OREANDA-NEWS. S&P Global Ratings today assigned to the $9 million principal-at-risk variable-rate notes issued by Horseshoe Re II Ltd. segregated accounts LC1100 and LC2100 its 'BBB+ (sf)' issue credit ratings. The insurance-linked securities are exposed to risk ceded by Syndicate 2001, which is managed by MS Amlin Underwriting, the risk transfer counterparty and wholly owned subsidiary of MS Amlin Group. The notes follow the fortunes of each of the quota-share agreements between Syndicate 2001 and the respective segregated accounts on an annual aggregate basis. The notes are scheduled to mature on July 1, 2019.

The rating on each note is based on the lowest of the natural-catastrophe (nat-cat) risk factor ('bbb+'), the collateral assets and the premium paying party. In this transaction, the collateral is held in cash in a U. S. trust account with Deutsche Bank Trust Co. Americas. The issuer deposited three years of premium payments and expenses into a separate income account at closing to mitigate the credit exposure to the syndicate. The prepaid premium and expenses are held in a U. K. bank account with the London branch of Deutsche Bank. The ratings on the notes are weak-linked to the ratings on the trustee, Deutsche Bank Trust Co. America (currently BBB+/Negative/A-2) and the account holding bank, Deutsche Bank AG (currently BBB+/Negative/A-2). If we were to downgrade either counterparty to below 'BBB+', we might lower the ratings on the notes.

Leadenhall Capital Partners LLP (LCP) is the fund manager of various funds investing in insurance-linked securities (ILS). It was founded in 2008 and uses Risk Management Solutions Inc. (RMS) Miu software as part of its portfolio management. LCP also used RMS Miu to perform the risk analysis for this transaction. We have reviewed its modeling process and gained comfort that it is adequate for the purpose of these transactions, based on the team's expertise, investment, and risk management skills. Our rating is based on the assumption that LCP would continue to use RMS Miu until the notes mature.

MS Amlin Group - Syndicate 2001 is one of the largest syndicates operating at the Lloyd's insurance market, a major participant in specialty commercial insurance and reinsurance worldwide.