Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Allianz to issue new series of Blue Fin Ltd. catastrophe bond notes


Investors are actively being marketed a new series of catastrophe bond notes by insurer Allianz. This latest cat bond issuance by long time market participant Allianz is a new series of notes which it is marketing under its Cayman Islands domiciled SPV Blue Fin Ltd.

In this transaction Allianz are seeking an additional $40m of aggregate cover to add to the $60m of Class B note cover it secured through its third Blue Fin Ltd. transaction last year. The $40m of cover will provide Allianz with aggregate protection against U.S. hurricanes and earthquakes. The new series 4 Class B $40m of cover will run for the same period as the rest of last year’s Blue Fin Ltd. transaction, so it is expected that the maturity date will be during May 2013.

Reuters report that the deal is pricing at the upper end of expectations at 850 basis points above U.S. Treasury money market funds. Reuters also report that Aon Benfield and Swiss Re are joint bookrunners for the deal while AIR Worldwide are providing risk modelling services.

It’s safe to assume that the structure of the notes will be identical to the Class B notes issued in last year’s Blue Fin transaction. The Class A notes of that deal provided cover on a per-occurrence basis, while the Class B were aggregate cover. So with this additional $40m Allianz will have $100m of aggregate cat bond protection for U.S. hurricanes and earthquakes.

We’ll bring you more on this deal if/when further details come to light.

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