2016 puerto rico conference (olarte)stochastic based bcar for u.s. p/c insurers brian o’larte...
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Brian O’Larte Sr. Financial Analyst, A.M. Best Company
Property & Casualty Review
Puerto Rico Insurance Conference 2016
April 2016A.M. Best Company
The Year in Review: U.S. Property/Casualty Industry
The State of the Market
Competitive Environment
Uncertain loss reserve adequacy
Manageable Catastrophe
Losses
Continued Investment Pressures
The Year in Review: U.S. Property/Casualty Industry
Market Forces
Active M&A
Competitive Reinsurance Environment
Predictive Modeling and Data Analytics Advances
Regulation
Risk Adjusted Capital (BCAR) remains “Strong”
Property/CasualtyFinancial Indicators
2012 2013 2014 2015E 2016P
Change0in0Net0Premiums0Written0(%) 4.4 4.4 4.3 2.7 2.1Change0in0Surplus0(%) 6.3 10.7 3.4 0.5 1.9Combined0Ratio0(Reported) 102.5 96.4 97.4 98.0 99.2
Net0Investment0Yield0(%) 3.6 3.4 3.6 3.3 3.1AfterLtax0Return0on0Surplus0(ROE)0(%) 6.5 9.3 9.2 8.6 6.1
U.S. Property/Casualty Product Line Underwriting Trends Combined Ratios
Product(Line 2010 2011 2012 2013 2014 2015E 2016P
Private(Passenger(Auto 101.0 102.0 102.1 101.6 102.3 103.7 102.7
Homeowners(&(Farm. 106.9 122.1 103.9 90.5 92.7 92.4 95.4
Other(&(Product(Liability 110.9 99.6 103.2 100.4 101.4 105.7 104.1
Workers'(Compensation 116.5 118.6 111.2 102.4 100.9 104.4 103.3
CMP 100.1 113.2 105.0 97.7 99.2 97.9 103.8
Commercial(Auto 97.8 103.6 107.0 106.9 103.4 105.2 102.9
Medical(Pro.(Liability 82.0 88.0 93.3 89.5 103.6 96.6 97.0
U.S. Property/Casualty – Estimated Loss & LAE Reserve Deficiencies – ($ in billions) (Excluding Statutory Discount)
Product Line 12/31/14 12/31/15Workers' Compensation 8.2 8.8Other/Products Liability 3.7 3.2Reinsurance-‐Non Proportional Assumed 0.9 1.3Commercial Multiple Peril 2.6 2.9Commercial Auto Liability 1.6 2.0Homeowners -‐0.3 -‐0.2Personal Auto Liability -‐1.1 -‐0.8Medical Professional Liability -‐3.7 -‐3.3All Other Lines -‐3.1 -‐2.0 Total Core Reserves 8.8 11.9Asbestos & Environmental 8.6 5.9Total 17.4 17.8
Outlooks
Personal Lines • Stable
Commercial Lines • Negative
Reinsurance • Negative
Brian O’Larte Sr. Financial Analyst, A.M. Best Company
Puerto Rico P&C Review
Puerto Rico Insurance Conference 2016
April 2016A.M. Best Company
Property & Casualty Review - Puerto Rico Insurance Conference
Net Premiums Written – Puerto Rico P&C
April 2016 9
Thou
sand
s
500
613
725
838
950
2012 2013 2014 3Q15 2015 Est.
Property & Casualty Review - Puerto Rico Insurance Conference
Top 10 Net Premiums Written – Puerto Rico P&C
April 2016 10
Thou
sand
s
0
55,000
110,000
165,000
220,000
Universal Insurance Company (PR) Real Legacy Assurance Company, Inc. QBE OpTma Insurance Company
2013 2014 3Q15
Property & Casualty Review - Puerto Rico Insurance Conference
Policyholder Surplus – Puerto Rico P&C
April 2016 11
Thou
sand
s
1,100,000
1,175,000
1,250,000
1,325,000
1,400,000
2012 2013 2014 3Q15 2015 Est.
Property & Casualty Review - Puerto Rico Insurance Conference
Pre-tax Operating Income – Puerto Rico P&C
April 2016 12
Thou
sand
s
'-‐
55,000
110,000
165,000
220,000
2012 2013 2014 3Q15 2015 Est.
Property & Casualty Review - Puerto Rico Insurance Conference
Top 10 Pre-tax Operating Income – Puerto Rico P&C
April 2016 13
Thou
sand
s
0
15,000
30,000
45,000
60,000
MAPFRE PRAICO Insurance Company Caribbean American Property Insurance Co
2013 2014 3Q15
Property & Casualty Review - Puerto Rico Insurance Conference
Net Income – Puerto Rico P&C
April 2016 14
Thou
sand
s
'-‐
40,000
80,000
120,000
160,000
2012 2013 2014 3Q15 2015 Est.
Property & Casualty Review - Puerto Rico Insurance Conference
Combined Ratio – Puerto Rico P&C
April 2016 15
%
0
30
60
90
120
2011 2012 2013 2014 3Q15
44.443.944.044.542.7
51.147554.457.456.556.6
Loss & LAE UnderwriTng Expense RaTo
99.3 101.0 101.4 98.4 95.6
Property & Casualty Review - Puerto Rico Insurance Conference
Pre-tax ROR vs. After-tax ROE Puerto Rico P&C
April 2016 16
%
0
7.5
15
22.5
30
2011 2012 2013 2014 3Q15
1.6101
3.9
10.6
8.18.310.220810.4
23.3
8.6
12.1
Pre-‐tax Return on Net Premiums Earned (ROR) AZer-‐Tax Return on Surplus (ROE)
Property & Casualty Review - Puerto Rico Insurance Conference
Product Line Loss Experience – Puerto Rico P&C
April 2016 17
Direct Loss Ratio (%) (Better)/Worse than Industry (Pts)
3Q11 3Q12 3Q13 3Q14 3Q15 3Q11 3Q12 3Q13 3Q14 3Q15
Comm M.P. 26.8 23.4 19.9 21.4 20.6 -‐42.5 -‐27.3 -‐26.6 -‐29.5 -‐26.1
Auto Phys Damage 56.4 61.8 63.3 58.9 61.4 -‐8.5 0.0 1.2 -‐5.5 -‐1.9
Allied Lines 7.6 2.4 3.5 1.1 11.9 -‐71.3 -‐77.2 -‐73.6 -‐62.7 -‐47.3
Other Liab 40.3 41.2 9.4 30.0 50.3 -‐11.8 -‐6.4 -‐37.9 -‐20.4 -‐3.1
Earthquake 0.5 0.2 0.4 0.2 0.1 -‐13.5 1.6 0.4 -‐3.2 -‐0.6
Homeowners 36.3 35.2 28.8 34.3 22.6 -‐50.1 -‐22.8 -‐20.8 -‐20.2 -‐30.2
Comm Auto Liab 56.1 59.9 57.4 54.1 72.6 0.1 -‐2.0 -‐3.4 -‐8.6 7.8
PP Auto Liab 64.0 65.2 68.5 65.5 64.9 -‐1.9 0.4 4.0 0.4 -‐4.5
Inland Marine 40.4 30.0 31.6 22.8 24.0 -‐9.0 -‐14.4 -‐12.4 -‐23.1 -‐23.1
Fire 27.3 19.7 6.0 8.3 -‐5.4 -‐20.1 -‐23.3 -‐32.0 -‐37.1 -‐51.6
Total 34.2 33.3 31.5 34.5 31.1 -‐32.8 -‐26.6 -‐24.1 -‐22.8 -‐26.0
Property & Casualty Review - Puerto Rico Insurance Conference
A.M. Best Ratings of the Puerto Rico P&C Companies
10 May 2013 18
0
2
3
5
6
aa+ u a+ a a-‐ bbb+ bb ccc u
CurrentPrior
21 March 2016 19
Overview of A.M. Best’s Best’s Credit Rating Methodolgy
(BCRM)
Brian O’Larte Senior Financial Analyst, A.M. Best
Criteria Update
Impetus for Change
3/1/2016 20
• Transparency & consistency
• A move towards best practices
• A way to integrate new tools – Application of BCAR
Criteria Update
Tentative Timeline
3/1/2016 21
Draft BCRM & PC BCAR criteria is released
for comment
Comment Period will include public updates as specific issues raised
Comment Period will
be extended
to coincide with
release of all BCAR models
Comment Period Ends
Comments
Incorporated as
Necessary into BCRM and all BCAR criteria
BCRM and BCAR
criteria is published
and becomes effective
03/10/16
Remainder of 2016
12/31/16
1Q 2017
Criteria Update
The Building Block Approach
3/1/2016 22
Criteria Update
Rating Implications
3/1/2016 23
• BCRM is NOT a means to change ratings although some ratings may change
• Analyst will communicate any potential rating issues as they become apparent during comment period
• Ratings impacted will be placed under review at end of comment period – Need to be resolved within 6 months after under
review
21 March 2016 24
Overview of A.M. Best’s Stochastic Based BCAR
for U.S. P/C Insurers
Brian O’Larte Senior Financial Analyst, A.M. Best
Overview
• Best’s Capital Adequacy Ratio (BCAR) is a comprehensive quantitative tool that evaluates many of the risks to the balance sheet simultaneously and generates an overall estimate of the required level of capital to support those risks and compares it with available capital
• BCAR is a key tool in the assessment of balance sheet strength
• Not the sole determinant of Balance Sheet Strength • Not the sole determinant of the rating
21 March 2016 25Stochastic Based BCAR for US PC Insurers
Summary of Changes
• Do not intend to change underlying view of the risks • Do not intend to change the main risk categories of
the models • Goals are to:
– Generate risk factors using stochastic simulations from probability curves & ESG
– Incorporate company specific detailed data from SRQ & statutory financial statements
21 March 2016 26Stochastic Based BCAR for US PC Insurers
Summary of Changes
• More sophisticated and faster software available now – Simulations / probability curves – Correlations / diversification – Company specific detail – Economic scenario generators (ESGs)
• A computer model that randomly simulates thousands of possible values for a variety of economic and financial variables over a series of selected timeframes
• An ESG does not predict a path the economy will follow but instead produces a collection of possible paths including some that have not yet been observed
21 March 2016 27Stochastic Based BCAR for US PC Insurers
• New Metric – VaR (Value at Risk)
Summary of Changes
UW (Profit)/Loss as Percent of NPW
0%
100%
-50% -40% -30% -20% -10% 0 10% 20% 30% 40%
(Profit)/Loss as % of NPW
5% in tail
Breakeven
VaR 95UW Loss = 23% of NPW
Probability of Potential Scenario
95% of potential scenarios
VaR does not tell us about what’s in the tail so we need to look at more than one VaR
VaR 99.0 VaR
99.5
21 March 2016 28Stochastic Based BCAR for US PC Insurers
Summary of Changes
• 5 scores calculated and published – instead of 1 • 95%, 99%, 99.5%, 99.8%, and 99.9% confidence levels
• New Calculation of BCAR – Formula change – Difference between Available Capital and
Required Capital, as a ratio to Available Capital – Better alignment with risk appetite/tolerance
statements
21 March 2016 29Stochastic Based BCAR for US PC Insurers
Summary of Changes
• Bond Defaults (PC&LH) • Publicly Traded Common Stocks (PC&LH) • Other Asset Classes (PC&LH) • Interest Rate Risk (PC&LH) • Credit Risk – Reinsurance Recoverables (PC&LH) • Premium Risk (PC) • Reserve Risk (PC)
21 March 2016 30Stochastic Based BCAR for US PC Insurers
New Structure – PC BCAR
Available Capital (AC) Reported Capital (PHS) Equity Adjustments:
Unearned Premiums (DAC) Equalization/Contingency Reserves Loss Reserves Assets
Debt Adjustments: Surplus Notes Debt Service Requirements
Other Adjustments: Future Operating Losses Potential Loss Future Dividends Goodwill & Other Intangible Assets Minority Interests, etc.
Net Required Capital Gross Required Capital (GRC): (B1) Fixed Income Securities (B2) Equity Securities (B3) Interest Rate (B4) Credit (B5) Loss and LAE Reserves (B6) Net Premiums Written (B7) Business Risk (B8) Potential Catastrophe Loss Covariance Adjustment Net Required Capital (NRC)*
BCAR Ratio = (Available Capital – Net Required Capital) / Available Capital
*NRC= SQRT [ (B1)²+(B2)²+(B3)²+(0.5*B4)² +[(0.5*B4)+B5)]²+(B6)² ] + B7 + B8
21 March 2016 31Stochastic Based BCAR for US PC Insurers
Example of Impact to PC Score
Current PC BCAR Calculation (ratio to NRC) APHS (ex Potential Cat Losses) = $150M Potential Cat Losses = $30M NRC (ex Potential Cat Losses) = $80M BCAR = (150 – 30 ) / 80 = 120/80 = 150.0 Planned PC BCAR Calculation (ratio to Available Capital) Available Capital (ex Potential Cat Losses) = $150M Potential cat Losses = $30M NRC (ex Potential Cat Losses) = $80M NRC (incl Potential Cat Losses) = $110M BCAR = (150 – 110 ) / 150 = 40/150 = 26.7
21 March 2016 32Stochastic Based BCAR for US PC Insurers
Display of BCAR ScoresBCAR
-‐10
5
20
35
50
VaR 95 VaR 99 VaR 99.5 VaR 99.8 VaR 99.9
-‐3.3
6.7
16.7
26.7
36.7
21 March 2016 33Stochastic Based BCAR for US PC Insurers
Investment Risk (PC & LH)
• Fixed Income Securities – Default Risk – Bonds – Mortgage Loans – Preferred Stocks
• Equities – Market Value Volatility – Publicly Traded Common Stocks – Real Estate – Schedule BA assets
• Affiliated and Private investments receive 100% risk charge
21 March 2016 34Stochastic Based BCAR for US PC Insurers
Investment Risk (PC & LH)• Bonds – Default Risk
– Based on ESG – Update bond default risk factors
• Reflect maturity of company’s bond portfolio (SRQ) • Reflect asset quality of company’s bond portfolio (SRQ) • Only defaults occurring in first 10 years are considered • Offset default with recovery on defaults (vary by rating) • Net defaulted amounts are present valued
21 March 2016 35Stochastic Based BCAR for US PC Insurers
Investment Risk – PC Analyst ViewObservation: • Model reacts to bond quality and maturity
YE 2014 Bond Risk FactorsUsing P/C Industry’s Bond Mix
Percent of Total
Current BCAR VaR 95 VaR 99 VaR 99.5 VaR 99.8 VaR 99.9
NAIC 1 82.2% 1.0% 0.7% 1.1% 1.3% 1.5% 1.7%
NAIC 2 13.7% 2.0% 4.1% 5.4% 5.9% 6.4% 6.9%
NAIC 3 2.2% 4.0% 11.5% 13.2% 13.7% 14.2% 14.7%
NAIC 4 1.4% 4.5% 21.0% 23.0% 24.0% 24.5% 25.0%
NAIC 5 0.3% 10.0% 48.0% 48.5% 49.0% 49.5% 50.0%
NAIC 6 0.2% 30.0% 63.0% 64.0% 65.0% 66.0% 67.0%
Total (ex US Govt) 100.0% 1.3% 1.9% 2.5% 2.8% 3.0% 3.3%
21 March 2016 36Stochastic Based BCAR for US PC Insurers
Investment Risk (PC & LH)• Common Stocks – Market Value Volatility
– Based on ESG – Update publicly traded common stock risk factors
• Reflect volatility of stock market (stochastic portion – S&P 500) • Reflect type of stocks held by company (SRQ – Beta) • Credibility of company Beta based on degree of fit (R-squared) • Using 1 year time period
Industry Baseline Risk FactorsPC Current
BCARLH Current
BCAR VaR 95 VaR 99VaR 99.5
VaR 99.8
VaR 99.9
Publicly Traded Common Stock
15.0% 30.0% 25.0% 38.0% 43.0% 48.0% 50.0%
21 March 2016 37Stochastic Based BCAR for US PC Insurers
Investment Risk (PC & LH)• Schedule BA Assets – Market Value Volatility
– Based on ESG – Update Other Invested Assets risk factors
• Reviewed volatility in over 30 different hedge fund indices in ESG • Selected baseline risk factors = 1.10 times S&P 500 factors • Companies can share greater details of portfolio for potential reduction in
factors • Using 1 year time period
Industry Baseline Risk FactorsPC
Current BCAR
LH Current BCAR VaR 95 VaR 99
VaR 99.5
VaR 99.8
VaR 99.9
Other Invested Assets (Unaffiliated)
20.0% Various 27.5% 41.8% 47.3% 52.8% 55.0%
21 March 2016 38Stochastic Based BCAR for US PC Insurers
Interest Rate Risk (PC)• Interest Rate Risk
– Risk of having to sell fixed income assets when market values are lower
– Exposure to a rise in interest rates over next one year – Liquidity risk during the upcoming year – Risk is driven by sudden shock event
• PC - Usually natural catastrophe, or man-made, could be economic
21 March 2016 39Stochastic Based BCAR for US PC Insurers
Interest Rate Risk (PC)
• Interest Rate Movements – Based on ESG – Simulated 10,000 potential one year changes in interest rates – Reflects duration of company’s fixed income asset portfolio (bonds-
SRQ) – Reflects liquidity need using Greater of Gross PML or 10% of surplus
Proposed One Year Rise in Interest Rate
Current VaR 95 VaR 99 VaR 99.5 VaR 99.8 VaR 99.9
120 BP 170 BP 240 BP 270 BP 290 BP 310 BP
21 March 2016 40Stochastic Based BCAR for US PC Insurers
Credit Risk (PC & LH)• Credit Risk
– Risk of default on: • Reinsurance recoverables (recov on pd & unpd, ceded UPR)
– Reinsurance Recoverable Charge: • Credit risk charge (ability to pay)
– Reinsurer AMB issuer credit rating – Duration of recoverables – Uses stochastic simulation software and impairment table
• Credit Risk Charges reduced for: – Recovery on default (50%) – Funds Held (100%) – Acceptable LOCs & Trusts (up to 90%) – Discounted to present value
– Dispute Risk calculation remains
21 March 2016 41Stochastic Based BCAR for US PC Insurers
Reserve Risk (PC)• Risk of unanticipated adverse development on net
loss & loss-adjustment expense (LAE) reserves • Reserve Risk Factors
– Uses stochastic simulation software • probability distributions • correlation matrix
• Further adjustment to required capital for Excessive Growth
21 March 2016 42Stochastic Based BCAR for US PC Insurers
Premium Risk (PC)• Risk that pricing of business written next year will be
inadequate – Potential for Underwriting Loss on one more year’s worth of business – This is the one-year look forward in terms of adding additional
exposure – Current year’s NWP used as proxy for next year
• Premium Risk Factors – Uses stochastic simulation software
• probability distributions • correlation matrix
• Further adjustment to required capital for Excessive Growth
21 March 2016 43Stochastic Based BCAR for US PC Insurers
Potential Catastrophe Loss (PC)
• Natural Catastrophe – Update natural catastrophe approach –
• Per Occurrence • Total all perils • Measured at various VaR levels • Risk added to Net Required Capital • Will continue stress test approach • Reinstatement premium and Tax adjustments remain
• Terrorism and other stress tests remain
21 March 2016 44Stochastic Based BCAR for US PC Insurers
• Key for rating unit evaluation • BCAR run at the rating unit • Confidence level results tie in to assessment
Metric Confidence Level (%) BCAR Implied Consolidated
Balance Sheet Strength
VaR 99.9 Greater than zero Strongest
VaR 99.8 Greater than zero Very Strong
VaR 99.5 Greater than zero Strong
VaR 99 Greater than zero Adequate
VaR 95 Greater than zero Weak
VaR 95 Less than zero Very WeakThe key characteristics described for each assessment category are ideal scenarios and are not intended to be prescriptive.
Applying BCAR Scores
= Initial indication
21 March 2016 45Stochastic Based BCAR for US PC Insurers
Country Risk
Balance Sheet
Strength
Baseline (e.g., bbb+)
Operating Performance
(+2/-‐3)
Business Profile
(+/-‐2)
Enterprise Risk Management
(+1/-‐4)
Comprehensive Adjustment
(+/-‐1)
Rating Enhancement
Published Issuer Credit Rating
A.M. Best’s Rating Process
BCAR, Stress Tests, Quality of Capital, Liquidity
Reinsurance Dependence Quality of Reinsurance
Appropriateness of Reinsurance Program ALM, Reserve Adequacy Fungibility of Capital
Internal Capital Models Holding Company Impact
Applying BCAR Scores
= Initial indication = Strong
Still Need to reflect all of these plus: Trends in BCAR Volatility in BCAR How quickly does BCAR drop from one confidence level to the next?
21 March 2016 46Stochastic Based BCAR for US PC Insurers
Drop in BCAR – Analyst ViewsObservation: • Two companies pass at the 99.5 VaR but one company’s scores drop much
quickerBCAR
-‐80
-‐60
-‐40
-‐20
0
20
40
60
80
VaR 95 VaR 99 VaR 99.5 VaR 99.8 VaR 99.9
71.2
50.3
28.7
-‐18.7
-‐69.7
4029
16
-‐3-‐13
Company ACompany B
21 March 2016 47Stochastic Based BCAR for US PC Insurers
Catastrophe Stress TestIf a cat loss occurs, what would the BCAR scores look like?
1. Reduce Available Capital • 1-in-100 year Net PML from Per occurrence, Total all perils • Reinstatement premium and tax adjustments remain
2. Increase Recoverables by 40% of ceded loss • From 1-in-100 year PML from Per occurrence, Total all perils • Adjust credit risk factors if needed
3. Increase Net loss reserves by 40% of pretax net PML • From 1-in-100 year PML from Per occurrence, Total all perils
4. See how far BCAR scores drop at all confidence levels
21 March 2016 48Stochastic Based BCAR for US PC Insurers
BCAR
-‐52.5
-‐35
-‐17.5
0
17.5
35
52.5
70
VaR 95 VaR 99 VaR 99.5 VaR 99.8 VaR 99.9
40.1
22.710.5
-‐7.1
-‐31.3
60.1
44.735.5
22.9
8.7
Published BCAR Stressed BCAR
Catastrophe Stress Test
Need to assess Financial Flexibility to determine impact.
How far did the curve shift down, is this a material drop, and how do you manage this drop?
21 March 2016 49Stochastic Based BCAR for US PC Insurers
Overall Balance Sheet Strength Assessment
Combined
Balance
Sheet Assessment (Rating Unit/Holdin
g Company)
Country Risk Tier
CRT-‐1 CRT-‐2 CRT-‐3 CRT-‐4 CRT-‐5
Strongest a+/a a+/a a/a-‐ a-‐/bbb+ bbb+/bbb
Very Strong a/a-‐ a/a-‐ a-‐/bbb+ bbb+/bbb bbb/bbb-‐
Strong a-‐/bbb+ a-‐/bbb+ bbb+/bbb/bbb-‐ bbb/bbb-‐/bb+ bbb-‐/bb+/bb
Adequate bbb+/bbb/bbb-‐ bbb+/bbb/bbb-‐ bbb-‐/bb+/bb bb/bb-‐ bb-‐/b+/b
Weak bb+/bb/bb-‐ bb+/bb/bb-‐ bb-‐/b+/b b+/b/b-‐ b/b-‐/ccc+
Very Weak b+ and below b+ and below b-‐ and below ccc+ and below ccc and below
Applying BCAR Scores
Baseline Assessment based on All Balance Sheet Factors will then be adjusted for Operating Performance, Business Profile, ERM, Comprehensive adjustment, and Lift/Drag to get to the Published Issuer Credit Rating.
21 March 2016 50Stochastic Based BCAR for US PC Insurers
Disclaimer
52
© AM Best Company (AMB) and/or its licensors and affiliates. All rights reserved. ALL INFORMATION CONTAINED HEREIN IS PROTECTED BY COPYRIGHT LAW AND NONE OF SUCH INFORMATION MAY BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT AMB’s PRIOR WRITTEN CONSENT. All information contained herein is obtained by AMB from sources believed by it to be accurate and reliable. Because of the possibility of human or mechanical error as well as other factors, however, all information contained herein is provided “AS IS” without warranty of any kind. Under no circumstances shall AMB have any liability to any person or entity for (a) any loss or damage in whole or in part caused by, resulting from, or relating to, any error (negligent or otherwise) or other circumstance or contingency within or outside the control of AMB or any of its directors, officers, employees or agents in connection with the procurement, collection, compilation, analysis, interpretation, communication, publication or delivery of any such information, or (b) any direct, indirect, special, consequential, compensatory or incidental damages whatsoever (including without limitation, lost profits), even if AMB is advised in advance of the possibility of such damages, resulting from the use of or inability to use, any such information. The credit ratings, financial reporting analysis, projections, and other observations, if any, constituting part of the information contained herein are, and must be construed solely as, statements of opinion and not statements of fact or recommendations to purchase, sell or hold any securities, insurance policies, contracts or any other financial obligations, nor does it address the suitability of any particular financial obligation for a specific purpose or purchaser. Credit risk is the risk that an entity may not meet its contractual, financial obligations as they come due. Credit ratings do not address any other risk, including but not limited to, liquidity risk, market value risk or price volatility of rated securities. NO WARRANTY, EXPRESS OR IMPLIED, AS TO THE ACCURACY, TIMELINESS, COMPLETENESS, MERCHANTABILITY OR FITNESS FOR ANY PARTICULAR PURPOSE OF ANY SUCH RATING OR OTHER OPINION OR INFORMATION IS GIVEN OR MADE BY AMB IN ANY FORM OR MANNER WHATSOEVER. Each credit rating or other opinion must be weighed solely as one factor in any investment or purchasing decision made by or on behalf of any user of the information contained herein, and each such user must accordingly make its own study and evaluation of each security or other financial obligation and of each issuer and guarantor of, and each provider of credit support for, each security or other financial obligation that it may consider purchasing, holding or selling.
Stochastic Based BCAR for US PC Insurers 21 March 2016