Swiss Re Insurance-Linked Fund Management

Xactanalysis Insights and PCS

Blue Danube Ltd. catastrophe bond upsized to $240m


There are three catastrophe bonds in the final phase of their marketing and execution at the moment, all of which are due to complete within the next week. Akibare II Ltd. and Pelican Re Ltd. are both due to price tomorrow according to our sources and will settle next week, Blue Danube Ltd. has we understand priced today and settles next week as well, but it has also been upsized by $40m to now offer $240m of multi-peril cover for the cat bonds sponsor Allianz Argos 14 GmbH.

Blue Danube Ltd. is a multi-peril cat bond which was marketed as a $200m transaction designed to provide Allianz with a source of fully collateralized cover for U.S. hurricane, U.S. earthquake, Canada earthquakes, Caribbean hurricane and Mexican hurricanes. The transaction uses a modelled/modified industry loss trigger which will weight the cover to Allianz’s own portfolio of risk. At pricing the deal is now sized at $240m with each of the two tranches having grown by $20m. The Class A notes priced towards the lower end of expectations at 6% while the Class B notes priced slightly above the original expected range at 10.75%. We’ll bring you more details on Blue Danube Ltd. when they become available.

Meanwhile the other two transactions in the market will also complete very soon. Pelican Re Ltd., which is the first cat bond from Louisiana Citizens Property Insurance Corporation, is still targeting $100m of hurricane cover on an indemnity basis for the state windstorm insurer of last resort. We’re told that Pelican Re is likely to price on target. Akibare II Ltd. is a Japan typhoon cat bond sponsored by Mitsui Sumitomo Insurance Corp. This cat bond has taken longer than expected to complete according to investor sources we’ve spoken to and pricing looks like it will be slightly above the original expected range.

We’ll update you further as all these deals are finalised.

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