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Fitch updates insurance-linked securities rating criteria


Fitch Ratings has published an updated version of its insurance-linked securities (ILS) rating criteria and methodology, with a number of changes to how it handles assessing ILS and catastrophe bonds but none have affected any existing ratings.

Fitch has had increasing success in recent months in the ILS space, being assigned as the third-party rating agency on a number of catastrophe bonds and insurance or reinsurance linked securitisations.

Yesterday the rating agency released an updated methodology for ILS and catastrophe bond ratings, having performed a periodic review of its criteria, last updated in August 2014.

With this latest update Fitch has addressed issues such as ILS impairments, treatment of investment volatility within collateral accounts and interpretation of the calibration matrix, adding clarity and greater explanation around the impact these factors can have on ratings.

None of the updates have had any effect to existing ratings of outstanding ILS and catastrophe bonds that Fitch assessed.

You can access a copy of the updated ILS rating methodology here.

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

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