Ratings Recap: Emerson Re

June 4, 2007

Standard & Poor’s Ratings Services has assigned the following bank loan ratings to Emerson Reinsurance Co. Ltd.’s proposed four bank loans totaling $550 million:
— Loan A ($185 million, maximum modeled probability of attachment 0.7 of basis point; (bp) rated ‘A’.
— Loan B ($140 million, 15.6 bps) rated ‘BBB-‘.
— Loan C ($165 million, 90.4 bps) rated ‘BB+’.
— Loan D ($60 million, 140 bps) rated ‘BB’.
“The differences in ratings reflect the probabilities of the debt becoming impaired,” explained S&P credit analyst James Brender. The ratings are preliminary pending review of final legal documents related to the transaction. Emerson Re is a limited-life, special-purpose Class-B reinsurance company [side car] domiciled in the Cayman Islands established specifically to provide reinsurance protection to CIG Reinsurance Ltd. and New Castle Re Ltd. collectively, the cedants.