By LSE RNS
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 $25.6 million of net reinsurance premium. The business underwritten by the reinsurer is expected to produce a net rate on line (premium rate as percentage of limit) for the portfolio of 21.5%. The expected net rate of line is provided for illustrative purposes only and does not take into account the impact of any loss event, actual costs, expenses or other factors. As such, it should not in any way be construed as forecasting the Company's actual returns should no losses occur or otherwise.
A breakdown of the current portfolio is set out below:
Capital Investment Summary
The following unaudited tables provide a breakdown of the current fair value of the Company's portfolio investments by contract type, zone and peril (as at 1 June 2018).
Contract Type |
Investment (US$ millions) |
Investment as a % of Current Portfolio |
Positions Held |
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
Asset Class |
Investment (US$ millions) |
Investment as a % of Current Portfolio |
Positions Held |
Traditional |
104.4 |
80.1% |
36 |
Quota Share Retrocessional |
52.8 |
40.5% |
11 |
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.
Territory / Region / Peril |
First Event VaR1 as a % 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 |
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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.
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