S&P Downgrades Mariah Re’s Notes to ‘CCC+(sf)’; CreditWatch Developing

June 28, 2011

Standard & Poor’s Ratings Services has lowered its rating on Mariah Re Ltd.’s Series 2010-1 notes to ‘CCC+(sf)’ from ‘B(sf)’. S&P has also revised the CreditWatch status of the rating on the notes to developing from negative.

“We placed the rating on CreditWatch with negative implications on June 14 as a result of the tornado that hit Joplin, Mo. (as well as other regions) in May,” S&P explained.

“We have received Property Claims Services’ preliminary estimate of insured property damage related to this event. Currently, the total losses to be covered by the notes are approximately $263 million. In addition to this event, we received a similar report for Catastrophe Series Number 47. The loss amount from this event is approximately $13.3 million.

“The current estimate of losses from covered events through the end of May is $453 million. Modeled losses through the end of May were expected to equal $302 million.”

The rating agency explained that it had revised the CreditWatch status to developing “to account for the potential impact of the passage of time and the potential lack of future covered events. Based on the modeled results, June is expected to be the peak month for losses. Although covered events may have occurred during the month, PCS has not yet released an estimate of losses related to any of these events.”

S&P added that “if no additional events occur over the next two months and loss estimates on existing covered events do not increase by a material amount, we would expect to raise the rating on the notes (to no higher than the initial rating of ‘B(sf)’). If additional covered events occur, we could lower the rating further. As we receive updated information, we will take the appropriate rating action.

“The initial annual risk period for the notes ends Dec. 31, 2011. If covered losses do not exceed the attachment point by that date (to the extent there aren’t any covered events for which a covered loss amount needs to be determined), the annual aggregate loss amount will go to zero, and the notes will be reset to a probability of attachment of no greater than 2.57 percent. The rating Standard & Poor’s assigns after the reset will be based on its view of the risk set forth in the Nov. 15, 2010, closing article.”

Source: Standard & Poor’s

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