Swiss Re Insurance-Linked Fund Management

Xactanalysis Insights and PCS

Fitch announces new life insurance reserve financing ratings criteria


Fitch Ratings have announced a new ratings criteria document for the life insurance reserve financing sector. In these transactions the investors are exposed to the risk that a defined block of life insurance business may not mature as expected due to payments being different from those modelled because of differing mortality rates or lapses in policies (it can also be from volatility in the investments).

The new methodology reflects Fitch’s thinking on these structures and incorporates a new default grid derived from Fitch’s leading-edge Prism insurance capital model. Under the new Fitch methodology, measurement of the insurance risk embedded in reserve financing is symmetrical with the reinsurance credit given to the insurers who sponsor the bonds.

Full ratings document here (PDF format), login required.

Press release from Fitch here.

Register today for ILS NYC 2023, our next insurance-linked securities (ILS) market conference. Held in New York City, February 10th, 2023.

Artemis London 2022 - Insurance-linked securities conference in London

Get a ticket soon to ensure you can attend. Secure your place at the event here!

Print Friendly, PDF & Email

Artemis Newsletters and Email Alerts

Receive a regular weekly email newsletter update containing all the top news stories, deals and event information

  • This field is for validation purposes and should be left unchanged.

Receive alert notifications by email for every article from Artemis as it gets published.