Three tranches of catastrophe bond notes issued by Atlas VI Capital Ltd. on behalf of SCOR, the French reinsurance firm, have had their ratings affirmed after they underwent their annual resets of attachment probabilities without any major changes.
Credit rating agency Standard & Poor’s (S&P) announced that it has affirmed the issue ratings on the $125m Series 2011-1 Class A notes, on the $145m Series 2011-1 Class B notes and on the €50m Series 2011-2 Class A notes issued by Atlas VI Capital Ltd.
At the end of each annual risk period the Atlas VI Capital cat bonds are assessed by S&P to check that the probability of attachment remains within expected bounds. The assessment is typically based on whether there have been any qualifying losses suffered to date which in the case of the Atlas VI Capital notes there haven’t been, any changes to the underlying portfolio of risk as well as any difference in expectations for the notes due to a shortened time to maturity.
In the case of each of these Atlas VI Capital tranches of cat bond notes, S&P said that the probability of attachment was reset to a percentage consistent with the original transaction documents and the current rating. S&P also reviewed the creditworthiness of each of the ceding companies (or sponsors) as well as the ratings on the collateral that would be used to redeem the cat bond principal on the redemption date or the rating on the repurchase counterparty, as applicable.
A list of the affected Atlas VI Capital Ltd. catastrophe bonds, along with a link to more details from the Artemis Deal Directory on the transaction and the affirmed rating of each tranche, can be found below.
Series 2011-1 – $125m Class A – B(sf) – due 31st Dec 2014
Series 2011-1 – $145m Class B – B+(sf) – due 31st Dec 2014
Series 2011-2 – €50m Class A – B(sf) – due 31st Mar 2015