Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

S&P affirms ratings on five catastrophe bonds after annual resets


Credit rating agency Standard & Poor’s (S&P) has affirmed the ratings on five tranches of catastrophe bond notes from four issuers, after the cat bonds went through their annual resets of attachment probabilities without any major changes.

On an annual basis many of the markets rated outstanding catastrophe bonds are scrutinised by the rating agency responsible to assess whether the probability of attachment remains within expected bounds. The assessment can be based on any qualifying losses suffered to date, changes to the underlying portfolio of risk as well as any difference in expectations for the cat bond due to the shortened time to maturity.

All five tranches of cat bond notes have had their annual resets of their probability of attachment completed and S&P says 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 would be used to redeem the cat bond principal on the redemption date or the rating on the repurchase counterparty, as applicable.

A list of the all 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.

Atlas Reinsurance VII Ltd.
US$60 mil, EUR130 mil fltg rate principal at-risk variable-rate notes due 01/09/2016
Class A – BB-(sf)
Class B – BB(sf)

Green Fields Capital Ltd.
EUR75 mil fltg rate principal-at-risk variable-rate notes series 2011-1 due 01/09/2015
Class A – BB+(sf)

Kibou Ltd.
US$300 mil Principal-At-Risk variable rate notes series 2012-1 due 02/16/2015
Class A – BB+(sf)

Tramline Re Ltd.
US$150 mil var rate principle-at-risk variable-rate notes series 2011-1 due 01/08/2015
Class A – B-(sf)

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