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Fitch Affirms Lion I Re Limited Catastrophe Notes 'B+sf'; Outlook StableFitch 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 Geneali 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:
Applicable Criteria and Related Research:
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