Fitch Affirms Lion I Re Limited Catastrophe Notes 'B+sf'; Outlook Stable

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings affirms the principal at-risk variable rate notes issued by Lion I Re Limited, a special purpose reinsurance vehicle in Ireland, as follows:

--EUR 190,000,000 principal at-risk variable rate notes (scheduled maturity April 28, 2017) at 'B+sf'.

The Rating Outlook is Stable.

This affirmation is based on Fitch's annual surveillance review of the notes and an updated evaluation of their natural catastrophe risk, counterparty exposure, collateral assets and structural performance.

KEY RATING DRIVERS

The notes are exposed to European windstorm losses as reported by the ceding insurer, Assicurazioni Generali S.p.A. (Generali). There were no reported Covered Events that exceeded the Trigger Amount of 400 million (euro) in the Initial Risk Period from April 24, 2014 through Dec. 31, 2014.

On Dec. 15, 2014, Risk Management Solutions, Inc. (RMS), acting as the Reset Agent, determined the attachment probability as 2.32% for the risk period Jan. 1, 2015 through Dec. 31, 2015. This corresponds to an implied rating of 'B+' per the calibration table listed in Fitch's 'Insurance-Linked Securities Methodology. The updated probability reflects updated property exposures within the Subject Business in the Covered Area that have been run through the escrowed RMS model and is an increase from the initial attachment probability of 2.10%.

The Trigger Amount and Exhaustion Amount remain unchanged at 400 million (euro) and 800 million (euro), respectively. The Risk Interest Spread increased slightly to 2.36% reflecting the increase in the expected loss to 1.09% (from 1.00%).

Generali currently has a Fitch Issuer Default Rating (IDR) of 'BBB+' with a Stable Outlook. The collateral assets, EBRD notes, currently have a Fitch IDR of 'AAA' with a Stable Outlook. These ratings are unchanged since the closing date of the notes.

Fitch believes the notes and indirect counterparties are performing as required. There have been no reported early redemption notices or events of default and all agents remain in place.

RATING SENSITIVITIES

This rating is sensitive to the occurrence of a covered event, Generali's election to reset the notes' attachment levels, changes in the data quality, the counterparty rating of Generali and the rating on the assets held in the collateral account.

If qualifying covered event occurs that causes a per occurrence loss to exceed the attachment level, Fitch will downgrade the notes reflecting an effective loss of principal and issue a Recovery Rating.

To a lesser extent, the notes may be downgraded if the EBRD notes or Generali are sufficiently downgraded to a level commensurate to the implied rating of the natural catastrophe risk.

The rating is highly model-driven and actual losses may differ from the results of the simulation analysis. The escrow models may not reflect future methodology enhancements by RMS which may have an adverse or beneficial effect on the implied rating of the notes were such future methodology considered.

Additional information is available at 'www.fitchratings.com'

Applicable Criteria and Related Research:--'Insurance-Linked Securities Methodology' (Aug. 8, 2014);--'Insurance Rating Methodology' (Sept. 4, 2014);--'Global Structured Finance Rating Criteria' (Aug. 4, 2014);--'Counterparty Criteria for Structured Finance Transactions and Covered Bonds' (May 14, 2014).

Applicable Criteria and Related Research:Insurance-Linked Securities Methodologyhttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=752532Insurance Rating Methodologyhttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=756650Global Structured Finance Rating Criteriahttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864268Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bondshttp://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Additional DisclosureSolicitation Statushttp://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=983427ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Fitch Ratings
Primary Analyst
Phillip Chan
Director
+1-212-908-0745
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 10004
or
Secondary Analyst
Christopher Grimes
Director
+1-312-368-3263
or
Committee Chairperson
Kevin Corrigan
Senior Director
+1-212-908-9156
or
Media Relations
Sandro Scenga, New York, +1 212-908-0278
[email protected]

Source: Fitch Ratings

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