Blue Capital Management

Reflecting the fact that losses continue to develop for insurance-linked securities (ILS) funds and reinsurance-linked investment strategies, the stock exchange listed Blue Capital Alternative Income Fund has dropped in December, thanks to accounting for buffer loss collateral and an increase to hurricane Irma loss estimates.

Given the recent catastrophe losses and the expectation that better reinsurance and retrocession market conditions are on the way, Blue Capital Management is looking to maintain the scale of its listed ILS fund and says that the median loss return target for 2018 could be as high as 15%.

The stock exchange listed Blue Capital Alternative Income Fund (formerly known as the Blue Capital Global Reinsurance Fund) has reported a negative return for October 2017, as the recent California wildfires added to losses for the year, although at a much smaller level than the recent hurricanes.

Reinsurance and insurance-linked securities (ILS) investment manager Blue Capital Management has warned investors in two of its vehicles that a portion of the collateral assets will not be available for deployment at the January 2018 renewals, as a result of contractual buffer loss provisions.

The impact of recent catastrophe events, including the major hurricanes Irma and Maria, is gradually becoming clearer as ILS funds report their September returns. The latest to report is Blue Capital Management’s listed fund vehicle, which has suffered a -26% return for the month.

Blue Capital Management, the Sompo International (previously Endurance) owned reinsurance and insurance-linked securities (ILS) investment manager, has begun an investigation and assessment of the impacts from Hurricane Maria, to identify any impacts to its flagship listed ILS fund vehicle.

Stock exchange listed ILS fund strategy the Blue Capital Alternative Income Fund (formerly known as the Blue Capital Global Reinsurance Fund) has already factored the impact of hurricane Harvey into its August net asset value, reporting 0.45% performance for the month even after the losses are taken into account.

Reinsurance and insurance-linked securities (ILS) investment manager Blue Capital Management warned its shareholders in the Blue Capital Alternative Income Fund (formerly known as the Blue Capital Global Reinsurance Fund) of the complexity of the loss from hurricane Irma.

The June 1st reinsurance renewals saw pricing fall at a faster rate than expected, as pricing for Florida and U.S. property catastrophe business declined by as much as 10% in some cases. ILS specialists Blue Capital Management report that despite steeper than expected declines, the manager achieved “strong portfolio execution.”

Insurance-linked securities (ILS) and reinsurance asset management unit Blue Capital Management Ltd. is seen as an “important component” of re/insurer Sompo International’s strategic future, according to the company.