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
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.
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