A.M. Best Company, a leader in insurance company ratings, also rates and evaluates insurance-linked
capital markets transactions such as: catastrophe bonds, CDOs of catastrophe risks, sidecars (and their debt),
contingent capital solutions, Trups collateralized debt obligations (Trups CDOs), disability reserve securitizations,
closed block transactions, life settlements securitizations, reinsurance recoverable hedging transactions,
protected cell structures, and other insurance-linked transactions.
In addition, the Structured Finance Group provides valuable input to the financial strength rating
process since nearly all the insurance-linked transactions are designed to be reinsurance substitutes.
For example, we evaluate the basis risk and tail risk associated with certain transactions and pass the
information on to insurance-company rating analysts.
A.M. Best's unique and comprehensive database of insurers gives us great insight into the default
characteristics of insurance companies and we use the data for rating or evaluating many of the
insurance-linked transactions. The following tables, Best's Idealized Default Matrix,
Best's Idealized Default Rates of Insurers and
Best's Idealized Default Rates of Reinsurers
were created by A.M. Best specifically for rating insurance-linked securities. These tables were partially derived from our
database of over 5,000 rated insurance companies which includes nearly 700 impaired insurance companies.
For more information on how to get rated, please contact our business development group via email at:
StructuredFinance@ambest.com or call us at: (USA) +1 908 439 2200 ext. 5744.
