Blue Capital Global Reinsurance Fund reports NAV up 0.47% in Q1

by Artemis on May 19, 2014

The London Stock Exchange listed, Montpelier Re operated, reinsurance linked investment Blue Capital Global Reinsurance Fund, has reported an increase in its net asset value for the first-quarter of 2014 of 0.47% and reported its latest portfolio mix.

The fund, which is managed by Blue Capital Management, the third-party capital and reinsurance-linked investment management arm of Bermuda based reinsurer Montpelier Re, reports its market capitalisation at the end of March 2014 as $187m, while its USD net asset value is $179.4m.

The fund reports its three-month NAV as 0.47% for the first-quarter of 2014, while its share price performance in the same period has been 1.08%. Over the last 12 months its NAV is 10.95% and its share price performance 12.06%. Annualised, its NAV since inception stands at 9.8% while its share price performance is 11.4%.

The fund also reports today that it has entered into a credit agreement with Barclays Bank plc, gaining a $20m unsecured 364-day term loan facility for managing its working capital requirements. Montpelier Re Holdings Ltd. has agreed to serve as a guarantor for the credit agreement. This gives the fund a source of working capital meaning that its assets under management can be fully invested.

The Blue Capital Global Reinsurance Fund provided an update on its portfolio as at the 31st March. It said:

The January 2014 underwriting period was a competitive one, marked by pressure to reduce prices and offer more generous contractual terms and conditions. From a pricing standpoint, the Company benefitted from its continued focus on regionally-exposed traditional reinsurance business. While prices in the retrocessional and Cat Bond markets decreased in excess of 20 per cent., observed risk-adjusted price changes on the Company’s contract renewals were 12 per cent. lower compared to the January 2013 renewals. Additionally, contractual terms and conditions on regionally-exposed traditional business remained consistent with market best practice. The January 2014 portfolio also incorporates the addition of a quota-share participation of a traditional property catastrophe book of business, which further increases the Company’s access to its preferred client base.

The fund also provided an update on its portfolio diversification, including showing where collateral is allocated to the different key catastrophe risk zones:

US – Florida WS

32%

US – Gulf WS

27%

US – MidAtlantic WS

22%

US – Hawaii WS

16%

US – NorthEast WS

16%

US – New Madrid EQ

16%

US – California EQ

12%

US – Midwest EQ

12%

US – MidAtlantic EQ

11%

US – New Madrid WS

10%

US – Hawaii EQ

10%

Eastern Europe WS

9%

Northern Europe WS

9%

Southern Europe WS

9%

UK and Ireland WS

9%

US – Midwest WS

9%

Western Central Europe WS

9%

Western Europe WS

9%

US – California WS

8%

US – Northwest WS

8%

Japan WS

7%

Japan EQ

7%

The market cap of the Blue Capital Global Reinsurance Fund is actually higher, as it issued 6,489,615 new ordinary shares at a price of $1.065 per share, raising just over $6.91m in proceeds in April. That took its market capitalisation nearer to $196m.

In 2013 the fund beat its stated target of a net return to its shareholders of LIBOR plus 10% per annum, inclusive of dividends and achieved an 11.8% increase in the net asset value of its shares during the period, net of fees and expenses, and inclusive of dividends.

Over the coming year, with catastrophe reinsurance pricing softening further, the fund will have to become more selective in its underwriting opportunities in order to maintain targets for its investors.

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