S&P leaves Japan quake exposed cat bond ratings unchanged

Standard & Poor’s, the rating agency, have issued a briefing regarding the ratings of six of the catastrophe bonds exposed to todays Japanese earthquake. The ratings on the six cat bonds which S&P had assessed will remain unchanged for the time being.

However, S&P say that they will be monitoring the situation and may take appropriate action should it become clear that any of the exposed cat bonds likelihood of default increases. They are waiting for updates from issuers and calculation agents to hear whether the earthquake was a triggering event for any of the transactions.

S&P provide ratings for the following transactions:

• Atlas VI Capital Ltd. series 2009-1 class A, rated ‘BB- (sf)’;
• Atlas VI Capital Ltd. series 2010-1, rated ‘B- (sf)’;
• MIDORI Ltd., rated ‘BB+ (sf)’;
• Montana Re Ltd. class E notes, rated ‘B- (sf)’;
• Topiary Capital Ltd., rated ‘BB+ (sf)’; and
• Vega Capital Ltd. class A and B notes, both rated ‘A+ (sf)’.