Swiss Re Insurance-Linked Fund Management

Xactanalysis Insights and PCS

Blue Coast Ltd cat bond may be downgraded due to hurricane exposure


Standard & Poor’s have placed the notes of the Blue Coast Ltd catastrophe bond onto CreditWatch negative due to the possibility of losses from hurricanes Gustav and Ike. Blue Coast provides Allianz Risk Transfer with cover against U.S. landfalling hurricanes until December 2010 (with an option to extend a further 24 months), the deal was only completed last July 2008.

AIR Worldwide issued an event report on Gustav and Ike (as covered events), using Property Claims Services reported losses at the state level (Blue Coast was the first bond to use state level reporting) they estimated an aggregate loss level of $73.25m for the two events. That amount will form part of the retention level of $170m, if that retention level is eroded completely by increased estimates or further events then the losses will attach to each level of notes in turn. S&P will assess what impact this has on probability of attachment for each class of notes and then either remove the CreditWatch or downgrade the notes.

As ever, you can read full details on the Blue Coast Ltd deal in the Artemis Deal Directory.

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