 2022 |
| Herbie Re Ltd. (Series 2020-2) - Class C | Fidelis | $25m | Hurricane Ian | Mark to market implied ~30% loss of principal. Reported ~25% principal reduction after recovery, to $18.7m outstanding. | Ongoing | Sep 2022 |
| Sanders Re III Ltd. (Series 2022-2) - Class B | Allstate | $100m | Hurricane Ian | Recovered to par | No loss | Sep 2022 |
| Sanders Re III Ltd. (Series 2022-2) - Class C | Allstate | $37.5m | Hurricane Ian | Mark to market implied ~100% loss of principal. Maturity extended to 2026. | Unknown, paid out in full | Sep 2022 |
| IBRD CAR 123-124 - Class B | Republic of the Philippines | $97.5m | Super typhoon Noru (Karding) | Event notice submitted by sponsor. Mark to market implied ~100% loss of remaining principal | Ongoing | Sep 2022 |
| Pelican IV Re Ltd. (Series 2021-1) - Class B | Louisiana Citizens Property Insurance Corporation | $50m | Hurricane Ida | 100% loss of principal | Ongoing | 2021 |
| Pelican IV Re Ltd. (Series 2021-1) - Class A | Louisiana Citizens Property Insurance Corporation | $75m | Hurricane Ida | 100% loss of principal | Ongoing | 2021 |
| Sanders Re II Ltd. (Series 2020-1) Class B | Allstate | $100m | Aggregate losses, largely from winter storm Uri and related Texas freeze in 2020/21 risk period | $3.2m recovered. | Unknown | 2021 |
| IBRD CAR 123-124 - Class B | Republic of the Philippines | $150m | Typhoon Rai (Odette) | 35% of $150m Class B notes - $52.5m | Ongoing | Dec 2021 |
| Manatee Re III Pte. Ltd. (Series 2019-1) - Class B | Safepoint Insurance Company | $20m | Hurricane Ida | 100% loss of principal | Approx. 12 months | 2021 |
| Manatee Re III Pte. Ltd. (Series 2019-1) - Class A | Safepoint Insurance Company | $20m | Hurricane Ida | Mark to market implied ~75% loss of principal | Ongoing | 2021 |
| Catahoula Re Pte. Ltd. (Series 2020-1) | Louisiana Citizens Property Insurance Corporation | $60m | Hurricane Ida | 100% loss of principal | Approx.18 months | 2021 |
| Sanders Re II Ltd. (Series 2019-1) | Allstate | $300m | Aggregate losses, largely from winter storm Uri and related Texas freeze | $300m | Unknown, paid out in full | 2021 |
| Caelus Re VI Ltd. (Series 2020-2) Class A-2 | Nationwide Mutual Insurance Co. | $75m | Hurricanes, severe weather and winter storms 2020/21 risk period | Mark to market implied ~$75m (priced for 100% loss) | Ongoing | 2020/21 |
| Caelus Re VI Ltd. (Series 2020-2) Class B-2 | Nationwide Mutual Insurance Co. | $75m | Hurricanes, severe weather and winter storms 2020/21 risk period | Mark to market implied ~$75m (priced for ~100% loss) | Ongoing | 2020/21 |
| Caelus Re VI Ltd. (Series 2020-2) Class C-2 | Nationwide Mutual Insurance Co. | $40m | Hurricanes, severe weather and winter storms 2020/21 risk period | 100% loss of principal | Approx. 18 months | 2020/21 |
| Caelus Re V Ltd. (Series 2018-1) Class A | Nationwide Mutual Insurance Co. | $75m | Hurricanes, severe weather and winter storms 2020/21 risk period | Mark to market implied ~$3m (priced for ~35% loss) | Ongoing | 2020/21 |
| Caelus Re V Ltd. (Series 2018-1) Class B | Nationwide Mutual Insurance Co. | $75m | Hurricanes, severe weather and winter storms 2020/21 risk period | Mark to market implied ~$75m (priced for ~100% loss) | Ongoing | 2020/21 |
| Caelus Re V Ltd. (Series 2018-1) Class C | Nationwide Mutual Insurance Co. | $175m | Hurricanes, severe weather and winter storms 2020/21 risk period | Mark to market implied ~$175m (priced for ~100% loss) | Ongoing | 2020/21 |
| Caelus Re V Ltd. (Series 2018-1) Class D | Nationwide Mutual Insurance Co. | $75m | Hurricanes, severe weather and winter storms 2020/21 risk period | 100% loss of principal | Approx. 18 months | 2020/21 |
| Orchard ILS Pte Ltd. | Insurance Australia Group (IAG) | A$75m (US $54m) | Australian bushfires (2019/20) | A$75m | ? | 2020 |
| IBRD CAR Series 112 Class A | Pandemic Emergency Financing Facility (PEF) | $225m | Triggered by Covid-19 coronavirus pandemic | $37.5m - 16.67% loss of principal | Payouts began in two and a half to three weeks | 2020 |
| IBRD CAR Series 112 Class B | Pandemic Emergency Financing Facility (PEF) | $95m | Triggered by Covid-19 coronavirus pandemic | $95m - 100% loss of principal | Payouts began in two and a half to three weeks | 2020 |
| Residential Reinsurance 2018 Limited (Series 2018-1) Class 11 | USAA | $100m | Hurricanes Florence, Michael. California wildfires. Convective weather & tornadoes. | Total loss. Principal reduced by $42.6m in Dec 2019, then by $57.4m in Feb 2020, leaving balance at zero. | Approx. 15 months | 2018 |
| Frontline Re Ltd. (Series 2018-1) - Class A | Frontline Insurance | $250m | Hurricane Michael 2018 | ~$200m paid out. Remaining $50m marked at around 80 to 85 cents on the dollar. | Ongoing | 2018 |
| Frontline Re Ltd. (Series 2018-1) - Class B | Frontline Insurance | $100m | Hurricane Michael 2018 | $76.37m paid out. Marked down for bids around zero (Aug '22). | Ongoing | 2018 |
| Dodeka XXI | Unknown | $17.96m | Catastrophe events, inc. hurricane Dorian, typhoon's Faxai & Hagibis | Loss reserve set at approx. 8%, ~$1.44m | ? | 2019 |
| Atmos Re DAC | UnipolSai Assicurazioni S.p.A. | €45m | Severe weather, flooding | ~€45m (priced for ~100% loss, Nov 2019) | Approx. 12 months, paid out in full. | 2019 |
| Atlas IX Capital Limited (Series 2015-1) | SCOR | $150m | 2017 Hurricanes Harvey, Irma, Maria | $43.49m | ? | Jun 2019 |
| Blue Halo Re Ltd. (Series 2016-1) Class B | Allianz Risk Transfer | $55m | Hurricanes Harvey, Irma, Maria, possibly 2018 events as well | $47.87m reduction in principal | Approx. 20 months | 2017 |
| Resilience Re Ltd. (Series 1861A) | Unknown | $37m | Maturity extension, unknown reason | ? | Ongoing | 2018 |
| IBRD CAR 120 | Republic of Peru | $200m | M8.0 earthquake | $60m - 30% loss of principal | Pay out determination after 24 or 25 days | May 2019 |
| Seaside Re 2018-2 | Unknown | $50m | Maturity extension from Jan 2019, unknown reason | ? | Ongoing | 2018 |
| Akibare Re Ltd. (Series 2016-1) | Mitsui Sumitomo Insurance Co. Ltd. | $200m | Japan typhoon losses | ~$200m (priced for ~100% loss) | Ongoing ($103.4m paid out in 2020) | 2018 |
| Cal Phoenix Re Ltd. (Series 2018-1) | PG&E Corporation | $200m | California wildfires (Camp Fire) | $200m | Paid out in 2020 | 2018 |
| Espada Reinsurance Limited (Series 2016-1) | USAA | $50m | Hurricanes Harvey, Irma, California wildfires, winter storms | ~$6m in loss payments made. ~$44m returned to investors. | Approx. 53 months, principal reduced to zero at end of Feb 2023 | 2017 / 18 |
| 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 | $80m - Principal reduced to zero but notes extended to Jun 2020. | Ongoing | 2017 / 18 |
| Residential Reinsurance 2015 Limited (Series 2015-1) Class 10 | USAA | $50m | Hurricanes Harvey, Irma, California wildfires, winter storms | Loss payments reduced by wildfire subrogation | Roughly 34 months | 2017 / 18 |
| Residential Reinsurance 2015 Limited (Series 2015-1) Class 11 | USAA | $100m | Hurricanes Harvey, Irma, California wildfires, winter storms | Principal reduced to $19.55m (priced for a further 15% loss of principal) | Ongoing | 2017 / 18 |
| Residential Reinsurance 2016 Limited (Series 2016-1) Class 10 | USAA | $65m | Hurricanes Harvey, Irma, California wildfires, winter storms | Loss payments reduced by wildfire subrogation. ~$14m returned to investors, the rest recovered by sponsor under reinsurance. | Approx. 53 months, principal reduced to zero at end of Feb 2023 | 2017 / 18 |
| Residential Reinsurance 2016 Limited (Series 2016-1) Class 11 | USAA | $75m | Hurricanes Harvey, Irma, California wildfires, winter storms | Principal reduced to ~$74.67m (priced for ~15% loss) | Ongoing | 2017 / 18 |
| Residential Reinsurance 2017 Limited (Series 2017-1) Class 10 | USAA | $50m | Hurricanes Harvey, Irma, California wildfires, winter storms | $50m | Approx. 12 months | 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 |
| Citrus Re Ltd. (Series 2015-1) Class B | Heritage Property and Casualty Insurance Co. | $97.5m | Hurricane Irma | $94.95m | Approx. 30 months (Irma Sept. 2017, to notes delisted with small balance Mar. 2020) | 2017 |
| Citrus Re Ltd. (Series 2015-1) Class C | Heritage Property and Casualty Insurance Co. | $30m | Hurricane 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. | $150m | Hurricane Irma | $116.68m | Loss payments finished in 2020 | 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) | Approx. 19 months (Irma Sept. 2017, to notes delisted with zero balance Mar. 2019) | 2017 |
| Citrus Re Ltd. (Series 2017-1) Class A | Heritage Property and Casualty Insurance Co. | $125m | Hurricane Irma | $94.43m paid out | Loss payments finished in 2020 | 2017 |
| Citrus Re Ltd. (Series 2017-2) Class B | Heritage Property and Casualty Insurance Co. | $35m | Hurricane Irma | $35m? | Approx. 19 months (Irma Sept. 2017, to notes delisted with zero balance Mar. 2019) | 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 |
| Caelus Re V Ltd. (Series 2017-1) Class B | Nationwide Mutual Insurance Co. | $75m | Hurricanes Harvey & Irma, thunderstorms, California wildfires, winter storms | Half of tranche allowed to be redeemed, leaving $75m which is still marked down ~20%. | 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 (~90% loss still priced in by market) | Ongoing | 2017 |
| Caelus Re V Ltd. (Series 2017-1) Class D | Nationwide Mutual Insurance Co. | $75m | Hurricanes Harvey & Irma, thunderstorms, California wildfires, winter storms | 100% loss of principal | Approx. 18 months | 2017 |
| Loma Reinsurance (Bermuda) Ltd. (Series 2013-1) Class C | Argo Group | $65m | Hurricanes Harvey, Irma & Maria | ~$52m (priced for ~80% 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) | Approx. 19 months (Irma Sept. 2017, to notes delisted Mar. 2019) | 2017 |
| Seaside Re 2017-3 | Unknown | $50m | Maturity extension from Jan 2018, unknown reason | Matured at Dec 2018. Unknown if any payout made. | 11 months | 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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