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FOR IMMEDIATE RELEASE
OLDWICK - DECEMBER 02, 2016 03:06 PM (EST)
A.M. Best has removed from under review with implications the Long-Term Issue Credit Ratings (Long-Term IRs) on three tranches of securities issued by 321 Henderson Receivables V LLC (Series 2008-3) (the issuer), a special purpose Nevada limited liability company.
Concurrently, A.M. Best has affirmed (removed negative implications) the Long-Term IRs of “aaa” on $74,646,000 Class A-1 8.00% Fixed Rate Asset Backed Notes, Series 2008-3 and the $9,389,000 Class A-2 8.00% Fixed Rate Asset Backed Notes, Series 2008-3. A.M. Best also has upgraded (removed developing implications) the Long-Term IR to “bbb-” from “bb+” on $4,695,000 Class B 10.00% Fixed Rate Asset Backed Notes, Series 2008-3. The outlook assigned to these Credit Ratings (ratings) is stable.
Following the Aug. 16, 2016 release of its new methodology, “Best’s Insurance-Linked Securities & Structures Methodology,” which includes the updated “Best’s Idealized Issuer Default Matrix” and “Best’s Idealized Issue Default Matrix,” A.M. Best has completed its assessment of the impact of the two matrices on the Long-Term IRs. The rating actions reflect qualitative and quantitative considerations, including default probabilities derived from stochastic modeling. This analysis incorporated the default probabilities of the insurance carriers providing the annuity payments and the assumed recovery rate on the cash flows in the event of an insurance carrier default. The remodeling of the transaction incorporated updates on: 1) the Long-Term Issuer Credit Ratings (Long-Term ICRs) of the insurance carriers; 2) financial data; and 3) remaining collateral information, including the reduced payment obligations of Guaranty Association Benefits Company, a not-for-profit captive insurance company formed for making payments to the payees and certificate holders of the liquidated Executive Life Insurance Company of New York.
The Long-Term IRs and outlook could be revised if any of the following occurs: material changes in the Long-Term ICRs (i.e., default risk) of the remaining insurance carriers; a deviation from the model assumed recovery rate; an increase in the level of write-off activity; or a breach in ongoing surveillance or compliance benchmarks.
These are structured finance ratings.
This press release relates to Credit Ratings that have been published on A.M. Best’s website. For all rating information relating to the release and pertinent disclosures, including details of the office responsible for issuing each of the individual ratings referenced in this release, please see A.M. Best’s Recent Rating Activity web page. For additional information regarding the use and limitations of Credit Rating opinions, please view Understanding Best’s Credit Ratings.
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