Mariah Re Ltd. Series 2010-1 served event notice, suspected triggered

Ratings agency Standard & Poor’s has announced that the Mariah Re Ltd. Series 2010-1 catastrophe bond is suspected to have been triggered after its sponsor American Family Mutual Insurance Company submitted an event notice indicating that they believe the deal to have defaulted as losses have breached the attachment point.

AmFam believe the Mariah Re 2010-1 attachment point of $825m of accumulated losses to have been breached and believe that Mariah Re will owe them a payment on the next payment date of 31st December 2011. Mariah Re Ltd. then submitted an event report to AIR Worldwide, the calculation agent, asking them to calculate the sum total of covered events and any issuer payment amount owed.

S&P say they do not have information on which events have caused the covered loss amount to grow yet. However they do believe that the results of AIR’s calculation work will show that covered losses have exceeded the initial attachment level. S&P reported last week that covered losses had reached $790.15m, they say that they expect additional reported covered losses to exceed the $34.85m required to breach the attachment point of $825m which will result in a reduction in the outstanding principal balance.

As a result of this news, S&P have downgraded the Mariah Re Series 2010-1 notes to ‘CC’ from the ‘CCC’ that they downgraded them to on the 4th October. They say that the notes will be downgraded further to ‘D’ if or when a payment is made to the issuer under the terms of the deal.

The record-breaking U.S. tornado season was always going to be tough for the two Mariah Re cat bond deals to survive and it now looks like they will both face losses. Read about the other Mariah Re deal, Series 2010-2, here.