Press Release|Insurance

KBRA Affirms Ratings for Fidus Re Ltd.’s Series 2021-1, Series 2022-1, and Series 2025-1 Notes; Revises Outlook to Positive for Series 2022-1

11 Mar 2026   |   New York

Contacts

KBRA affirms the AA+ long-term credit rating 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 ratings 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 (“Fidus IV”) Class A Principal-at-Risk Variable Rate Notes, due January 8, 2037. The Outlook for the Series 2021-1 and Series 2025-1 Notes remains Stable. The Outlook for the Series 2022-1 Notes has been revised to Positive from Stable.

The affirmations reflect the continued conservative and static composition of the Covered Portfolios, ongoing amortization of insured exposures within the defined 12-year Risk Period, and stress case modeling outcomes indicating that projected cumulative Risk Period losses remain below each respective attachment point at confidence levels consistent with the current ratings, with meaningful headroom remaining. Risk Period exposure has amortized in line with or modestly ahead of original runoff assumptions, incrementally strengthening attachment coverage over time, all else equal.

The revision of the Outlook to Positive for Fidus III primarily reflects continued amortization of exposures due within the Risk Period, including amortization modestly exceeding original scheduled assumptions, in combination with stable-to-favorable rating migration across the insured portfolio. As a result, the modeled probability that cumulative Risk Period stress losses will exceed the $110 million attachment point has declined based on KBRA’s analysis. At current rating levels, projected losses remain below the $135 million attachment point for Fidus II and below the $110 million and $190 million attachment points for Fidus III and Fidus IV, respectively. KBRA’s ratings relate solely to the Notes and do not constitute an insurance financial strength rating of BAM.

To access ratings and relevant documents, click here.

Click here to view the report.

Methodologies

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA), one of the major credit rating agencies (CRA), is a full-service CRA registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a Designated Rating Organization (DRO) by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized as a Qualified Rating Agency by Taiwan’s Financial Supervisory Commission and is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider (CRP) in the U.S.

Doc ID: 1013865