Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Ratings affirmed on 18 natural catastrophe bonds by S&P


Credit rating agency Standard & Poor’s Ratings Services (S&P) has affirmed the rating for 18 tranches of natural peril catastrophe bonds, from seven issuers, after each tranche of notes went through their annual resets with no issues arising.

Each year many of the markets rated outstanding catastrophe bonds are scrutinised and analysed by S&P, or by the rating agency responsible, to assess whether the probability of attachment remains within the expected range specified in the deals offering documentation and within the bounds expected of its rating.

This assessment takes into account any qualifying losses suffered to date by a cat bond, any changes to the underlying portfolio of risk as well as any difference in expectations, or perceived risk, for the cat bond due to the shortened time to maturity.

All 18 tranches of cat bond notes have undergone annual resets of their probability of attachment and S&P said that in each case the probability of attachment was reset to a percentage consistent with the cat bonds transaction documents and the current rating of each deal.

S&P also reviewed the creditworthiness of each of the ceding companies (or sponsors) as well as the ratings on the collateral that, as long as there are no loss events, would be used to redeem the cat bond principal on the redemption date.

A list of all of the affected catastrophe bonds, along with links to more details from the Artemis Deal Directory on each transaction and the rating of each tranche, can be found below.

Embarcadero Re Ltd. (Series 2012-1)
Series 2012-I Class A BB-(sf)

Ibis Re II Ltd. (Series 2012-1) & Ibis Re II Ltd. (Series 2013-1)
Series 2012-I Class A BB-(sf)
Series 2012-I Class B B-(sf)
Series 2013-I Class A BB+(sf)
Series 2013-I Class B BB-(sf)
Series 2013-I Class C B(sf)

Long Point Re III Ltd. (Series 2012-1)
Series 2012-I Class A BB+(sf)

Mystic Re III Ltd. (Series 2012-1)
Series 2012-I Class A BB(sf)
Series 2012-I Class B B(sf)

Residential Reinsurance 2011 Ltd. (Series 2011-1)
Series 2011-I Class 1 BB-(sf)
Series 2011-I Class 2 B-(sf)
Series 2011-I Class 5 B+(sf)

Residential Reinsurance 2012 Ltd. (Series 2012-1) & Residential Reinsurance 2012 Ltd. (Series 2012-2)
Series 2012-I Class 3 BB-(sf)
Series 2012-I Class 5 BB(sf)
Series 2012-II Class 1 BB+(sf)
Series 2012-II Class 2 BB(sf)

Residential Reinsurance 2013 Ltd. (Series 2013-1) & Residential Reinsurance 2013 Ltd. (Series 2013-2)
Series 2013-I Class 3 B-(sf)
Series 2013-II Class 4 BB-(sf)

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