Blue Coast Ltd catastrophe bond ratings downgraded

Share

Following on from Tuesdays news that Standard & Poor’s had placed the notes of the Blue Coast Ltd. catastrophe bond onto CreditWatch negative, S&P have now announced that the three tranches have been downgraded. Blue Coast is a 2008 deal that provides Allianz Risk Transfer with cover against U.S. hurricanes on certain coastal counties of Texas, Louisiana, Mississippi, Alabama, Florida, Georgia, South Carolina, and North Carolina until Dec. 1, 2010. Hurricanes Gustav and Ike have both taken their toll on the covered counties and as such the estimated aggregate loss amount is rising beyond where it is expected to be at this stage of the transactions lifetime.

Current estimate losses sit at $73.5m which is significantly higher than the $28.2m ‘cumulative average monthly contribution to┬áthe aggregate loss amount’ expected at this stage. This means that a greater than expected proportion of the deals $170m retention has been eroded. Of course, in S&P’s eyes this now means the likelihood of attachment has increased significantly and as such the ratings have to be downgraded.

With two full hurricane seasons to run before this deal runs it’s course the chances of attachment are quite high which is surely going to be off putting to investors.

The three tranches of the deal are now rated Class A ‘B+’, Class B ‘B-‘ and Class C ‘CCC+’.

Print Friendly, PDF & Email

Artemis Newsletters and Email Alerts

Receive a regular weekly email newsletter update containing all the top news stories, deals and event information

  • This field is for validation purposes and should be left unchanged.

Receive alert notifications by email for every article from Artemis as it gets published.

Read previous post:
Caribbean catastrophe risk facility receives EU funding

The Caribbean Catastrophe Risk Insurance Facility (CCRIF) has received funding for the 2009 hurricane season from the European Union. The...

Close