Hurricane Irma poses risk to 13 rated cat bonds

Hurricane Irma, which is set to hit Southeastern Florida late Saturday (Sept. 9) or on Sunday poses a risk to 13 rated catastrophe bonds, according to S&P Global Ratings.

Among the cat bonds at risk are the $250 million Kilimanjaro Re Series 2014-1 Class A notes. Hurricanes contribute 100 percent to the modelled annual expected loss. As of the most recent reset, Florida contributes 92.2 percent to the modelled annual expected loss.

In addition, there are the $200 million Kilimanjaro Re Series 2014-1 Class B notes. Hurricanes contribute 87.7 percent to the modelled annual expected loss. As of the most recent reset, Florida contributes 37.9 percent to the modelled annual expected loss.

Hurricane Irma, currently a Category 5 storm in the Caribbean, is forecast to reach Southern Florida as a major hurricane (Category 3+).

The group of cat bonds at risk also includes $70 million Residential Reinsurance 2013 Series 2013-II Class 4 Notes, for which Hurricanes contribute 82 percent to the modelled annual expected loss, as well as $125 million Residential Reinsurance 2015 Series 2015-II Class 3 Notes, for which Hurricanes contribute 81 percent to the modelled annual expected loss.