Swiss Re Insurance-Linked Fund Management

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S&P affirms MultiCat Mexico cat bond as Odile not a triggering event


Rating agency Standard & Poor’s has now affirmed its rating on the MultiCat Mexico Ltd. (Series 2012-1) Class C catastrophe bond notes and removed them from CreditWatch as hurricane Odile was not a triggering event.

The MultiCat Mexico 2012 Class C cat bond notes had been threatened with a 50% loss to investors, after hurricane Odile’s landfall looked likely to breach the parametric trigger. However, revisions to the data in the final National Hurricane Center report put the notes out of harms way and investors will now face no loss of principal, as we wrote earlier this week.

S&P said today that it has affirmed its ‘B- (sf)’ rating on the $100m MultiCat Mexico Ltd. Series 2012-1 Class C cat bond notes. At the same time, S&P has removed the rating from CreditWatch with negative implications, where it had placed it on the 18th September 2014.

S&P explains:

On Sept. 15, 2014, Hurricane Odile made landfall near Cabo San Lucas in Mexico, an area where the class C notes cover losses from hurricanes. On Sept. 16, Swiss Reinsurance Co. Ltd. submitted an event notice to the calculation agent, AIR Worldwide Corp.

On Sept. 18, we placed our rating on the class C notes on CreditWatch to reflect the possibility that a triggering event may have occurred.

On Dec. 19, the National Hurricane Center, the reporting agency, published its cyclone report for Hurricane Odile. The report contained the data needed for AIR to determine whether Hurricane Odile was a trigger event or not. On Dec. 23, AIR published its event report, which confirmed that it had determined that the hurricane was not a triggering event.

For this reason, we are affirming our rating on the class C notes at ‘B- (sf)’.

Read our previous coverage of the fate of the MultiCat Mexico 2012 cat bond after hurricane Odile’s landfall:

– 15th September, Did hurricane Odile just trigger the MultiCat Mexico 2012 cat bond?

– 18th September, MultiCat Mexico 2012 cat bond payout not guaranteed yet.

– 19th September, Fate of MultiCat Mexico 2012 should be known within 120 days: S&P.

– 22nd December, MultiCat Mexico 2012 cat bond may not trigger, hurricane Odile data shows.

– 29th December, No Odile loss for MultiCat Mexico 2012 catastrophe bond.

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