Blue Capital Alternative Income Fd BCAI - Portfolio Update announcement (2619I)
June 15 2017 - 1:04PM
UK Regulatory
TIDMBCAI
RNS Number : 2619I
Blue Capital Alternative Income Fd
15 June 2017
Blue Capital Alternative Income Fund Limited (the "Company")
(Ticker: "BCAI")
Portfolio Update
15 June 2017
Blue Capital Alternative Income Fund Limited, whose shares are
admitted to trading on the London Stock Exchange's Specialist Fund
Segment and the Bermuda Stock Exchange, is pleased to provide an
update on the June 2017 reinsurance renewals.
Mike McGuire, CEO of Blue Capital Management Ltd. ("Blue
Capital"), commented:
"We are pleased to report strong portfolio execution during the
June renewal period. Overall market price reductions were larger
than initially anticipated, with the Florida market being 5% - 7.5%
down year on year. However, due to the strength of our established
long term relationships, the high quality of our underwriting and
portfolio management teams and our strategic alignment with Sompo
International, we were able to construct an attractive portfolio
with risk adjusted pricing down 3%."
The Company's total investments after the June 2017 renewals
decreased by US$17.3 million year on year, resulting in a total
investment at fair value of US$173.8 million in Blue Capital Global
Reinsurance SA--1 (the "Master Fund"). Fair value is represented as
collateral plus net earned premium less losses paid and reserved.
The decrease in fair value is primarily attributable to the
non-renewal of certain agreements with less favorable terms. The
Company intends to reinvest such assets in the latter half of the
year.
The Master Fund has invested substantially all of its assets in:
(i) preferred shares of Blue Water Re Ltd. and (ii) Industry loss
warranty ("ILW") derivatives. The combined investments represent
collateral deployment of US$167.2 million across 98 different
positions and 40 different clients generating US$41.1 million of
net reinsurance premium written and fixed ILW payments which is an
increase of US$0.7 million from the previous year.
A breakdown of the current portfolio is set out below:
Capital Investment Summary
The following unaudited tables provide a breakdown of the
current fair value of the Company's portfolio investments by
contract type, zone and peril (as at 1 June 2017).
Investment Investment Positions
(US$ millions) as a % Held
of Current
Contract Type Portfolio
--------------------------- ---------------- ------------ ----------
Property Catastrophe
Total 160.5 92.3% 92
--------------------------- ---------------- ------------ ----------
Prop Cat - First
Event XOL 143.2 82.3% 78
Prop Cat - Subsequent
Event XOL 14.4 8.3% 10
Prop Cat - Aggregate
XOL 2.9 1.7% 4
--------------------------- ---------------- ------------ ----------
Industry Loss Warranty
Total 10.0 5.8% 3
--------------------------- ---------------- ------------ ----------
ILW - Subsequent
Event XOL 10.0 5.8% 3
ILW - First Event
XOL 0.0 0.0% 0
ILW - Aggregate
XOL 0.0 0.0% 0
--------------------------- ---------------- ------------ ----------
Cat Bond Total 0 0.0% 0
--------------------------- ---------------- ------------ ----------
Retrocessional Hedging
Total 3.3 1.9% 3
--------------------------- ---------------- ------------ ----------
Current Portfolio 173.8 100% 98
--------------------------- ---------------- ------------ ----------
XOL = excess of loss ILW = Industry Loss Warranty
Investment Investment Positions
(US$ millions) as a % Held
of Current
Asset Class Portfolio
-------------------------------- ---------------- ------------ ----------
Traditional 160.5 92.3% 92
-------------------------------- ---------------- ------------ ----------
Quota Share Retrocessional 68.2 39.2% 3(1)
Indemnity Reinsurance 61.5 35.4% 76
Indemnity Retrocession 30.8 17.7% 13
-------------------------------- ---------------- ------------ ----------
Non-Traditional 10.0 5.8% 3
-------------------------------- ---------------- ------------ ----------
Industry Loss Warranties 10.0 5.8% 3
Other non-property
catastrophe risks(2) 0.0 0.0% 0
Cat Bonds 0.0 0.0% 0
-------------------------------- ---------------- ------------ ----------
Retrocessional Hedging 3.3 1.9% 3
-------------------------------- ---------------- ------------ ----------
Current Portfolio 173.8 100% 98
-------------------------------- ---------------- ------------ ----------
(1) Underlying positions held within the quota share
retrocessional agreements totals 1,500.
(2) Contracts transacted in an International Swaps and
Derivatives Association, Inc. contract format.
Portfolio Return Summary(1)
Illustrative Net 2017 Portfolio
Aggregate Return
Distribution
-------------------------- ---------------
Returns
-------------------------- ---------------
No Loss Return 15%
Expected Return
Range(2) 5 - 10%
-------------------------- ---------------
Probability of:
-------------------------- ---------------
Mean or Greater
Return 70%
Breakeven or Greater 78%
Loss to NAV Greater
than 5% 15%
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 modelled portfolio as at 1 June 2017 and do not take into
account actual costs, expenses or other factors which are not
attributable to the portfolio. As such, the portfolio return
summary should not in any way be construed as forecasting the
Company's actual returns should no losses occur or otherwise.
(2) Net aggregate return distribution between a mean and median
catastrophe year.
Probable Maximum Loss
The exposures summarised below represent the sum of all
collateral invested less reinsurance recoverable. Per the Company's
Investment Policy, the net first event Probable Maximum Loss
("PML") in any one zone will not exceed 35% of the Company's NAV
(at the time the investment is made). For contracts that overlap
zones, the total exposure is counted in each of the exposed
zones.
First
Event
VaR(1)
Territory / Region as a %
/ Peril of NAV
---------------------------- --------
US - Florida Hurricane 33.9%
---------------------------- --------
Japan Earthquake 15.3%
---------------------------- --------
US - California Earthquake 14.4%
---------------------------- --------
US - Gulf Hurricane 10.9%
---------------------------- --------
US - Northeast Hurricane 7.8%
---------------------------- --------
UK & Ireland Windstorm 7.6%
---------------------------- --------
US - MidAtlantic
Hurricane 6.7%
---------------------------- --------
Japan Windstorm 5.2%
---------------------------- --------
All other territory < 5.0%
/ region / peril
zones
---------------------------- --------
(1) Value at Risk ("VaR") represents the 99.0 percentile or the
1 in 100 year event for windstorm perils and the 99.6 percentile or
the 1 in 250 year event for earthquake perils.
Enquiries:
For investor enquiries please contact:
Blue Capital Management
Ltd.
Michael J. McGuire +1 441 278 0988
Email: investorrelations@Sompo-Intl.com
Stifel Nicolaus Europe
Limited +44 (0)20 7710 7600
Neil Winward
Mark Bloomfield
Tunga Chigovanyika
Notes to editors:
Blue Capital, which serves as the investment manager for both
the Company and Blue Water Master Fund Ltd., is wholly owned by
Sompo International. Sompo International is a recognized global
specialty provider of property and casualty insurance and
reinsurance and a leading property catastrophe and short tail
reinsurer since 2001. Blue Capital therefore benefits from Sompo
International's underwriting expertise and successful track record
managing a diversified portfolio of property catastrophe exposures
through a global network of broker/client relationships.
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.
Note 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
PFUGGUWUQUPMGMA
(END) Dow Jones Newswires
June 15, 2017 13:04 ET (17:04 GMT)
Blue Capital (LSE:BCAI)
Historical Stock Chart
From May 2024 to Jun 2024
Blue Capital (LSE:BCAI)
Historical Stock Chart
From Jun 2023 to Jun 2024
