Blue Danube Catastrophe Securities Placed
Swiss Re Capital Markets today [Apr.5] said it has structured and successfully placed $240 million of insurance-linked securities issued by Blue Danube Ltd. — a Bermuda exempted company financed through the offering of insurance-linked securities — on behalf of a subsidiary of Allianz SE.
The securities cover North Atlantic hurricane, including Mexico and the Caribbean, as well as US and Canada earthquake risks.
Swiss Re Capital Markets underwrote a transaction which placed two classes of notes, each covering hurricane and earthquake for a risk period of three years.
The bonds were structured on behalf of Allianz Argos 14 GmbH, a wholly owned subsidiary of Allianz SE.
Jean-Louis Monnier, Director and Head of ILS Europe at Swiss Re Capital Markets, comments: “We are very pleased to be able to support Allianz SE with their risk transfer needs, providing them with a multi-year solution covering exposure to peak hurricane and earthquake perils in the North Atlantic and North America.”
AIR Worldwide Corporate provided the expert risk modelling analysis.
The transaction is based on a modelled industry trigger transaction [MITT], developed by Swiss Re, which takes industry loss estimates for the US and Canada and weights them post-event based on certain applicable modeled portfolios.
The transaction also utilizes a putable note issued by the International Bank of Reconstruction and Development [IBRD] as collateral, which provides a LIBOR-based collateral return.
The Swiss Re Group is a leading wholesale provider of reinsurance, insurance and other insurance-based forms of risk transfer.
Founded in Zurich, Switzerland, in 1863, Swiss Re serves clients through a network of over 60 offices globally and is rated “AA-” by Standard & Poor’s, “A1″ by Moody’s and “A+” by A.M. Best.
