Swiss Re Insurance-Linked Fund Management

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S&P affirms rating on Bosphorus 1 Re Ltd. catastrophe bond


Standard & Poor’s (S&P) Ratings Services, the credit rating agency, has affirmed the rating on the Bosphorus 1 Re Ltd. Turkish earthquake catastrophe bond which was sponsored by the Turkish Catastrophe Insurance Pool a year ago.

The $400m Bosphorus 1 Re cat bond, which provides the TCIP with a three year source of fully-collateralized earthquake reinsurance cover on a per-occurrence basis using a parametric trigger, reached its annual reset recently. The deal allows the sponsor to elect to reset weightings for the parametric trigger measurement locations, or to update those locations.

At this years reset the TCIP did not elect to reset the Bosphorus 1 Re cat bonds probability of attachment, according to S&P, which would seem to indicate that no change has been made to the calculation locations or weightings for the parametric trigger this year.

The rating agency reviewed the creditworthiness of the rating on the collateral that will be used to redeem the principal on the notes and observed that it remained unchanged.

As a result S&P has affirmed its ‘BB+ (sf)’ rating on the $400 million principal-at-risk variable-rate class A notes issued by Bosphorus 1 Re Ltd.

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