Insight and Intelligence on (Re)insurance Convergence with the Capital Markets

21 May 2012

ResRe 2009 downgraded on AIR remodel

31 May 2011

Standard & Poor's has downgraded USAA's Residential Re 2009 cat bond by a notch due to model changes from AIR Worldwide.

The bond is modelled under AIR's previous hurricane model, but when the probability of the bond paying out was remodelled under the new version, the result indicated a lower rating of B+ rather than BB-.

Even though the probability of attachment hasn't changed under the model used by the bond, S&P said its policy was to change ratings where...

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