Blue Capital Alternative Income Fd Portfolio Update (3036S)
23 6월 2018 - 12:10AM
UK Regulatory
TIDMBCAI
RNS Number : 3036S
Blue Capital Alternative Income Fd
22 June 2018
Blue Capital Alternative Income Fund Limited (the "Company")
(Ticker: "BCAI")
Portfolio Update
22 June 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 a
portfolio update.
Mike McGuire, CEO of Blue Capital Management Ltd. ("Blue
Capital"), commented:
"In light of the board of directors' recommendation to
shareholders of an orderly run-off of the Company, Blue Capital
ceased making new investments on behalf of the Company pending the
outcome of a Special General Meeting of Shareholders expected to be
held in July 2018."
As of 1 June 2018, the Company's ordinary share net asset value
was $130.3 million, consisting of investments in Blue Capital
Global Reinsurance SA--1 (the "Master Fund") at fair value of
$104.4 million and collateral of $25.9 million in trust relating to
expired or loss affected contracts with counterparties.
The Master Fund's existing investments are in preferred shares
of Blue Water Re Ltd. The combined investments represent collateral
deployed across 36 different positions and 17 different clients
generating an estimated $25.6 million of net reinsurance premium.
The business underwritten by the reinsurer is expected to produce a
net rate on line (premium rate as percentage of limit) for the
portfolio of 21.5%. The expected net rate of line is provided for
illustrative purposes only and does not take into account the
impact of any loss event, actual costs, expenses or other factors.
As such, it should not in any way be construed as forecasting the
Company's actual returns should no losses occur or otherwise.
A breakdown of the current portfolio is set out below:
Capital Investment Summary
The following unaudited tables provide a breakdown of the
current fair value of the Company's portfolio investments by
contract type, zone and peril (as at 1 June 2018).
Investment Investment Positions
(US$ millions) as a % Held
of Current
Contract Type Portfolio
--------------------------- ---------------- ------------ ----------
Property Catastrophe
Total 104.4 80.1% 36
--------------------------- ---------------- ------------ ----------
Prop Cat - First
Event XOL 97.8 75.0% 34
Prop Cat - Subsequent
Event XOL 6.6 5.1% 2
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% 0
ILW - First Event
XOL 0.0 0.0% 0
ILW - Aggregate
XOL 0.0 0.0% 0
--------------------------- ---------------- ------------ ----------
Cat Bond 0.0 0.0% 0
--------------------------- ---------------- ------------ ----------
Cash in trust including
locked collateral 25.9 19.9% 0
--------------------------- ---------------- ------------ ----------
Current Portfolio 130.3 100.0% 36
--------------------------- ---------------- ------------ ----------
XOL = Excess of Loss ILW = Industry Loss Warranty
Investment Investment Positions
(US$ millions) as a % Held
of Current
Asset Class Portfolio
-------------------------------- ---------------- ------------ ----------
Traditional 104.4 80.1% 36
-------------------------------- ---------------- ------------ ----------
Quota Share Retrocessional 52.8 40.5% 1(1)
Indemnity Reinsurance 21.3 16.4% 22
Indemnity Retrocession 30.3 23.2% 13
-------------------------------- ---------------- ------------ ----------
Non-Traditional 0.0 0.0% 0
-------------------------------- ---------------- ------------ ----------
Industry Loss Warranties 0.0 0.0% 0
Other non-property
catastrophe risks 0.0 0.0% 0
Cat Bonds 0.0 0.0% 0
-------------------------------- ---------------- ------------ ----------
Cash in trust including
locked collateral 25.9 19.9% 0
-------------------------------- ---------------- ------------ ----------
Current Portfolio 130.3 100.0% 36
-------------------------------- ---------------- ------------ ----------
(1) Underlying positions held within the quota share
retrocessional agreements total approximately 1,500.
Probable Maximum Loss
The exposures summarized 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 26.4%
---------------------------- ------------
US - California Earthquake 17.4%
---------------------------- ------------
Japan Earthquake 15.0%
---------------------------- ------------
US - Gulf Hurricane 14.0%
---------------------------- ------------
US - Northeast Hurricane 12.4%
---------------------------- ------------
US - Mid-Atlantic
Hurricane 10.0%
---------------------------- ------------
UK & Ireland Windstorm 8.2%
---------------------------- ------------
Japan Windstorm 7.7%
---------------------------- ------------
(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
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.
This information is provided by RNS, the news service of the
London Stock Exchange. RNS is approved by the Financial Conduct
Authority to act as a Primary Information Provider in the United
Kingdom. Terms and conditions relating to the use and distribution
of this information may apply. For further information, please
contact rns@lseg.com or visit www.rns.com.
END
PFUPGURUQUPRGAP
(END) Dow Jones Newswires
June 22, 2018 11:10 ET (15:10 GMT)
Blue Capital (LSE:BCAI)
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