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Ever since the Lehman Brothers issues the catastrophe bond market has been haunted by the fallout. Now with the market seemingly well on the way back to full health Lehman is still making its presence felt as catastrophe bond deals which used their facilities for a total return swap continue to suffer.

Yesterday Standard & Poor’s took action on six natural catastrophe bonds and lowered their ratings. All the bonds were deals placed during 2007 and 2008. Caelus Re Ltd. from Nationwide Mutual, Carillon Ltd. from Munich Re, East Lane Re Ltd and East Lane Re II Ltd. both from Chubb Group and Residential Re 2008 Ltd. […]

AIR Worldwide has announced that it has now modeled the risks on over $10b worth of catastrophe bonds since the market took off in 1996. They also claim to have modeled the risks on over 56% of the deals struck since 2007. During 2008 they provided services to 70% of the catastrophe bond capital issued […]

Three of the natural catastrophe bonds which were downgraded due to the collapse of Lehman Brothers have been removed from CreditWatch with negative implications by Standard & Poor’s after interest payments were made as scheduled. Ajax Re, Carillon Ltd and Newton Re were all downgraded and put on CreditWatch as there were fears over the […]

At the end of September I posted about the downgrade by Standard & Poor’s of four catastrophe bonds which use Lehman Brothers Special Financing as the total return swap counterparty. Now, it’s A.M. Best’s turn as they have announced a downgrade of three of the the four bonds. Best have downgraded the Class A notes […]

Standard & Poor’s have now downgraded all four of the catastrophe bonds which used Lehman Brothers Special Financing as the total return swap counterparty. The issuers of the bonds have terminated their swaps and are exploring their options and the lack of a counterparty is the reason for the following actions. ‘Ajax Re Ltd.’s class […]

The other major catastrophe to hit the news in the past week is the demise of Lehman Brothers. As a result of the investment bank collapsing, Standard & Poor’s have downgraded four cat bonds which Lehman Brothers subsidiary Lehman Brothers Special Financing acted as swap counterparty on. The bonds in question are: – Ajax Re […]

Standard & Poor’s have amended a default table they use to help them rate insurance linked securitizations and catastrophe bonds. 11 cat bonds and six life mortality securitizations have been affected by the change. These default tables are amended occasionally to help S&P apply a rating that better reflects observed corporate defaults. Ratings on 8 […]