EX-99.1 2 tpinsabs15gex991.htm

 

 

 

 

 

 

 

Trust Preferred Insurance Note Securitization 2016-1, Ltd

 

Report to:

Trust Preferred Insurance Note Securitization 2016-1, Ltd

 

1 February 2016

 

 

 

 

 

 

 

 

 

 

 

 

 

 
 

 

 

Ernst & Young LLP

5 Times Square

New York, NY 10036

Tel: +1 (212) 773-3000

www.ey.com

     

 

 

 

 

Report of Independent Accountants on Applying Agreed-Upon Procedures

 

 

Trust Preferred Insurance Note Securitization 2016-1, Ltd

c/o Walkers Fiduciary Limited

27 Hospital Road, George Town

Grand Cayman KY1-9008

Cayman Islands

    

 

 

Re: Trust Preferred Insurance Note Securitization 2016-1, Ltd

 

We have performed the procedures enumerated in Attachment A, which were agreed to by the addressee of this report, EJF Capital LLC, and Merrill Lynch, Pierce, Fenner & Smith Incorporated (collectively, the “Specified Parties”) solely to assist Trust Preferred Insurance Note Securitization 2016-1, Ltd (the “Issuer”) in evaluating the accuracy of certain information with respect to the portfolio of senior notes, surplus notes and trust preferred securities (the “Collateral Obligations”) listed on electronic data files and related decodes prepared by EJF Capital LLC (“EJF Capital”), on behalf of the Issuer, in relation to the preliminary offering memorandum dated 12 January 2016 (the “Preliminary Offering Memorandum”). This agreed-upon procedures engagement was conducted in accordance with attestation standards established by the American Institute of Certified Public Accountants. The sufficiency of the procedures is solely the responsibility of the Specified Parties. Consequently, we make no representation regarding the sufficiency of the procedures described in Attachment A, either for the purpose for which this report has been requested or for any other purpose.

 

Capitalized terms used but not defined herein shall have the meanings ascribed to them in the Preliminary Offering Memorandum.

 

The procedures performed and our associated findings are included in Attachment A.

 

For the purpose of the procedures described in this report, EJF Capital, on behalf of the Issuer, provided us with the following information:

 

a.Electronic data files and related decodes that contain information on the Collateral Obligations as of 20 November 2015 (the “Pricing Cut-off Date”), as subsequently adjusted and updated as described in Attachment A, certain information of which we printed and attached as Exhibit 1 to Attachment A,

 

b.A copy of the Preliminary Offering Memorandum,

 

c.Copies of certain broker statements of EJF Capital which show the purchase of certain Collateral Obligations (each, a “Broker Statement”),

 

d.Copies of certain Collateral Obligations’ executed and draft indentures (each, a “Collateral Indenture”),

 

e.Copies of organization charts or other legal documents for certain Collateral Obligations (each, an “Organization Chart”) and

 

f.Instructions, assumptions and methodologies (the “Assumptions”), which we summarized on the attached Exhibit 2 of Attachment A.

 

The information provided by EJF Capital, on behalf of the Issuer, is referred to herein as the “Source Documents.”

 

 
 

 

 

Trust Preferred Insurance Note Securitization 2016-1, Ltd

Page 2

   

  

 

 

 

The procedures in Attachment A were limited to comparing certain information that is further described in Attachment A. We performed no procedures on any other information on the Pricing Cut-off Date Data Files (as defined on Attachment A). The Issuer is responsible for the Pricing Cut-off Date Data Files (as defined on Attachment A), Source Documents, Exhibit 1 to Attachment A and Exhibit 2 to Attachment A and the determination of the instructions, assumptions and methodologies that are described herein. We were not requested to perform, and we have not performed, any further procedures than those listed in Attachment A with respect to the preparation or verification of any of the information set forth on the Pricing Cut-off Date Data Files (as defined on Attachment A). We have not verified and we make no representations as to the accuracy, completeness or reasonableness of the Source Documents, or any other information obtained or provided to us. We make no representations and express no opinion as to: (a) the existence of the Collateral Obligations, (b) questions of legal or tax interpretation, (c) the sufficiency of the requirements of the Preliminary Offering Memorandum, (d) the accuracy, completeness or reasonableness of the assumptions and methodologies set forth in the Preliminary Offering Memorandum, (e) the accuracy of the information obtained from Moody’s Investors Service or their website (“Moody’s”), (f) the accuracy of the information obtained from A.M. Best Company or their website (“A.M. Best”), (g) the  accuracy, completeness or reasonableness of the instructions, assumptions, methodologies and information provided to us by EJF Capital, on behalf of the Issuer or (h) the accuracy of the information obtained from a third party data, news and analytics vendor (the “Data Vendor”). This report does not constitute a legal determination as to the Issuer’s compliance with the Preliminary Offering Memorandum’s specified requirements. We undertake no responsibility to update this report for events and circumstances occurring after the date hereof.

 

We were not engaged to, and did not, conduct an examination to express an opinion or a review to express a conclusion in accordance with attestation standards established by the American Institute of Certified Public Accountants, on any of the items referred to herein. Accordingly, we do not express such an opinion or conclusion. Had we performed additional procedures, other matters might have come to our attention that would have been reported to you.

 

 
 

 

 

Trust Preferred Insurance Note Securitization 2016-1, Ltd

Page 3

   

 

 

 

This agreed-upon procedures engagement was not conducted for the purpose of:

 

a.Satisfying any criteria for due diligence published by a nationally recognized statistical rating organization or

 

b.Making any findings with respect to:

 

i.Whether the origination of the Collateral Obligations conformed to, or deviated from, stated underwriting or credit extension guidelines, standards, criteria, or other requirements,

 

ii.The value of the collateral securing the Collateral Obligations,

 

iii.Whether the originator of the Collateral Obligations complied with federal, state or local laws or regulations or

 

iv.Any other factor or characteristic of the Collateral Obligations that would be material to the likelihood that the issuer of the asset-backed security will pay interest and principal in accordance with applicable terms and conditions.

 

This report is intended solely for the use of the Specified Parties and is not intended and should not be used by anyone other than these Specified Parties. It is not intended to be and should not be used by any other person or entity, including investors and credit rating agencies, who are not identified in this report as Specified Parties.

 

 

 

/s/ Ernst & Young LLP

 

1 February 2016

 

 
 

 

 

Attachment A

Page 1 of 4

   

 

 

Background

 

For the purpose of the procedures described in this Attachment A, the Preliminary Offering Memorandum relates to the offering of the Issuer’s and Trust Preferred Insurance Note Securitization 2016-1, LLC’s (the ”Co-Issuer” and, together with the Issuer, the ”Co-Issuers”) Class A Senior Secured Floating Rate Notes (the “Class A Notes”). Concurrently with the offering of the Class A Notes, the Issuer is expected to issue the Class B Mezzanine Deferrable Floating Rate Notes (the “Class B Notes” and, together with the Class A Notes, the “Notes”), the Class A Preferred Shares (the “Class A Preferred Shares”), and the Class B Preferred Shares (the “Class B Preferred Shares” and, together with the Class A Preferred Shares, the “Preferred Shares”).

 

EJF Capital, on behalf of the Issuer, indicated that the Collateral Obligations on the Pricing Cut-off Date Data Files (as defined herein) were the Collateral Obligations the Issuer is expected to purchase on the Closing Date (as defined in the Preliminary Offering Memorandum) and will be managed by TPINS Manager LLC, an affiliate of EJF Capital, (the “Collateral Manager”) from and after the Closing Date (as defined in the Preliminary Offering Memorandum). Furthermore, EJF Capital, on behalf of the Issuer, indicated that the Collateral Obligations ultimately purchased by the Issuer on the Closing Date (as defined in the Preliminary Offering Memorandum) may not include all of the Collateral Obligations listed on the Pricing Cut-off Date Data Files (as defined herein) and may include other Senior Notes, Surplus Notes or Trust Preferred Securities acquired after the Pricing Cut-off Date. We performed no procedures regarding the accuracy or validity of the EJF Capital’s representation regarding the portfolio of Senior Notes, Surplus Notes or Trust Preferred Securities that ultimately will be purchased by the Issuer on the Closing Date (as defined in the Preliminary Offering Memorandum). The procedures we performed were limited to comparing certain information of the Collateral Obligations on the Pricing Cut-off Date Data Files (as defined herein).

 

 
 

 

 

Attachment A

Page 2 of 4

   

 

 

Procedures we performed and our associated findings

 

The procedures we performed and our associated findings were as follows:

 

1.We obtained from EJF Capital, on behalf of the Issuer, electronic data files and related decodes containing information on the Collateral Obligations as of the Pricing Cut-off Date, except with respect to any ratings and related information which are as of 29 January 2016. We compared the Characteristics indicated below, as shown on these electronic data files, to the corresponding information on the Source Documents and Data Sources (as defined herein) as indicated below and EJF Capital adjusted the information on these electronic data files to correct for differences we noted in performing the procedures described below, subject to any qualifications and exceptions stated in the Assumptions on Exhibit 2 to Attachment A. The electronic data files, as so adjusted, are herein referred to as the “Pricing Cut-off Date Data Files.”

 

2.For each Collateral Obligation listed on Exhibit 1 to Attachment A, except as noted on Exhibit 2 to Attachment A, we compared the following characteristics (the “Characteristics”), as shown on Exhibit 1 to Attachment A and indicated by the letter A, with the corresponding information we obtained or derived on or after the Pricing Cut-off Date using certain Assumptions in Exhibit 2 to Attachment A and the following data sources (each, a “Data Source”), as applicable: (a) Data Vendor, (b) A.M. Best, (c) Moody’s, (d) Collateral Indenture, (e) Broker Statements and (f) Organization Charts. Where more than one Data Source is listed for a Characteristic, EJF Capital, on behalf of the Issuer, instructed us to note agreement if the value on the Pricing Cut-off Date Data Files for the Characteristic agreed with the corresponding information on at least one of the Data Sources that are listed for such Characteristic. We performed no procedures to reconcile any differences that may exist between various Data Sources for any of the Characteristics.

 

 

Characteristics Data Sources
   

Operating Company Name

(labeled as “Operating”)

 Collateral Indenture, A.M. Best,
Organization Charts, Data Vendor
   

Holding Company Name

(labeled as “Parent”)

 Collateral Indenture, A.M. Best,
Organization Charts
   

Type of Insurance Company

(labeled as “Type of Insurance Company”)

 A.M. Best, Moody’s, Organization Charts,
Data Vendor
   

Ticker1

(labeled as “Ticker”)

 A.M. Best
   
2. (Continued)  
   
Characteristics Data Sources
   

Type of Security

(labeled as “Type of Security”)

 Collateral Indenture
   

Notional Amount

(labeled as “Old Notional” or “New Notional,” as applicable)

 Collateral Indenture, Broker Statements
   

 

 

1 Only for certain Collateral Obligations for which the information of the Characteristic was disclosed on Exhibit 1 of Attachment A.

 
 

 

 

Attachment A

Page 3 of 4

   

 

 

   

Maturity

(labeled as “Maturity”)

 Collateral Indenture
   

Spread

(labeled as “Libor Spread”)

 Collateral Indenture
   

Operating Company Region1

(labeled as “Operating Company Region”)

 Collateral Indenture, A.M. Best, Moody’s
   

Parent Company Region1

(labeled as “Parent Company Region”)

 Collateral Indenture, A.M. Best, Moody’s
   

Holding Company-Issuer Credit Rating (“ICR”)

(labeled as “AM Best Ratings – Holding Co. / Long Term ICR”)

 A.M. Best, Organization Charts
   

Holding Company-ICR Outlook

(labeled as “AM Best Ratings – Holding Co. / Outlook1”)

 A.M. Best, Organization Charts
   

Holding Company-Financial Strength

(labeled as “AM Best Ratings – Holding Co. / Financial Strength”)

 A.M. Best, Organization Charts
   

Holding Company-Financial Strength Outlook

(labeled as “AM Best Ratings – Holding Co. / Outlook2”)

 A.M. Best, Organization Charts
   

Operating Company-ICR

(labeled as “AM Best Ratings – Operating / Long Term ICR”)

 A.M. Best, Organization Charts
   

Operating Company-ICR Outlook

(labeled as “AM Best Ratings – Operating / Outlook1”)

 A.M. Best, Organization Charts
   

Operating Company-Financial Strength

(labeled as “AM Best Ratings – Operating / Financial Strength”)

 A.M. Best, Organization Charts
   

Operating Company-Financial Strength Outlook

(labeled as “AM Best Ratings – Operating / Outlook2”)

 A.M. Best, Organization Charts
   

 

 

1 Only for certain Collateral Obligations for which the information of the Characteristic was disclosed on Exhibit 1 of Attachment A.

 

 
 

 

 

 

Attachment A

Page 4 of 4

   

 

 

 

2.  (Continued)  
   
Characteristics Data Sources
   

Intermediate Holding Company-ICR

(labeled as “AM Best Ratings- Intermediate

Holding Co. / Long Term ICR”)

 A.M. Best, Organization Charts
   

Intermediate Holding Company Outlook

(labeled as “AM Best Ratings – Intermediate Holding Co. / Outlook 1”)

 A.M. Best, Organization Charts

 

 

 

All Characteristics were in agreement. In performing this procedure, we were instructed by the Issuer to ignore differences that appeared to be due to abbreviation, truncation or punctuation or differences that are within +/- 30 days or less.

 

We performed no other procedures on any other information on Exhibit 1 to Attachment A.

 

 
 

 

 

Exhibit 1 to Attachment A

 

 

 

 

Certain information from the Pricing Cut-off Date Data Files

 

(refer to Items 1 and 2.)

 

 

 

 
 

 

Operating Parent Type of Insuance Company   Ticker     Type of Security    

Old Notional

 

        
American Equity Investment Life Insurance Company American Equity Investment Life Holding Company Life & Health   AEL     Trust Preferred     $15,000,000        
American European Insurance Group American European Group, Inc. Property & Casualty     A   Trust Preferred     $0 A      
Arbella Mutual Insurance Company Arbella Mutual Insurance Company Property & Casualty         Surplus Notes     $8,000,000        
Argo Group International Holdings, Ltd. Argo Group International Holdings, Ltd. Property & Casualty   AGII     Trust Preferred     $17,500,000        
Argo Group US, Inc. Argo Group International Holdings, Ltd. Property & Casualty   AGII     Trust Preferred     $15,000,000        
ARX Holding Corp. Progressive Corporation Property & Casualty     A   Senior Notes     $6,000,000        
Atlantic American Corporation Atlantic American Corporation Life & Health   AAME     Trust Preferred     $15,000,000        
Builders Insurance (A Mutual Captive Company) Builders Insurance (A Mutual Captive Company) Property & Casualty     A   Surplus Notes     $15,000,000        
Burlington Insurance Group Holdings, Inc. IFG Companies Property & Casualty         Trust Preferred     $15,000,000        
Century-National Insurance Company Kramer-Wilson Company, Inc. Property & Casualty         Trust Preferred     $10,000,000        
Century-National Insurance Company Kramer-Wilson Company, Inc. Property & Casualty         Trust Preferred     $10,000,000        
Columbia Mutual Insurance Company Columbia Mutual Insurance Company Property & Casualty         Surplus Notes     $15,000,000        
Employers Preferred Insurance Company Employers Holding, Inc. Property & Casualty   EIG     Surplus Notes     $10,000,000        
Farmers Mutual Fire Insurance Company of Salem County Farmers Mutual Fire Insurance Company of Salem County Property & Casualty     A   Surplus Notes     $3,600,000        
FinCor Holdings, Inc Medical Professional Mutual Insurance Company Property & Casualty         Trust Preferred     $12,000,000        
Grange Mutual Casualty Company Grange Mutual Casualty Company Property & Casualty         Surplus Notes     $20,000,000        
GuideOne Mutual Insurance Company GuideOne Mutual Insurance Company Property & Casualty         Surplus Notes     $20,000,000        
HealthMarkets Group Healthmarkets, Inc. Life & Health         Trust Preferred     $0 A      
Homesteaders Life Company Homesteaders Life Company Life & Health         Surplus Notes     $6,000,000        
Imperial Fire and Casualty Insurance Company National General Holdings Corp. Property & Casualty   NGHC     Surplus Notes     $5,000,000        
James River Group, Inc. James River Group Holdings, Ltd. Property & Casualty   JRVR     Senior Notes     $10,000,000        
Lancer Insurance Company Lancer Financial Group, Inc. Property & Casualty     A   Trust Preferred     $15,000,000        
Lincoln Heritage Life Insurance Company Londen Insurance Group, Inc. Life & Health         Trust Preferred     $15,000,000        
Manhattan Life Insurance Company Harris Insurance Holdings, Inc. Life & Health         Surplus Notes     $0 A      
Meadowbrook Insurance Group, Inc. Fosun International Limited Property & Casualty   MIG     Senior Notes     $13,000,000        
MMG Insurance Company MMG Financial Services, Inc. Property & Casualty     A   Trust Preferred     $6,000,000        
MTL Insurance Company MTL Holdings, Inc. Life & Health         Trust Preferred     $10,000,000        
Mutual of Enumclaw Insurance Company Mutual of Enumclaw Insurance Company Property & Casualty         Surplus Notes     $10,000,000        
Mutual of Enumclaw Insurance Company Mutual of Enumclaw Insurance Company Property & Casualty         Surplus Notes     $10,000,000        
National Grange Mutual Insurance Company Main Street America Group Mutual Holdings, Inc. Property & Casualty         Surplus Notes     $15,000,000        
National Lloyds Insurance Company Hilltop Holdings Inc Property & Casualty   HTH     Surplus Notes     $10,000,000        
National Lloyds Insurance Company Hilltop Holdings Inc Property & Casualty   HTH     Surplus Notes     $10,000,000        
New Era Life Insurance Company New Era Enterprises, Inc. Life & Health     A   Surplus Notes     $0 A      
New London County Mutual Insurance Company New London County Mutual Insurance Company Property & Casualty         Surplus Notes     $7,500,000        
Novae Group Plc Novae Group Plc Property & Casualty   NVA     Senior Notes     $15,000,000        
Ohio Indemnity Company Fenist, LLC Property & Casualty     A   Trust Preferred     $7,000,000        
Ohio Indemnity Company Fenist, LLC Property & Casualty         Trust Preferred     $8,000,000        
Preferred Mutual Insurance Company Preferred Mutual Insurance Company Property & Casualty         Surplus Notes     $10,000,000        
Public Service Mutual Insurance Company Public Service Mutual Holding Company Property & Casualty         Surplus Notes     $0 A      
R.V.I. America Insurance Company Quantum Partners LP Property & Casualty         Trust Preferred     $15,000,000        
Republic Companies, Inc. Delek Group Ltd. Property & Casualty         Trust Preferred     $10,000,000        
Republic Companies, Inc. Delek Group Ltd. Property & Casualty         Trust Preferred     $20,000,000        
State National Insurance Company, Inc. State National Companies, Inc. Property & Casualty   SNC     Trust Preferred     $17,500,000        
Union Mutual Fire Insurance Company Union Mutual Fire Insurance Company Property & Casualty     A   Surplus Notes     $7,500,000        
Utica First Insurance Company Utica First Insurance Company Property & Casualty         Surplus Notes     $3,500,000        
Western General Insurance Company Western General Holding Company, Inc. Property & Casualty         Trust Preferred     $0 A      
Western National Mutual Insurance Company Western National Insurance Group Property & Casualty         Surplus Notes     $4,000,000        
                                            A                   A                 A      
                                                                                         

 

 

 
 

 

 

  Operating       New Notional     Maturity LIBOR Spread  

Operating Company Region

 

 Parent Company Region              
  American Equity Investment Life Insurance Company       $11,000,000     4/29/2034 3.90%   National   National                
  American European Insurance Group       $5,000,000     12/4/2032 4.00%   Region 1   Region 1                
  Arbella Mutual Insurance Company       $8,000,000 A   10/29/2033 3.95%   Region 1   Region 1                
  Argo Group International Holdings, Ltd.       $5,500,000     5/15/2033 4.10%   A     A              
  Argo Group US, Inc.       $5,500,000     5/15/2033 4.10%   Region 1                    
  ARX Holding Corp.       $6,000,000     4/29/2034 3.80%   Region 1   Region 2                
  Atlantic American Corporation       $11,000,000     5/15/2033 4.10%   National   National                
  Builders Insurance (A Mutual Captive Company)       $11,000,000     12/4/2032 4.00%   Region 1   Region 1                
  Burlington Insurance Group Holdings, Inc.       $11,000,000     5/15/2033 4.10%   Region 1   Region 1                
  Century-National Insurance Company       $1,000,000     9/30/2033 3.95%   Region 5   Region 1                
  Century-National Insurance Company       $10,000,000     10/29/2033 3.95%   Region 5   Region 1                
  Columbia Mutual Insurance Company       $11,000,000     12/4/2032 4.00%   Region 3   Region 3                
  Employers Preferred Insurance Company       $10,000,000     4/29/2034 4.25%   Region 1   Region 3                
  Farmers Mutual Fire Insurance Company of Salem County       $3,600,000     12/4/2032 4.00%   Region 1   Region 1                
  FinCor Holdings, Inc       $11,000,000     4/29/2034 3.80%   Region 2   Region 1                
  Grange Mutual Casualty Company       $11,000,000     10/29/2033 3.95%   Region 2   Region 2                
  GuideOne Mutual Insurance Company       $11,000,000     5/15/2033 4.10%   Region 3   Region 3                
  HealthMarkets Group       $11,000,000     4/29/2034 3.50%   National   National                
  Homesteaders Life Company       $6,000,000     9/30/2033 3.95%   National   National                
  Imperial Fire and Casualty Insurance Company       $5,000,000     4/29/2034 4.05%   Region 4   Region 1                
  James River Group, Inc.       $10,000,000     4/29/2034 3.85%   Region 1     A              
  Lancer Insurance Company       $11,000,000     5/15/2033 4.10%   Region 2   Region 2                
  Lincoln Heritage Life Insurance Company       $11,000,000     5/15/2033 4.10%   National   National                
  Manhattan Life Insurance Company       $7,000,000     4/29/2034 4.05%   National   National                
  Meadowbrook Insurance Group, Inc.       $11,000,000     4/29/2034 4.00%   Region 2     A              
  MMG Insurance Company       $6,000,000     10/29/2033 3.85%   Region 1   Region 1                
  MTL Insurance Company       $10,000,000     5/15/2033 4.10%   National   National                
  Mutual of Enumclaw Insurance Company       $10,000,000     10/29/2033 3.95%   Region 5   Region 5                
  Mutual of Enumclaw Insurance Company       $1,000,000     10/29/2033 3.85%   Region 5   Region 5                
  National Grange Mutual Insurance Company       $11,000,000     5/15/2033 4.10%   Region 1   Region 1                
  National Lloyds Insurance Company       $10,000,000     5/15/2033 4.10%   Region 4   Region 1                
  National Lloyds Insurance Company       $1,000,000     9/30/2033 4.05%   Region 4   Region 1                
  New Era Life Insurance Company       $10,000,000     4/29/2034 4.00%   National   National                
  New London County Mutual Insurance Company       $7,500,000 A   12/4/2032 4.00%   Region 1   Region 1                
  Novae Group Plc       $11,000,000     6/30/2034 3.50%   A     A              
  Ohio Indemnity Company       $7,000,000     9/30/2033 4.05%   Region 2   Region 2                
  Ohio Indemnity Company       $4,000,000     12/4/2032 4.00%   Region 2   Region 2                
  Preferred Mutual Insurance Company       $10,000,000     5/15/2033 4.10%   Region 1   Region 1                
  Public Service Mutual Insurance Company       $11,000,000     10/29/2033 3.95%   Region 1   Region 2                
  R.V.I. America Insurance Company       $11,000,000     12/4/2032 4.00%   Region 1     A              
  Republic Companies, Inc.       $10,000,000     9/30/2033 4.00%   Region 4                    
  Republic Companies, Inc.       $1,000,000     10/29/2033 3.85%   Region 4                    
  State National Insurance Company, Inc.       $11,000,000     12/4/2032 4.00%   Region 4   Region 1                
  Union Mutual Fire Insurance Company       $7,500,000     5/15/2033 4.10%   Region 1   Region 1                
  Utica First Insurance Company       $3,500,000     12/4/2032 4.00%   Region 1   Region 1                
  Western General Insurance Company       $4,500,000     10/29/2033 3.95%   Region 5   Region 5                
  Western National Mutual Insurance Company       $4,000,000 A   5/15/2033 4.10%   Region 3   Region 3                
  A                                         A         A   A                  
                                                                                 

 

 
 

 

 

                                                                             
  AM Best Ratings - Holding Co Parent

 AM Best Ratings - Operating Operating  
Operating Long Term ICR Outlook 1 Financial
Strength		 Outlook 2 Long Term ICR Outlook 1 Financial Strength Outlook 2  
American Equity Investment Life Insurance Company     bbb- Stable   NR NR   a- Stable A- Stable    
American European Insurance Group   NR NR            A NR NR   bb+ Stable B Stable    
Arbella Mutual Insurance Company     a- Stable     A- Stable     a- Stable A- Stable    
Argo Group International Holdings, Ltd.     bbb Stable   NR NR        A   a Stable a Stable    
Argo Group US, Inc.     bbb Stable   NR NR   a Stable A Stable    
ARX Holding Corp.     a Stable   NR NR   a+ Stable A Stable    
Atlantic American Corporation   NR NR             A NR NR   a- Stable A- Stable    
Builders Insurance (A Mutual Captive Company)     a- Positive     A- Positive     a- Positive A- Positive    
Burlington Insurance Group Holdings, Inc.   NR NR             A NR NR         A   a Positive A Stable    
Century-National Insurance Company   NR NR NR NR   a Negative A Negative    
Century-National Insurance Company   NR NR NR NR   a Negative A Negative    
Columbia Mutual Insurance Company     a- Negative     A- Negative     a- Negative A- Negative    
Employers Preferred Insurance Company     bbb- Negative   NR NR         A   a- Negative A- Negative    
Farmers Mutual Fire Insurance Company of Salem County     a- Stable     A- Stable     a- Stable A- Stable    
FinCor Holdings, Inc     a Stable     A Stable     a- Stable A- Stable    
Grange Mutual Casualty Company     a+ Negative     A Stable     a+ Negative A Stable    
GuideOne Mutual Insurance Company     a Stable     A Stable     a Stable A Stable    
HealthMarkets Group     bb Stable   NR NR         A NR NR NR NR            A
Homesteaders Life Company     a- Stable     A- Stable     a- Stable A- Stable    
Imperial Fire and Casualty Insurance Company     bbb- Stable   NR NR         A   a- Stable A- Stable    
James River Group, Inc.     bbb- Positive   NR NR   a- Positive A- Positive    
Lancer Insurance Company   NR NR            A NR NR   a- Stable A- Stable    
Lincoln Heritage Life Insurance Company   NR NR NR NR   a- Stable A- Stable    
Manhattan Life Insurance Company   NR NR NR NR   bbb- Stable B+ Stable    
Meadowbrook Insurance Group, Inc.   NR NR NR NR   bbb+ Stable B++ Stable    
MMG Insurance Company   NR NR NR NR   a Stable A Stable    
MTL Insurance Company   NR NR NR NR   a- Positive A- Positive    
Mutual of Enumclaw Insurance Company     a- Stable     A- Stable     a- Stable A- Stable    
Mutual of Enumclaw Insurance Company     a- Stable     A- Stable     a- Stable A- Stable    
National Grange Mutual Insurance Company   NR NR            A NR NR        A   a+ Stable A Stable    
National Lloyds Insurance Company   NR NR NR NR   a Negative A Negative    
National Lloyds Insurance Company   NR NR NR NR   a Negative A Negative    
New Era Life Insurance Company   NR NR NR NR   bbb- Stable B+ Stable    
New London County Mutual Insurance Company     a- Stable     A- Stable     a- Stable A- Stable    
Novae Group Plc   NR NR             A NR NR         A NR NR NR NR A
Ohio Indemnity Company   NR NR NR NR   a- Stable A- Stable    
Ohio Indemnity Company   NR NR NR NR   a- Stable A- Stable    
Preferred Mutual Insurance Company     a+ Stable     A Stable     a+ Stable A Stable    
Public Service Mutual Insurance Company   NR NR             A NR NR         A   bb+ Negative B Stable    
R.V.I. America Insurance Company   NR NR NR NR   a- Stable A- Stable    
Republic Companies, Inc.   NR NR NR NR   a- Positive A- Positive    
Republic Companies, Inc.   NR NR NR NR   a- Positive A- Positive    
State National Insurance Company, Inc.     bbb Stable   NR NR   a Stable A Stable    
Union Mutual Fire Insurance Company     a- Stable     A- Stable     a- Stable A- Stable    
Utica First Insurance Company     a Positive     A Stable     a Positive A Stable    
Western General Insurance Company   NR NR            A NR NR             A   bbb- Negative B+ Negative    
Western National Mutual Insurance Company     a+ Stable     A Stable     a+ Stable A Stable    

 

A

                  A                   A                                           A    

 

 
 

 

 

                                                                                       
   

AM Best Ratings - Intermediate Holding Co

 

                                                        

Operating

 

   Long Term ICR Outlook 1                                                            
American Equity Investment Life Insurance Company                                                                  
American European Insurance Group                                                                  
Arbella Mutual Insurance Company                                                                  
Argo Group International Holdings, Ltd.                                                                  
Argo Group US, Inc.   bbb Stable                                                            
ARX Holding Corp.       A                                                          
Atlantic American Corporation   bbb- Stable                                                            
Builders Insurance (A Mutual Captive Company)       A                                                          
Burlington Insurance Group Holdings, Inc.                                                                  
Century-National Insurance Company                                                                  
Century-National Insurance Company                                                                  
Columbia Mutual Insurance Company                                                                  
Employers Preferred Insurance Company   bbb- Negative                                                            
Farmers Mutual Fire Insurance Company of Salem County       A                                                          
FinCor Holdings, Inc   NR NR                                                            
Grange Mutual Casualty Company                                                                  
GuideOne Mutual Insurance Company                                                                  
HealthMarkets Group                                                                  
Homesteaders Life Company                                                                  
Imperial Fire and Casualty Insurance Company                                                                  
James River Group, Inc.                                                                  
Lancer Insurance Company                                                                  
Lincoln Heritage Life Insurance Company                                                                  
Manhattan Life Insurance Company                                                                  
Meadowbrook Insurance Group, Inc.   bb Positive                                                            
MMG Insurance Company         A                                                        
MTL Insurance Company                                                                  
Mutual of Enumclaw Insurance Company                                                                  
Mutual of Enumclaw Insurance Company                                                                  
National Grange Mutual Insurance Company                                                                  
National Lloyds Insurance Company                                                                  
National Lloyds Insurance Company                                                                  
New Era Life Insurance Company                                                                  
New London County Mutual Insurance Company                                                                  
Novae Group Plc                                                                  
Ohio Indemnity Company                                                                  
Ohio Indemnity Company                                                                  
Preferred Mutual Insurance Company                                                                  
Public Service Mutual Insurance Company                                                                  
R.V.I. America Insurance Company                                                                  
Republic Companies, Inc.                                                                  
Republic Companies, Inc.                                                                  
State National Insurance Company, Inc.                                                                  
Union Mutual Fire Insurance Company                                                                  
Utica First Insurance Company                                                                  
Western General Insurance Company                                                                  
Western National Mutual Insurance Company                                                                  
A                                                                                      

 

 

 

 

 

 

 

 

 
 

 

Exhibit 2 to Attachment A
Page 1 of 2

 

 

Assumptions

 

(refer to Item 2.)

 

1.EJF Capital, on behalf of the Issuer, indicated that the Collateral Obligations with the respective maturities as listed below, with the term “Floating Rate Junior Subordinated Deferrable Interest Debentures” as shown on the respective Collateral Indentures, should be considered as Trust Preferred Securities with regard to the Type of Security Characteristic (labeled as “Type of Security” on Exhibit 1 to Attachment A) as shown on the Pricing Cut-off Date Data Files:

 

Collateral Obligations   Maturity 
     
American European Insurance Group   12/4/2032 
      
Atlantic American Corporation   5/15/2033 
      
Burlington Insurance Group Holdings, Inc.   5/15/2033 
      
Century-National Insurance Company   9/30/2033 
      
Century-National Insurance Company   10/29/2033 
      
FinCor Holdings, Inc   4/29/2034 
      
HealthMarkets Group   4/29/2034 
      
Lancer Insurance Company   5/15/2033 
      
Lincoln Heritage Life Insurance Company   5/15/2033 
      
MMG Insurance Company   10/29/2033 
      
MTL Insurance Company   5/15/2033 
      
Ohio Indemnity Company   12/4/2032 
      
Ohio Indemnity Company   9/30/2033 
      
R.V.I. America Insurance Company   12/4/2032 
      
Republic Companies, Inc.   9/30/2033 
      
State National Insurance Company, Inc.   12/4/2032 
      
Western General Insurance Company   10/29/2033 

 

 

 
 

 

Exhibit 2 to Attachment A
Page 2 of 2

 

 

2.The ultimate parent company of the Collateral Obligation identified as “Atlantic American Corporation” on Exhibit 1 to Attachment A is “Harriett Robinson and Family,” as shown in the Organization Chart Data Source. EJF Capital, on behalf of the Issuer, indicated that the rating of Harriett Robinson and Family should be used when comparing the rating and related information of the holding company.

 

3.EJF Capital, on behalf of the Issuer, indicated that the all Notional Amount Characteristics labeled as “Old Notional” on Exhibit 1 to Attachment A represent the principal balances of the Collateral Obligations purchased by EJF Capital on or before 25 September 2015 and the Notional Amount Characteristics labeled as “New Notional” and as boxed and indicated with the letter A on Exhibit 1 to Attachment A represent the principal balances of the Collateral Obligations purchased by EJF Capital on or before 20 November 2015.

 

4.EJF Capital, on behalf of the Issuer, indicated that there were no prepayments, sales or amortizations on the Collateral Obligations subsequent to the closing dates as noted on the respective Collateral Indenture.

 

5.EJF Capital indicated that all amounts under the column labeled as “New Notional” on Exhibit 1 to Attachment A represent the principal balances of the Collateral Obligations that EJF Capital expects to be transferred to the Issuer on the Closing Date. We perform no procedures to determine whether these are the actual amounts ultimately purchased by the Issuer on the Closing Date (as defined in the Preliminary Offering Memorandum).

 

6.EJF Capital, on behalf of the Issuer, indicated that there are no Data Sources available with regard to the “New Notional” of the Notional Amount Characteristics for the Collateral Obligations identified as “Health Markets Group,” “Manhattan Life Insurance Company” and “Public Service Mutual Insurance Company” on Exhibit 1 to Attachment A and the correct values are as shown therein.

 

7.EJF Capital, on behalf of the Issuer, indicated that for the purpose of comparing the Type of Insurance Company Characteristic, ”Life & Health” should be considered the same as “Life, Annuity & Accident.”