The credit ratings of the Crystal Credit insurance linked security transaction have been amended by Standard & Poor’s following reporting of the latest claims activity affecting the deal.
Claims activity for the second quarter of 2010 have been in line with S&P’s expectations but the aggregate claims paid and reported have now progressed sufficiently for S&P to make a more accurate estimate of the final claims Crystal Credit will be liable for. As a result of this new data S&P says that the class B and C tranches are likely to default at maturity and the class A tranche is more likely to survive intact.
Crystal Credit is an insurance linked securitization for payments related to an indemnity-based excess of loss transaction between Swiss Re and Crystal Credit protecting the risks of a portfolio of credit reinsurance treaties.
The ratings on the class A notes has been raised to ‘BB-‘ from ‘B+’, the class B notes have been downgraded to ‘CC’ from ‘CCC+’ and the class C notes have remained unchanged at ‘CC’.