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Billions in cat bonds exposed to Hurricane Irma

Posted On: Sep. 7, 2017 1:48 PM CST

Several catastrophe bonds may be affected by Hurricane Irma, according to a report Thursday from S&P Global Ratings Inc.

S&P listed the following bonds as most exposed, adding, “Our ratings on these issues remain unchanged.”

• The $250 million Kilimanjaro Re Ltd. Series 2014-1 Class A notes, for which hurricanes contribute 100% to the modeled annual expected loss. Florida, Louisiana, South Carolina and North Carolina contribute 92.2%, 2.3%, 1.9% and 1.7%, respectively, to the modeled annual expected loss.

• The $200 million Kilimanjaro Re Ltd. Series 2014-1 Class B notes, for which hurricanes contribute 87.7% to the modeled annual expected loss, with Florida, Puerto Rico, Louisiana, Virginia and Georgia contributing 37.9%, 6.2%, 3.6%, 3.1% and 2.7%, respectively, to the modeled annual expected loss.

• The $70 million Residential Reinsurance 2013 Ltd. Series 2013-II Class 4 notes, for which hurricanes contribute 82% to the modeled annual expected loss, with Florida, the Mid-Atlantic, the Southeast, and the Gulf contributing 21%, 19%, 13% and 4%, respectively, to the modeled annual expected loss.

• The $125 million Residential Reinsurance 2015 Ltd. Series 2015-II Class 3 notes, for which hurricanes contribute 81% to the modeled annual expected loss, with Florida, the Mid-Atlantic, the Southeast and the Gulf contributing 24%, 18%, 14%, and 5%, respectively, to the modeled annual expected loss.

• The $110 million Residential Reinsurance 2016 Ltd. Series 2016-I Class 13 notes, for which hurricanes contribute 76% to the modeled annual expected loss, with the Southeast, the Mid-Atlantic, Florida and the Gulf contributing 21%, 20%, 12% and 6%, respectively, to the modeled annual expected loss.

• The $150 million Residential Reinsurance 2016 Ltd. Series 2016-II Class 3 notes, for which hurricanes contribute 81% to the modeled annual expected loss. Florida, the Mid-Atlantic, the Southeast and the Gulf contribute 24%, 18%, 14% and 5%, respectively, to the modeled annual expected loss.

• The $170 million Residential Reinsurance 2016 Ltd. Series 2016-II class 4 notes, for which hurricanes contribute 82% to the modeled annual expected loss, with Florida, the Mid-Atlantic, the Southeast and the Gulf contributing 22%, 19%, 13%, and 4%, respectively, to the modeled annual expected loss.

• The $150 million Residential Reinsurance 2017 Ltd. Series 2017-I Class 13 notes, for which hurricanes contribute 76% to the modeled annual expected loss, with the Southeast, the Mid-Atlantic, Florida and the Gulf contributing 21%, 20%, 12% and 6%, respectively, to the modeled annual expected loss.

• The $125 million Tradewynd Re Ltd. Series 2013-1 Class 1 notes, for which hurricanes contribute 69% to the modeled annual expected loss, with Florida, the Mid-Atlantic and Southeast contributing 63%, 7% and 2%, respectively, to the modeled annual expected loss.

S&P said there are other bonds with relatively limited exposure to Hurricane Irma, including the three 2014-1 Sanders Re Ltd. issuances and the East Lane Re VI Ltd. issuances, which have almost all of their exposures north of Virginia.