Swiss Re Insurance-Linked Fund Management

Xactanalysis Insights and PCS



S&P downgrades five more catastrophe bonds on hurricane model update

30th July 2011

Standard & Poor’s (S&P) has now finished resolving the ratings issues surrounding 16 catastrophe bond tranches which use the Risk Management Solutions (RMS) U.S. hurricane model. The RMS model was updated earlier this year causing the probability of attachment for some cat bonds to increase, thus resulting in an assessment and new rating from S&P.

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S&P to resolve ratings on RMS model exposed catastrophe bonds shortly

27th June 2011

Sixteen tranches of outstanding catastrophe bond transactions were placed on CreditWatch negative on the 18th April as a result of the updated hurricane risk model launched by Risk Management Solutions (RMS). Ratings agency Standard & Poor’s placed the notes on watch while it assessed the impact to the cat bonds risk profile and trigger points.

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