July 29, 2011 / 5:47 PM / 9 years ago

S&P downgrades another five catastrophe bonds

 NEW YORK, July 29 (Reuters) - Ratings agency Standard &
Poor's downgraded five catastrophe bonds on Friday, a consequence of changes that catastrophe modeling company RMS
made to its hurricane models earlier this year.
 It was the second time in less than three weeks that S&P
downgraded cat bonds based on RMS models. In total it has
lowered the ratings on 11 such instruments -- which are used to
transfer disaster risk to the capital markets -- because of the
RMS changes. [ID:nN1E76A11G]
 The latest version of RMS's software has shaken up the
insurance industry, as it forecasts worse hurricane losses in
some scenarios than had been expected.
 S&P put a total of 16 catastrophe bonds on a negative
credit watch in mid-April, citing the effects of the RMS model
changes. All of the bonds had been modeled with earlier
versions of RMS' software before they were issued.
 BOND                         NEW RATING     OLD RATING
 Foundation Re III Ltd
 Series 2010-1 Class A          BB              BB+
 Lodestone Re Ltd
 Series 2010-1 Class A          BB              BB+
 Series 2010-1 Class B          BB-             BB
 Series 2010-2 Class A-1        BB              BB+
 Calabash Re III Ltd
 Series 2009-1 Class A          B+              BB-
  (Reporting by Ben Berkowitz; editing by Andre Grenon)


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