Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Blue Danube Ltd. catastrophe bond has ratings assigned


One of the catastrophe bonds which has been doing the rounds on its marketing phase and has recently completed, Blue Danube Ltd., has had its credit ratings assigned by rating agency Standard & Poor’s. The Blue Danube Ltd. Series 2012-1 transaction has been issued by the Bermuda domiciled SPV on behalf of sponsor Allianz Argos 14 GmbH. Allianz’s Blue Fin Ltd. Series 2 cat bond matures in April and Blue Danube will offer some replacement for and also extend the cover that Blue Fin provided them.

Blue Danube Ltd. provides Allianz with a fully collateralized source of multi-peril modelled industry loss cover on a per-occurrence basis over a three year period for their peak perils of U.S. hurricane, U.S. earthquake, Canada earthquakes and also Caribbean island and Mexican hurricane risks.

Blue Danube began marketing as a $200m cat bond with two $100m tranches of notes but by the time the deal priced and closed it had upsized to $240m with each tranche of notes growing to $120m.

Standard & Poor’s assigned ratings to the notes yesterday. The $120m of Series 2012-1 Class A notes issued by Blue Danube have been rated ‘BB+’ while the $120m Class B notes have been rated ‘BB-‘.

According to S&P’s rating report Horseshoe Group are administering Blue Danube Ltd.

Visit our catastrophe bond Deal Directory for more details on Blue Danube Ltd.

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