Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Blue Fin Ltd. (Series 2)

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Blue Fin Ltd. (Series 2) – At a glance:

  • Issuer: Blue Fin Ltd. (Series 2)
  • Cedent / sponsor: Allianz
  • Placement / structuring agent/s: Goldman Sachs and Aon Benfield Securities are marketing and arranging the deal
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S. hurricane, U.S. earthquake
  • Size: $180m
  • Trigger type: Modelled loss
  • Ratings: S&P: 'BB-'
  • Date of issue: Apr 2009
  • news coverage: Articles discussing Blue Fin Ltd. (Series 2) from

Blue Fin Ltd. (Series 2) – Full details:

This is the second deal by Allianz which utilises it’s Cayman Islands based SPV Blue Fin Ltd.
This $180m (extended from the planned $150m) deal will provide Allianz Argos with a source of multi-year reinsurance for certain U.S. hurricanes and earthquakes over three years. The deal has received a preliminary rating of ‘BB-’ from Standard & Poor’s.

The deal will cover Allianz Argos against losses between April 2009 and April 2012, with allowance for extension of up to 9 months to allow for any losses to develop.

Blue Fin will cover earthquakes of magnitude 5 or greater within all continental states of the U.S. plus Alaska, Hawaii, and the District of Columbia with an earthquake moment magnitude equal to or in excess of Mw 5.0. Hurricanes are covered within District of Columbia, Hawaii, and the eastern states: Alabama, Arkansas, Connecticut, Delaware, Florida, Georgia, Kentucky, Louisiana, Maine, Maryland, Massachusetts, Mississippi, New Hampshire, New Jersey, New York, North Carolina, Ohio, Oklahoma, Pennsylvania, Rhode Island, South Carolina, Tennessee, Texas, Vermont, Virginia, and West Virginia.

Risk modeling is based on AIR Worldwide’s U.S. earthquake model and U.S. hurricane model, these will also be used for the reset calculations. For the risk analysis, AIR used the notional insurance portfolio Allianz Argos provided as of June 30, 2008.
The Series 2 notes will cover events above notional modeled losses of $100m on a per-occurrence basis, up to a limit of $131.25m.

A unique feature of this deal is the lack of a total-return swap counterparty. In it’s place the notes from Blue Fin Ltd. will be invested in Kreditanstalt fur Wiederaufbau’s (KfW) floating-rate notes with a final maturity of 3.75 years and puttable quarterly after the first six months. KfW is an extremely highly rated (AAA/Stable/A-1+) institution and its obligations are guaranteed by the German government.

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