NU Online News Service, July 21, 2:16 p.m. EDT
Standard & Poor's Ratings Services lowered its ratings on six natural peril catastrophe bonds, issued in 2007 and 2008, to reflect the adjusted probability of attachment after the rating agency updated its criteria for rating these bonds.
After applying the updated criteria and reviewing the annual reset reports, S&P decided these six bonds warranted a lower rating, said S&P analyst Gary Martucci.
He stressed that the ratings change reflects criteria changes only, and not a fundamental change in any of the deals. "It has nothing to do with any collateral in the accounts or change in the risks," he said.
The six bonds and rating changes are:
o Caelus Re Ltd. Series 2008-1 Class A, changed to "BB" from "BB-plus."
o Carillon Ltd. Series 2 Class E, changed to "B-minus" from "B."
o East Lane Re II Ltd. Series 2008-1 Class C, changed to "CCC-plus" from "B-minus."
o East Lane Re Ltd. Series 2007-1 Class B, changed to "BB" from "BB-plus."
o Residential Reinsurance 2008 Ltd. Class 1, changed to "BB-minus" from "BB."
o Residential Reinsurance 2008 Ltd. Class 2, changed to "B-minus" from "B."
Additionally, S&P placed four catastrophe bonds, all related to the Residential Reinsurance 2007 Ltd. issuance, on CreditWatch with negative implications. "We are awaiting updated occurrence and aggregate exceedence probability curves from the transaction modeling agent, AIR," S&P said. The four cat bonds are:
o Residential Reinsurance 2007 Ltd. Class 2.
o Residential Reinsurance 2007 Ltd. Class 3.
o Residential Reinsurance 2007 Ltd. Class 4.
o Residential Reinsurance 2007 Ltd. Class 5.
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