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Insurance-Linked Securities

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 Insurance-Linked Securities 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: insurance-linkedsecurities@ambest.com or call us at: (USA) +1 908 439 2200 ext. 5744.

Press Releases (view more)

A.M. Best Removes From Under Review the Ratings of Four Trust Preferred CDO Transactions:
Date: 6/26/2009    Source: Press Release
A.M. Best Removes Ratings of Dekania CDO I, Ltd. and Dekania CDO I, Inc. From Under Review:
Date: 5/13/2009    Source: Press Release
A.M. Best Downgrades and Withdraws Rating of Ajax Re Limited's Series 1, Class A Principal at Risk Variable Notes:
Date: 5/12/2009    Source: Press Release
A.M. Best Places Debt Ratings of Four CDO Transactions Under Review With Negative Implications:
Date: 5/12/2009    Source: Press Release
A.M. Best Removes Ratings of Three Trust Preferred CDO Transactions From Under Review:
Date: 4/21/2009    Source: Press Release

News (view more)

Dai-ichi Life to Launch Japan's Biggest IPO in More Than a Decade:
Date: 7/2/2009    Source: BestWire
Smoke Signals:
Date: 7/1/2009    Source: Best's Review
Reinsurance Renewals Clouded by Financial Turmoil:
Date: 6/30/2009    Source: BestWire
Conning: Investment Losses Will Continue for U.S. Life/Annuity Industry in 2009:
Date: 6/24/2009    Source: BestWire
Ironshore Gains $300 Million Private Equity Infusion:
Date: 6/24/2009    Source: BestWire

Methodologies (view more)

Best's Impairment Rate and Rating Transition Study - 1977 to 2008
(May 1, 2009)

Securitization of Period-Certain and Life-Contingent Structured Settlements
(August 4, 2008)

Securitization of Annuities
(May 22, 2008)

Life Settlement Securitization
(March 24, 2008)

Rating Natural Catastrophe Bonds
(January 22, 2008)

Best's Idealized Default Matrix
(December 5, 2007)

Securitization of Reinsurance Recoverables
(August 20, 2007)

Tail Risk and the BCAR
(February 26, 2007)

Assessing the "Tail Risk" of Sidecars
(October 9, 2006)

Gauging the Basis Risk of Catastrophe Bonds

(September 25, 2006)

Rating Sidecars
(June 28, 2006)

Rating Surplus Note And Insurance Trust-Preferred CDOs
(July 25, 2005)

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