Mariah Re’s Slow Trigger March Continues

Losses continued to pile up for the $100 million Mariah Re catastrophe bond, but whether investors can expect to lose principal will not be known until the end of October, according to a note issued by Standard & Poor’s on Tuesday.

S&P downgraded Mariah’s 2010-1 Notes to CCC from ‘CCC+, following additional loss estimates. At the same time S&P revised the credit status on the notes to “negative” from “developing.”

Since the rating agency issued an update on September 6 that promised “future rating actions” on the bond, Mariah Re reported losses related it Catastrophe Series 58 and updated the loss amounts for Catastrophe Series 38, 45, 46, 53, and 55.

According to S&P, current covered losses have reached $790.15 million on the bond’s $825 million attachment level. That means $34.85 million of covered losses would need to be recorded before there is a reduction in the outstanding principal balance, the rating agency said.

Separately, S&P said that Mariah’s Catastrophe Series 60 recorded a final $9.84 million loss, which is “just less than the $10 million threshold for a qualifying event,” and that loss amounts related to 42, 45, 46, 48, 53, 54, 55, and 58 have not been finalized.

“We expect to receive additional updates for some or all of these events by the end of October and will take rating action as necessary,” S&P said.

Mariah was launched last year through two, $100 million notes that cover American Family Mutual Insurance from severe thunderstorms in the U.S. The structure was heralded as a “breakthrough” for catastrophe bonds that traditional covered large earthquakes and windstorm.

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