KBRA publishes the long-term credit rating of AA assigned to Fidus Re Ltd.’s Series 2022-1 Class A Principal-at-Risk Variable Rate Notes due January 11, 2035. The Outlook for the rating is Stable. On October 14, 2022, KBRA initially assigned an unpublished AA long-term credit rating with a Stable Outlook.

Build America Mutual Assurance Company (“BAM” or the “Ceding Insurer”), a mutual financial guaranty company, sponsored the issuance of variable rate notes (collectively, “the Notes”) through an off-shore (Bermuda) bankruptcy remote special purpose insurer, Fidus Re Ltd. (“Fidus” or “the Issuer”). This is the third issuance of notes by Fidus (the Series 2018-1 notes (“Fidus I”) and the Series 2021-1 notes (“Fidus II”) are both rated AA/Stable). The transaction structure is materially unchanged from the prior two issuances.

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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) is a full-service credit rating agency 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 pursuant to the Temporary Registration Regime. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

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