KBRA Upgrades Rating for Fidus Re Ltd.'s Series 2021-1 Notes and Affirms Ratings for Series 2022-1 and 2025-1 Notes
14 Mar 2025 | New York
KBRA upgrades the long-term credit rating to AA+ from AA for Fidus Re Ltd's Series 2021-1 ("Fidus II") Class A Principal-at-Risk Variable Rate Notes, due January 11, 2033. Concurrently, KBRA affirms the AA long-term credit rating for Fidus Re Ltd's Series 2022-1 ("Fidus III") Class A Principal-at-Risk Variable Rate Notes, due January 11, 2035, and Series 2025-1 Class ("Fidus IV") A Principal-at-Risk Variable Rate Notes, due January 8, 2037. The Outlook for the Series 2021-1 Notes is revised to Stable from Positive following the upgrade, while the Outlook for the Series 2022-1 and 2025-1 Notes remains Stable.
The upgrade for Fidus II primarily reflects actual amortization of the financial guaranty portfolio exceeding the scheduled amortization at transaction issuance, reducing the likelihood or probability that modeled stress losses will exceed the attachment point, in KBRA’s opinion, even at a higher confidence interval. Additionally, stress losses reflect the favorable impact of insured exposure rating migration, which has trended upward since issuance. All else equal, insured portfolio amortization reduces credit risk exposure and modelled stress losses. For Fidus II, projected aggregate annual loss payments over the remaining Risk Period at the confidence level corresponding to a AA+ rating remain below the attachment point with a comfortable margin remaining.
The ratings on Fidus III and Fidus IV reflect that projected aggregate annual loss payments over the remaining Risk Period at the AA rating confidence level remain below the attachment points with a comfortable margin remaining.
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