Crystal Credit Class C still likely...
March 09, 2010
Crystal Credit, a €252m ($343m) credit reinsurance securitization issued by Swiss Re in 2006 remains likely to default, according to Standard & Poor’s. All three classes were downgraded by S&P last August when it became clear that losses on Swiss Re’s credit reinsurance treaties had been high. Losses in Q4 2009 were in line with expectations, S&P said, meaning that it now expected the attachment point for the class C notes, a €63m tranche originally rated single B and downgraded last August to double C, to be reached, meaning that the principal will probably not be repaid in full on maturity. The legal final maturity date is the end of June 2012, to allow for loss development and reporting. ...