22 September 2014 Alternative Risk Transfer

MultiCat Mexico on creditwatch negative

Standard & Poor’s (S&P) has placed a cat bond with exposure to the area hit by Hurricane Odile on creditwatch with negative implications.

The rating agency placed MultiCat Mexico (Series 2012-I) Class C notes on creditwatch with negative implications after Hurricane Odile made landfall.

On September 15, 2014, the hurricane made landfall near Cabo San Lucas in Mexico, an area in which the class C notes cover losses.

The calculation agent, AIR Worldwide, is expected to complete its event report within 15 business days from the hurricane event parameters date. S&P added that this date is either the date the first tropical cyclone report containing all information necessary to determine if Odile is a covered event is released, or 120 days after Odile made landfall.

“Based on the event definition in the transaction documents, the central pressure requirement for an event to be considered a triggering event is equal or lower than 932 millibars. We reviewed an update from the National Hurricane Center that indicated a reading of 930 millibars at one station located at 22.9N 109.8W, which would fall within the covered area. In this case, the transaction documents state that noteholders would lose 50% of their principal amount,” said S&P.

If a triggering event occurred, S&P will lower its rating to ‘D(sf)’, and if it did not occur, it will affirm its rating at ‘B-(sf)’

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