Ratings Recap: Queen Street, Tokio Marine (Guam)

March 17, 2008

Standard & Poor’s Ratings has assigned credit ratings to the following variable-rate notes issued today by Queen Street Ltd. under its principal at-risk variable-rate note program:
— €70 million ($1101 million) series 1 class A principal at-risk variable rate notes due March 21, 2011 were rated ‘BB+’.
— €100 million ($157.55 million) series 1 class B principal at-risk variable rate notes due March 21, 2011 were rated ‘B’.
“Munich Reinsurance Co. (Munich Re) (AA-/Stable/–) entered into counterparty contracts with Queen Street to gain a source of multiyear coverage for losses due to European windstorms,” S&P explained. “The rating is based on the modeled probability of attachment and the structural analysis. A proprietary model from EQECAT Inc. (a wholly owned subsidiary of ABS Consulting Inc.) was used to determine the attachment probability of the notes. Queen Street is a special-purpose Cayman Islands exempted company whose ordinary shares are held in a charitable trust.”

A.M. Best Co. has removed from under review with negative implications the financial strength rating of ‘A+’ (Superior) and the issuer credit rating of “aa-” of Tokio Marine Pacific Insurance Limited (TMPI), which is based in Guam. Best also affirmed the ratings and assigned a stable outlook. “TMPI was placed under review due to the uncertainties relating to its plan to expand its business lines,” Best explained. “During the third quarter of 2007, TMPI’ s parent company, Tokio Marine & Nichido Fire Insurance Co. Ltd. (TMNF), transferred net assets of approximately $4 million from its branch operation in Guam to TMPI. TMPI’ s capital and surplus stood at $12 million as at September 30, 2007.” Best added that it now “believes that TMPI’ s risk-adjusted capitalization, as demonstrated by Best’ s Capital Adequacy Ratio, is adequate to support the current ratings and the expansion plan to underwrite property and casualty business.”

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