AM Best’s Briefing – The Rating of Insurance-Related Asset-Backed Securities, Questions Answered

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Due to the unique nature of this insurance asset class, the rating of insurance-related asset-backed securities (ABS) transactions sometimes requires further clarification of our process.

In this briefing, AM Best senior analytical staff explored common types of insurance ABS transactions and the key assumptions behind their ratings. They discussed the default rates applied to the transactions’ collateral, the asset-dependent recovery rates, the use of credit substitution and enhancement on collateral and rated securities and the determination of the implied rating of the securities by applying AM Best’s Idealized Issue Default Matrix.