Blue Capital Global Reinsurance Fnd Portfolio Update (8066V)
02 February 2017 - 7:00PM
UK Regulatory
TIDMBCGR
RNS Number : 8066V
Blue Capital Global Reinsurance Fnd
02 February 2017
Blue Capital Global Reinsurance Fund Limited (Ticker:
"BCGR")
2 February 2017
Portfolio Update
Blue Capital Global Reinsurance Fund Limited (the "Company" or
"BCGR"), whose shares are admitted to trading on the London Stock
Exchange's Specialist Fund Market (ticker: BCGR) and the Bermuda
Stock Exchange, is pleased to provide an update on the January 2017
reinsurance renewals.
Adam Szakmary, President and CEO of Blue Capital Management Ltd.
("Blue Capital"), commented:
"I am very proud to report that BCGR has now begun its 5(th)
year of operation with the continued focus on providing investors
access to attractive, largely uncorrelated, investment returns of
the traditional reinsurance and insurance linked securities market.
The Company's preferred access to risk, proprietary methodology of
portfolio construction, and its conservative approach to reserving
allowed the Company to deliver superior portfolio returns. The
Company posted a total Net Asset Value return (inclusive of
dividends) of 8.3 per cent. in 2016, which is down year over year
due to an increase in global loss activity.
The Company is also pleased to confirm its successful execution
of renewals during the key January period. Although pricing
pressures persisted during this renewal period, observed reductions
began to moderate at approximately 3 per cent. compared with more
significant reductions during previous renewal periods. We remain
confident that we can deliver attractive returns for our
Shareholders in spite of the current insurance market cycle and the
pro forma modelled return expectations for the portfolio
constructed are consistent with the Company's target return."
The Company's total investments after the January 2017 renewals
reduced by US$25.0 million year over year, resulting in a total
investment of US$183.5 million in Blue Capital Global Reinsurance
SA--1 (the "Master Fund"). The Master Fund has invested
substantially all of its assets in: (i) preferred shares of Blue
Water Re Ltd., (ii) industry loss warranty ("ILW") derivatives and
(iii) one catastrophe bond. The combined investments represent the
deployment of US$177.6 million across 93 different positions and 39
different clients generating US$41.5 million of net insurance
premium written and fixed ILW payments which is a decrease of
US$3.1 million from the previous year. Changes in premium and
exposure are directly attributable to portfolio construction
adjustments made in response to changes in market conditions by
asset class and region, and the redemption share process.
A further breakdown of the exposure of the current portfolio at
1 January 2017 is set out below.
Portfolio Return Summary(1)
Illustrative Net Aggregate
Return Distribution 2017 Portfolio
------------------------------ ---------------
Returns
------------------------------ ---------------
No Loss Return 14.2%
Expected Return Range* 6.4 - 10.1%
------------------------------ ---------------
Probability of:
------------------------------ ---------------
Mean or Greater Return 71%
Breakeven or Greater 80%
Loss to NAV Greater than
5% 14%
Loss to NAV Greater than
10% 10%
Loss to NAV Greater than
15% 7%
Loss to NAV Greater than
25% 3%
Loss to NAV Greater than
35% 2%
------------------------------ ---------------
1 The portfolio return summary is provided for illustrative
purposes only. The projections are derived by reference to the
Company's projected portfolio as at 1 January 2017 and do not take
into account actual costs, expenses or other factors which are not
attributable to the portfolio. As such, the in force portfolio
return summary should not in any way be construed as forecasting
the Company's actual returns should no losses occur or
otherwise.
Exposure Summary
The following unaudited tables provide a breakdown of the
current portfolio's exposure by contract type, zone and peril as at
1 January 2017. The current portfolio exposure represents the fair
value of the positions held by the Company.
Exposure as
Exposure a % of Current Positions
Contract Type (US$ millions) Portfolio Held
------------------------------ ---------------- ---------------- ----------
Property Catastrophe Total 161.3 87.9% 86
------------------------------ ---------------- ---------------- ----------
Prop Cat - First Event
XOL 143.5 78.2% 72
Prop Cat - Subsequent
Event XOL 15.0 8.2% 10
Prop Cat - Aggregate XOL 2.8 1.5% 4
------------------------------ ---------------- ---------------- ----------
Industry Loss Warranty
Total 20.2 11.0% 6
------------------------------ ---------------- ---------------- ----------
ILW - Subsequent Event
XOL 20.2 11.0% 6
ILW - First Event XOL 0.0 0.0% 0
ILW - Aggregate XOL 0.0 0.0% 0
------------------------------ ---------------- ---------------- ----------
Cat Bond Total 2.0 1.1% 1
------------------------------ ---------------- ---------------- ----------
Current Portfolio 183.5 100% 93
------------------------------ ---------------- ---------------- ----------
XOL = excess of loss ILW = Industry Loss Warranty
Expsoure as
Exposure a % of Current Positions
Asset Class (US$ millions) Portfolio Held
------------------------------------ ---------------- ---------------- ----------
Traditional 161.3 87.9% 86
------------------------------------ ---------------- ---------------- ----------
Quota Share Retrocessional
Agreements 72.1 39.3% 3*
Indemnity Reinsurance 63.1 34.4% 71
Indemnity Retrocession 26.1 14.2% 12
------------------------------------ ---------------- ---------------- ----------
Non-Traditional 21.4 21.7 4
------------------------------------ ---------------- ---------------- ----------
Other non-property catastrophe
risks 11.3 6.2% 1
Industry Loss Warranties 8.1 4.4% 2
Cat Bonds 2.0 1.1% 1
------------------------------------ ---------------- ---------------- ----------
Retrocessional Hedging 0.8 0.4% 3
------------------------------------ ---------------- ---------------- ----------
Current Portfolio 183.5 100% 93
------------------------------------ ---------------- ---------------- ----------
*Underlying positions held within the quota share retrocessional
agreements totals 1,457
Probable Maximum Loss
The exposures summarised below represent the sum of all
collateral invested less reinsurance recoverable. Per the Master
Fund's Investment Policy, the net first event Probable Maximum Loss
("PML") in any one zone will not exceed 35 per cent. of the
Company's Net Asset Value (at the time the investment is made). For
contracts that overlap zones, the total exposure is counted in each
of the exposed zones.
Value at Risk ("VaR") represents a 1 in 100 year event for
windstorm perils and a 1 in 250 year event for earthquake
perils.
First Event
VaR as a
Territory / Region / Peril % of NAV
------------------------------ ------------
US - Florida Hurricane 31.0%
------------------------------ ------------
Japan Earthquake 13.3%
------------------------------ ------------
US - California Earthquake 12.3%
------------------------------ ------------
US - Gulf Hurricane 11.2%
------------------------------ ------------
US - Northeast Hurricane 8.8%
------------------------------ ------------
US - MidAtlantic Hurricane 8.3%
------------------------------ ------------
UK & Ireland Windstorm 6.6%
------------------------------ ------------
Japan Windstorm 4.9%
------------------------------ ------------
All other territory / region < 5.0%
/ peril zones
------------------------------ ------------
For further information please contact:
Adam Szakmary,
President and CEO, Blue Capital Management Ltd. +1
441-278-0400
Adam.szakmary@bluecapital.bm
Gary Gould +44 20 7029 8000
Jefferies International Limited
Notes to editors
Blue Capital, which serves as the investment manager for both
the Company and Blue Water Master Fund Ltd., provides innovative
catastrophe reinsurance-linked investment products for
institutional and retail investors. Catastrophe reinsurance is an
alternative asset class the returns from which have historically
been largely uncorrelated to those of other asset classes including
global equities, bonds, hedge funds and other alternative
investments.
Blue Capital is wholly owned by Endurance Specialty Holdings
Ltd. (NYSE: ENH, "Endurance"), a recognized global specialty
provider of property and casualty insurance and reinsurance since
2001. Additional information can be found at www.bcgr.bm.
The Company targets a dividend yield of LIBOR plus 6 per cent.
per annum(1) on the original issue price of the Ordinary Shares in
December 2012 and a net return to Shareholders (comprised of
dividends and other distributions to Shareholders together with
increases in the Company's Net Asset Value) of LIBOR plus 8 per
cent. per annum(1) to be achieved over the longer term, net of
fees.
(1 These are targets only and not profit forecasts. There can be
no assurance that these targets will be met or that the Company
will make any returns or distributions whatsoever or that investors
will recover all or any of their investment. Prospective investors
should decide for themselves whether or not the target returns and
distributions are reasonable or achievable in deciding whether to
invest in the Company.)
This information is provided by RNS
The company news service from the London Stock Exchange
END
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