Mon Oct 29, 2012 6:55am EDT
Oct 29 - Standard & Poor's Ratings Services today assigned its preliminary issue credit ratings to the class A and C dollar-denominated, variable-rate, principal-at-risk notes to be issued by Mythen Re Ltd., sponsored by Swiss Reinsurance Co. Ltd. (Swiss Re), the ceding reinsurer.
The notes will be exposed to major North Atlantic hurricane risk in selected states within the U.S. between November 2012 and November 2016 (four full hurricane seasons) as modeled by AIR Worldwide Corp. The class A notes will also be exposed to mortality risk in England and Wales between January 2012 and December 2016, as modeled by Risk Management Solutions Inc.
The preliminary ratings are based on the lower of the rating on the catastrophe risk ('B+' for the class A notes and 'B-' for the class C notes); the issuer credit rating on the International Bank for Reconstruction and Development (IBRD; AAA/Stable/A-1+) as the issuer of the assets in the collateral accounts; and the risk of nonpayment by the ceding reinsurer, Swiss Re (AA-/Stable/A-1+).
RELATED CRITERIA AND RESEARCH
All articles listed below are available on RatingsDirect on the Global Credit Portal.
-- Mythen Re Ltd., Oct. 29, 2012
-- Methodology And Assumptions For Rating Natural Catastrophe Bonds, May 12, 2009
-- Default Table Used To Rate Insurance-Linked Securitizations Updated, May 8, 2008
-- Guide To Rating Insurance-Linked Mortality Catastrophe Bonds, Sept. 11, 2008
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