Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

S&P updates default table, changes cat bond ratings


Standard & Poor’s have amended a default table they use to help them rate insurance linked securitizations and catastrophe bonds. 11 cat bonds and six life mortality securitizations have been affected by the change. These default tables are amended occasionally to help S&P apply a rating that better reflects observed corporate defaults.

Ratings on 8 cat bonds and 1 mortality bond have been raised by one notch while ratings on 3 cat bonds and 4 mortality bonds were downgraded by one notch. One mortality bond was downgraded by two notches.

Below are details of the changes to the affected bonds.

                                              To          From
Ratings raised
Calabash Re II Ltd. Class D1                  BB-         B+
Carillon Ltd. Series 1 Class A-1              BB-         B+
Fusion 2007 Ltd. Class B                      B+          B
MedQuake Ltd. Series 1 Class B                B+          B
Mystic Re II Ltd. Series 2007-1               BB-         B+
Residential Reinsurance 2006 Ltd. Class A     B+          B
Residential Reinsurance 2007 Ltd. Class 2     B+          B
Queen Street Ltd. Class B                     B+          B
Vita Capital II Ltd. Class B                  A+          A
Ratings lowered
Atlas Reinsurance IV Ltd.                     B-          B
Fusion 2007 Ltd. Class A                      B-          B
Nathan Ltd. Class A Series 1                  BBB+        A-
Successor Hurricane Industry Ltd.
  Series 6 Class D                            B-          B
OSIRIS Capital PLC Series 2 Class B           BBB+        A-
Vita Capital II Ltd. Class C                  BBB+        A-
Vita Capital III Ltd.
  Series 6* Class A                           A+          AA-
  Series 7 Class A                            A           AA-

*Financial guarantee provided by CIFG Europe (A+/Negative/–)

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