Blue Fin Ltd. catastrophe bond, change to investment guidelines for collateral

by Artemis on January 16, 2012

The 2007 Blue Fin Ltd. catastrophe bond which Allianz sponsored to secure a parametric source of European windstorm coverage has had an amendment made to the investment guidelines for the underlying collateral invested in one of the tranches of notes of the transaction. The cat bond is due to be redeemed in April 2012 and we believe this amendment is purely to make most effective use of the collateral after the covered term ends until final maturity.

Standard & Poor’s reports that they have affirmed the rating on the €155m Series 1 Class A notes issued by Blue Fin Ltd., after Blue Fin asked noteholders to allow them to change the terms of the total return swap component of the deal. The new terms will allow the collateral of this tranche of notes to be invested in German treasury discount paper until the final maturity of the deal is reached. We suspect that this is simply a more efficient way to manage the collateral for the investors.

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