S&P affirms ratings on 29 catastrophe bond tranches after annual resets


Rating agency Standard & Poor’s (S&P) said on Friday that it had affirmed its ratings for 29 natural peril catastrophe bond tranches, issued by 13 different special purpose vehicle issuers, after the cat bonds had their annual resets of probability of attachment.

In each catastrophe bonds case, S&P said that the probability of attachment had been reset to a percentage which was consistent with the cat bond transactions documentation and rating.

S&P also reviewed the creditworthiness of each cat bonds ceding company and the ratings on the collateral assets held in trust. All rating factors met with expectations and hence all cat bonds ratings affirmed.

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

Montana Re Ltd.
Series 2010-I Class C B(sf)
Series 2010-I Class E B-(sf)

Foundation Re III Ltd.
Series 2010-I Class A BB(sf)
Series 2011-I Class A BB+(sf)

Residential Reinsurance 2011 Ltd.
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-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)

East Lane Re IV
Series 2011-I Class A BB+(sf)
Series 2011-I Class B BB(sf)

East Lane Re V Ltd.
Series 2012 Class A BB(sf)
Series 2012 Class B BB-(sf)

Johnston Re Ltd.
Series 2011-I Class A BB-(sf)
Series 2011-I Class B BB-(sf)

Compass Re Ltd.
Series 2011-I Class 1 BB-(sf)
Series 2011-I Class 2 BB-(sf)
Series 2011-I Class 3 B+(sf)

Embarcadero Re Ltd.
Series 2011-I Class A BB-(sf)
Series 2012-I Class A BB-(sf)
Series 2012-II Class A BB+(sf)

Ibis Re II Ltd.
Series 2012-I Class A BB-(sf)
Series 2012-I Class B B-(sf)

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

Everglades Re Ltd.
Series 2012-I Class A B+(sf)

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

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