Malibu Life Reinsurance SP1, a segregated portfolio of Malibu Life Reinsurance SPC Rating Report

Table of Contents

Ratings

Rating Summary

Outlook

Key Credit Considerations

Strong Contractual and Collateral Protections for Malibu Life Re SP1

Satisfactory Risk-Based Capitalization Relative to Benchmarks

Favorable Financial Flexibility Supported by Explicit Capital Support

Favorable Liquidity and ALM Framework

Experienced Management and Investment Platform

Predominantly Investment Grade Fixed Income Portfolio with Moderate Investment Risk

Early Stage but Profitable Operating Fundamentals

Developing ERM, Governance and Outsourcing Framework

Concentrated but Purpose-Built Business Profile

Structural Limitation of the Segregated Portfolio Company Model Offset by Portfolio-Specific Rating Framework

Asset-Intensive Reinsurance Event Risk

Limited Operating History

Rating Sensitivities

Overview

Insurance Entity Financials

Stress Testing

Balance Sheet Management

Quality of Capital/Underwriting Leverage

Asset Quality and Investment Risk

Financial Flexibility and Access to Capital

Liquidity and Asset/Liability Management

Operating Fundamentals

Drivers of Profitability

Consistency of Profitability

Earnings Diversification: Product/Geography

Exposure to Event Risk

Company Profile and Risk Management

Management Profile and Strategy

Market Position

Distribution

Risk Management

External Considerations

Sovereign/Transfer & Convertibility (T&C) Risk

Rating Summary

The rating reflects strong contractual and collateral protections, satisfactory risk-based capitalization, favorable financial flexibility, a strong liquidity and ALM profile, experienced management and investment platforms, a predominantly investment grade portfolio, profitable early stage operating fundamentals, and developing ERM, governance and outsourcing frameworks. Balancing these strengths are structural limitations of the segregated portfolio company model, a concentrated business profile, exposure to event risk, and a limited operating history.

In May 2024, Malibu Life Reinsurance SPC executed its inaugural reinsurance transaction: a flow treaty for MYGA/FIA annuities with a high-credit quality US cedant. This solution is managed by Malibu Life Reinsurance SPC in a segregated portfolio, Malibu Life Reinsurance SP1 (Malibu Life Re SP1). Malibu Life Reinsurance SPC leverages the multi-asset credit experience and risk management expertise of Third Point LLC…

KBRA is a global full-service rating agency with a mission to set a standard of excellence and integrity. Established in 2010, KBRA remains dedicated to the restoration of trust in credit ratings by creating new standards for assessing risk and by offering timely and transparent ratings. KBRA provides market participants with an alternative solution by delivering in-depth research across various sectors within the United States and European markets. We strive to provide the investment community with the products and tools needed to make informed investment decisions.