S&P says its preliminary credit ratings remain unchanged on MultiCat Mexico 2009's Series 2009-1 notes after a change by AIR Worldwide to its modelling of hurricane risk for the transaction (see STORM issue 51).

The agency explains: "Since we first assigned our preliminary ratings, AIR corrected its modelling of hurricane risk by adding a second step that identifies two further historical events (Hurricane Madeline in 1976 and Hurricane Ivan in 2004) that would have caused the Class C and D notes, respectively, to attach. This has also resulted in an increased modelled probability of attachment. However, after stressing the parametric 'exceedance' probability curve in line with the strengths and weaknesses we identified in our presale report, the ratings remain unchanged."

MP