Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Blue Fin Ltd.

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Blue Fin Ltd. – At a glance:

  • Issuer: Blue Fin Ltd.
  • Cedent / sponsor: Allianz SE
  • Placement / structuring agent/s: Lead manager Morgan Stanley.
  • Risk modelling / calculation agents etc: RMS
  • Risks / perils covered: European windstorm
  • Size: $290.7m
  • Trigger type: Parametric index
  • Ratings: S&P: Class A - 'BB+', Class B - 'BB+'
  • Date of issue: Nov 2007
  • news coverage: Articles discussing Blue Fin Ltd. from

Blue Fin Ltd. – Full details:

This parametric triggered deal covers Allianz SE against european windstorms (Austria, Belgium, France, Germany, Ireland, the Netherlands and the UK).

Blue Fin Ltd. is a Cayman Islands domiciled SPV set up as a €1 billion program to allow for future series of cat bond notes to be issued.

The securities issued by Blue Fin Ltd. are denominated in US dollars and euros and offer investors a coupon of 4.40 percent and 4.55 percent over the applicable reference rates LIBOR and EURIBOR, respectively. Both tranches are scheduled to be redeemed in 2012, and have received a rating of BB+ by Standard & Poor’s.

The deal saw €200m of notes issued in two tranches. €155m of Class A notes and €45m of Class B notes.

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