NEW YORK (S&P Global Ratings) Oct. 6, 2016–S&P Global Ratings said today that the 15 bonds listed below, which provide protection from hurricanes to various cedents, could incur losses as a result of Hurricane Matthew. Currently, our ratings on these issues remain unchanged. We will continue to monitor developments and take appropriate action should it become clear that the likelihood of the bonds defaulting has increased. Typically, we will wait for updates from the issuer and calculation agent of each issuance to determine whether the hurricane was a triggering event. If a cedent or issuer were to submit an event notice to the calculation agent, we would expect to put the ratings on the notes on CreditWatch with negative implications. If the contribution to the modeled expected loss from an area that could be impacted by Matthew (given its current projected course) was less than 1%, we did not include it. The bonds mentioned above are:

$1.5 billion Everglades Re Ltd. Series 2014-1 class A notes, (‘B+(sf)’); 100% of exposure is to named storms in Florida. As of the most recent reset, the counties of Miami-Dade, Monroe, Broward, and Palm Beach contribute 25.6%, 22.6%, 22.5%, and 19.7%, respectively, to the modeled annual expected loss. The other counties contributing more than 1% to the expected loss are on the west coast of the state.
$300 million Everglades Re II Ltd. Series 2015-1 class A notes (‘BB(sf)’); 100% of exposure is to named storms in Florida. As of the most recent reset, the counties of Miami-Dade, Broward, Monroe, and Palm Beach contribute 27.0%, 24.5%, 21.9%, and 20.2%, respectively, to the modeled annual expected loss. The other counties contributing more than 1% to the expected loss are on the west coast of the state.
$250 million Kilimanjaro Re Ltd. Series 2014-1 class A notes (‘BB-(sf)’); hurricanes contribute 100% to the modeled expected loss. As of the most recent reset, Florida, South Carolina, and North Carolina contribute 92.4%, 1.9%, and 1.7%, respectively, to the modeled annual expected loss.
$200 million Kilimanjaro Re Ltd. Series 2014-1 class B notes (‘BB-(sf)’); hurricanes contribute 88% to the modeled expected loss. As of the most recent reset, Florida, Virginia, Georgia, and South Carolina contribute 38.4%, 3.0%, 2.6%, and 2.1%, respectively, to the modeled annual expected loss.
$150 million Mona Lisa Re Ltd. Series 2013-2 class B notes (‘BB-(sf)’); hurricanes contribute 96% to the modeled expected loss. As of the most recent reset, Florida contributes 64.8% to the modeled annual expected loss.
$120 million Mythen Re Ltd. Series 2012-2 class A notes (‘B+(sf)’); 100% of exposure is to named storms. Based on the information in the offering circular, the counties of Miami-Dade, Palm Beach, Broward, and Pinellas contribute 17%, 12%, 12%, and 4%, respectively, to the modeled annual expected loss.
$80 million Mythen Re Ltd. Series 2012-2 Class C notes (‘B-(sf)’); 100% of exposure is to named storms. Based on the information in the offering circular, the counties of Miami-Dade, Palm Beach, Broward, and Pinellas contribute 15%, 12%, 11%, and 3%, respectively, to the modeled annual expected loss.
$155 million Residential Reinsurance 2012 Ltd. Series 2012-II class 1 notes (‘BB+(sf)’); hurricanes contribute 79% to the modeled expected loss. Florida, the Southeast, and the Mid-Atlantic contribute 19.6%, 24.0%, and 22.4%, respectively, to the modeled annual expected loss.
$70 million Residential Reinsurance 2012 Ltd. Series 2012-II class 2 notes (‘BB(sf)’) hurricanes contribute 79% to the modeled expected loss. Florida, the Southeast, and the Mid-Atlantic contribute 19.7%, 17.0%, and 23.7%, respectively, to the modeled annual expected loss.
$95 million Residential Reinsurance 2013 Ltd. Series 2013-I class 3 notes (‘B-(sf)’); hurricanes contribute 72% to the modeled expected loss. Florida, the Mid-Atlantic, and Southeast contribute 25.8%, 18.6%, and 13.7%, respectively, to the modeled annual expected loss.
$70 million Residential Reinsurance 2013 Ltd. Series 2013-II class 4 notes (‘BB-(sf)’); hurricanes contribute 77% to the modeled expected loss. Florida, the Mid-Atlantic, and Southeast contribute 23.7%, 20.1%, and 13.0%, respectively, to the modeled annual expected loss.
$125 million Residential Reinsurance 2015 Ltd. Series 2015-II class 3 notes (‘B-(sf)’); hurricanes contribute 72% to the modeled expected loss. Florida, the Mid-Atlantic, and Southeast contribute 25.9%, 18.5%, and 13.7%, respectively, to the modeled annual expected loss.
$110 million Residential Reinsurance 2016 Ltd. Series 2016-I class 13 notes (‘BB-(sf)’); hurricanes contribute 70% to the modeled expected loss. Florida, the Mid-Atlantic, and Southeast contribute 13.9%, 20.2%, and 23.0%, respectively, to the modeled annual expected loss. Note, this is an annual aggregate transaction that covers severe thunderstorms and earthquakes (including fire following) as well. To date, there has been one covered event that has generated an estimated covered loss of approximately $154 million; the attachment point is currently $1.918 billion.
$95 million Riverfront Re Ltd. notes (‘BB-(sf)’); hurricanes contribute 95% to the modeled expected loss. Florida, Georgia, and North Carolina 24.5%, 1.9%, and 1.7%, respectively, to the modeled annual expected loss.
$125 million Tradewynd Re Ltd. Series 2013-1 class 1 notes (‘B+(sf)’); hurricanes contribute 60% to the modeled expected loss. Florida and South Carolina 54.8% and 1.4%, respectively, to the modeled annual expected loss.

There are five notes issued by Sanders Re Ltd. The majority of the contribution to the modeled expected loss is from hurricanes in the New York tristate area. There is, however, some exposure to losses in Virginia, North Carolina, South Carolina, and Georgia. There is no exposure to Florida. The modeled contribution to expected loss in these states ranges from 14% to 16%. All the bonds listed above provide protection on a per occurrence basis–except the Everglades Re, Everglades Re II, Kilimanjaro Re Class B, Mona Lisa Re, and Residential Reinsurance 2016 Ltd. notes which provide coverage on an annual aggregate basis. All loss amounts are based on the actual losses of the ceding company, except for Kilimanjaro Re, Mona Lisa Re, and Mythen Re, which are based on the insured industry loss amount and related payout factors, as applicable. Only a rating committee may determine a rating action and this report does not constitute a rating action.

 

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