Blue Capital Alternative Income (BCAI) has provided an update on the January 2018 reinsurance renewals season. Mike McGuire, CEO of Blue Capital Management Ltd, says, “”Following the significant industry losses experienced in 2017, we are pleased to report improved market conditions during the January renewal period. On average, loss affected business benefited from renewing premium rate increases of 15%-20% while non-loss affected agreements benefited from rate increases of 3-5% (in each case compared to 2017 and net of expenses).”
Investments down by US$62.2m due to 2017 loss activity
BCAI invests through a master fund, Blue Capital Global Reinsurance SA‐1. BCAI says that, as of 1 January 2018, the Company’s ordinary share net asset value was $139.3 million and that this consisted of investments in the Master Fund at fair value of US$137.0 million and cash on hand of $2.3 million. Investments in the Master Fund were lower by US$62.2 million year on year primarily due to 2017 catastrophe loss activity.
Blue Water Re
Blue Capital Global Reinsurance SA‐1 has invested its assets in preferred shares of Blue Water Re Ltd. BCAI says that this combined investments represent collateral deployment across 76 different positions and 33 different clients generating an estimated US$41.1 million of net reinsurance premium written which is a decrease of US$5.7 million from the previous year. The business underwritten by the Company is expected to produce a net rate on line (premium rate as percentage of limit) for the portfolio of 24%, which is an increase of 150 basis points when compared to the same period in 2017. The increase is due to an average risk adjusted price increase of 12% during the January renewals.
Capital investment summary
The company has provided a breakdown of the current fair value of the Company’s portfolio investments by contract type, zone and peril (as at 1 January 2018) and other net assets. This is summarised as follows:
|
Contract Type |
Investment (US$ millions) |
Investment as a % of Current Portfolio |
Positions Held |
|
Property Catastrophe Total |
119.7 |
86.0% |
75 |
|
Prop Cat – First Event XOL |
109.3 |
78.5% |
68 |
|
Prop Cat – Subsequent Event XOL |
10.5 |
7.5% |
7 |
|
Prop Cat – Aggregate XOL |
0.0 |
0.0% |
0 |
|
Industry Loss Warranty Total |
0.0 |
0.0% |
0 |
|
ILW – Subsequent Event XOL |
0.0 |
0.0% |
1 |
|
ILW – First Event XOL |
0.0 |
0.0% |
0 |
|
ILW – Aggregate XOL |
0.0 |
0.0% |
0 |
|
Cat Bond Total |
0 |
0.0% |
0 |
|
Retrocessional Hedging Total |
0.0 |
0.0% |
0 |
|
Current Portfolio |
119.7 |
86.0% |
76 |
|
Buffer Loss Collateral |
16.5 |
11.8% |
|
|
Cash & Sundry Net Assets |
3.1 |
2.2% |
|
|
Net Asset Value at 1 January 2018 |
139.3 |
100.0% |
XOL = excess of loss ILW = Industry Loss Warranty
.
.
|
Asset Class |
Investment (US$ millions) |
Investment as a % of Current Portfolio |
Positions Held |
|
Traditional |
119.7 |
86.0% |
75 |
|
Quota Share Retrocessional |
48.0 |
34.5% |
11 |
|
Indemnity Reinsurance |
39.3 |
28.2% |
60 |
|
Indemnity Retrocession |
32.4 |
23.3% |
14 |
|
Non-Traditional |
0.0 |
0.0% |
0 |
|
Industry Loss Warranties |
0.0 |
0.0% |
1 |
|
Other non-property catastrophe risks2 |
0.0 |
0.0% |
0 |
|
Cat Bonds |
0.0 |
0.0% |
0 |
|
Retrocessional Hedging |
0.0 |
0.0% |
0 |
|
Current Portfolio |
119.7 |
86.0% |
76 |
|
Buffer Loss Collateral |
16.5 |
11.8% |
|
|
Cash & Sundry Net Assets |
3.1 |
2.2% |
|
|
Net Asset Value at 1 January 2018 |
139.3 |
100.0% |
1 Underlying positions held within the quota share retrocessional agreements are in excess of 1,400.
2 Contracts transacted in an International Swaps and Derivatives Association, Inc. contract format.