Blue Capital Alternative Income Fd Portfolio Update (9634D)
February 05 2018 - 10:28AM
UK Regulatory
TIDMBCAI
RNS Number : 9634D
Blue Capital Alternative Income Fd
05 February 2018
Blue Capital Alternative Income Fund Limited (the "Company")
(Ticker: "BCAI")
Portfolio Update
5 February 2018
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 January 2018 reinsurance renewals.
Mike McGuire, CEO of Blue Capital Management Ltd. ("Blue
Capital"), commented:
"Following the significant industry losses experienced in 2017,
we are pleased to report improved market conditions during the
January renewal period. On average, loss affected business
benefited from renewing premium rate increases of 15%-20% while
non-loss affected agreements benefited from rate increases of 3-5%
(in each case compared to 2017 and net of expenses)."
As of 1 January 2018, the Company's ordinary share net asset
value was $139.3 million, consisting of investments in Blue Capital
Global Reinsurance SA--1 (the "Master Fund") at fair value of
US$137.0 million and cash on hand of $2.3 million. Investments in
the Master Fund were lower by US$62.2 million year on year
primarily due to 2017 catastrophe loss activity.
The Master Fund has invested its assets in preferred shares of
Blue Water Re Ltd. The combined investments represent collateral
deployment across 76 different positions and 33 different clients
generating an estimated US$41.1 million of net reinsurance premium
written which is a decrease of US$5.7 million from the previous
year. The business underwritten by the Company is expected to
produce a net rate on line (premium rate as percentage of limit)
for the portfolio of 24%, which is an increase of 150 basis points
when compared to the same period in 2017. The increase is due to an
average risk adjusted price increase of 12% during the January
renewals.
A breakdown of the current portfolio follows:
Capital Investment Summary
The following unaudited tables provide a breakdown of the
current fair value of the Company's portfolio investments by
contract type, zone and peril (as at 1 January 2018) and other net
assets.
Investment Investment Positions
(US$ millions) as a % Held
of Current
Contract Type Portfolio
--------------------------- ---------------- ------------ ----------
Property Catastrophe
Total 119.7 86.0% 75
--------------------------- ---------------- ------------ ----------
Prop Cat - First
Event XOL 109.3 78.5% 68
Prop Cat - Subsequent
Event XOL 10.5 7.5% 7
Prop Cat - Aggregate
XOL 0.0 0.0% 0
--------------------------- ---------------- ------------ ----------
Industry Loss Warranty
Total 0.0 0.0% 0
--------------------------- ---------------- ------------ ----------
ILW - Subsequent
Event XOL 0.0 0.0% 1
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 0.0 0.0% 0
--------------------------- ---------------- ------------ ----------
Current Portfolio 119.7 86.0% 76
--------------------------- ---------------- ------------ ----------
Buffer Loss Collateral 16.5 11.8%
--------------------------- ---------------- ------------ ----------
Cash & Sundry Net
Assets 3.1 2.2%
--------------------------- ---------------- ------------ ----------
Net Asset Value at
1 January 2018 139.3 100.0%
--------------------------- ---------------- ------------ ----------
XOL = excess of loss ILW = Industry Loss Warranty
Investment Investment Positions
(US$ millions) as a % Held
of Current
Asset Class Portfolio
-------------------------------- ---------------- ------------ ----------
Traditional 119.7 86.0% 75
-------------------------------- ---------------- ------------ ----------
Quota Share Retrocessional 48.0 34.5% 1(1)
Indemnity Reinsurance 39.3 28.2% 60
Indemnity Retrocession 32.4 23.3% 14
-------------------------------- ---------------- ------------ ----------
Non-Traditional 0.0 0.0% 0
-------------------------------- ---------------- ------------ ----------
Industry Loss Warranties 0.0 0.0% 1
Other non-property
catastrophe risks(2) 0.0 0.0% 0
Cat Bonds 0.0 0.0% 0
-------------------------------- ---------------- ------------ ----------
Retrocessional Hedging 0.0 0.0% 0
-------------------------------- ---------------- ------------ ----------
Current Portfolio 119.7 86.0% 76
-------------------------------- ---------------- ------------ ----------
Buffer Loss Collateral 16.5 11.8%
-------------------------------- ---------------- ------------ ----------
Cash & Sundry Net
Assets 3.1 2.2%
-------------------------------- ---------------- ------------ ----------
Net Asset Value at
1 January 2018 139.3 100.0%
-------------------------------- ---------------- ------------ ----------
(1) Underlying positions held within the quota share
retrocessional agreements are in excess of 1,400.
(2) Contracts transacted in an International Swaps and
Derivatives Association, Inc. contract format.
Portfolio Return Summary(1)
Illustrative Net 2018 Portfolio June 2017
Aggregate Return Portfolio
Distribution
-------------------------- --------------- -----------
Returns
-------------------------- --------------- -----------
Expected Return
Range(2) 8-13% 6-10%
-------------------------- --------------- -----------
Probability of:
-------------------------- --------------- -----------
Mean or Greater
Return 67% 71%
Breakeven or Greater 85% 80%
Loss to NAV Greater
than 5% 9% 14%
Loss to NAV Greater
than 10% 6% 10%
Loss to NAV Greater
than 15% 4% 7%
Loss to NAV Greater
than 25% 2% 3%
Loss to NAV Greater
than 35% 1% 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 January 2018 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 summarized below represent the first event
exposure by major zone as a percentage of the Company's net asset
value. Per Blue Capital's underwriting guidelines, the net first
event Probable Maximum Loss in any one zone should not exceed 35%
of the Company's net asset value (at the time the investment is
made).
First Event First Event
VaR(1) as VaR(1) as
a % of Net a % of Net
Territory / Region Asset Value Asset Value
/ Peril Jan 2018 June 2017
---------------------------- ------------- -------------
US - Florida Hurricane 28.7% 31.0%
---------------------------- ------------- -------------
US - California Earthquake 18.2% 13.3%
---------------------------- ------------- -------------
US - Gulf Hurricane 17.2% 12.3%
---------------------------- ------------- -------------
Japan Earthquake 15.5% 11.2%
---------------------------- ------------- -------------
US - Northeast Hurricane 13.9% 8.8%
---------------------------- ------------- -------------
US - Mid-Atlantic
Hurricane 11.2% 8.3%
---------------------------- ------------- -------------
UK & Ireland Windstorm 7.8% 6.6%
---------------------------- ------------- -------------
Japan Windstorm 7.2% 4.9%
---------------------------- ------------- -------------
All other territory < 5.0% < 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 Holdings Ltd. ("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
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