Blue Capital Alternative Income Fd Portfolio Update (3036S)

TIDMBCAI

RNS Number : 3036S

Blue Capital Alternative Income Fd

22 June 2018

Blue Capital Alternative Income Fund Limited (the "Company") (Ticker: "BCAI")

Portfolio Update

22 June 2018

Blue Capital Alternative Income Fund Limited, whose shares are admitted to trading on the London Stock Exchange's Specialist Fund Segment and the Bermuda Stock Exchange, is pleased to provide a portfolio update.

Mike McGuire, CEO of Blue Capital Management Ltd. ("Blue Capital"), commented:

"In light of the board of directors' recommendation to shareholders of an orderly run-off of the Company, Blue Capital ceased making new investments on behalf of the Company pending the outcome of a Special General Meeting of Shareholders expected to be held in July 2018."

As of 1 June 2018, the Company's ordinary share net asset value was $130.3 million, consisting of investments in Blue Capital Global Reinsurance SA--1 (the "Master Fund") at fair value of $104.4 million and collateral of $25.9 million in trust relating to expired or loss affected contracts with counterparties.

The Master Fund's existing investments are in preferred shares of Blue Water Re Ltd. The combined investments represent collateral deployed across 36 different positions and 17 different clients generating an estimated $25.6 million of net reinsurance premium. The business underwritten by the reinsurer is expected to produce a net rate on line (premium rate as percentage of limit) for the portfolio of 21.5%. The expected net rate of line is provided for illustrative purposes only and does not take into account the impact of any loss event, actual costs, expenses or other factors. As such, it should not in any way be construed as forecasting the Company's actual returns should no losses occur or otherwise.

A breakdown of the current portfolio is set out below:

Capital Investment Summary

The following unaudited tables provide a breakdown of the current fair value of the Company's portfolio investments by contract type, zone and peril (as at 1 June 2018).

 
                              Investment        Investment    Positions 
                               (US$ millions)    as a %        Held 
                                                 of Current 
 Contract Type                                   Portfolio 
---------------------------  ----------------  ------------  ---------- 
 Property Catastrophe 
  Total                                 104.4         80.1%          36 
---------------------------  ----------------  ------------  ---------- 
     Prop Cat - First 
      Event XOL                          97.8         75.0%          34 
     Prop Cat - Subsequent 
      Event XOL                           6.6          5.1%           2 
     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%           0 
     ILW - First Event 
      XOL                                 0.0          0.0%           0 
     ILW - Aggregate 
      XOL                                 0.0          0.0%           0 
---------------------------  ----------------  ------------  ---------- 
 Cat Bond                                 0.0          0.0%           0 
---------------------------  ----------------  ------------  ---------- 
 Cash in trust including 
  locked collateral                      25.9         19.9%           0 
---------------------------  ----------------  ------------  ---------- 
 Current Portfolio                      130.3        100.0%          36 
---------------------------  ----------------  ------------  ---------- 
 
   XOL = Excess of Loss                           ILW = Industry Loss Warranty 
 
                                   Investment        Investment    Positions 
                                    (US$ millions)    as a %        Held 
                                                      of Current 
 Asset Class                                          Portfolio 
--------------------------------  ----------------  ------------  ---------- 
 Traditional                                 104.4         80.1%          36 
--------------------------------  ----------------  ------------  ---------- 
     Quota Share Retrocessional               52.8         40.5%        1(1) 
     Indemnity Reinsurance                    21.3         16.4%          22 
     Indemnity Retrocession                   30.3         23.2%          13 
--------------------------------  ----------------  ------------  ---------- 
 Non-Traditional                               0.0          0.0%           0 
--------------------------------  ----------------  ------------  ---------- 
     Industry Loss Warranties                  0.0          0.0%           0 
     Other non-property 
      catastrophe risks                        0.0          0.0%           0 
     Cat Bonds                                 0.0          0.0%           0 
--------------------------------  ----------------  ------------  ---------- 
 Cash in trust including 
  locked collateral                           25.9         19.9%           0 
--------------------------------  ----------------  ------------  ---------- 
 Current Portfolio                           130.3        100.0%          36 
--------------------------------  ----------------  ------------  ---------- 
 

(1) Underlying positions held within the quota share retrocessional agreements total approximately 1,500.

Probable Maximum Loss

The exposures summarized below represent the sum of all collateral invested less reinsurance recoverable. Per the Company's Investment Policy, the net first event Probable Maximum Loss ("PML") in any one zone will not exceed 35% of the Company's NAV (at the time the investment is made). For contracts that overlap zones, the total exposure is counted in each of the exposed zones.

 
                               First Event 
                                VaR(1) 
 Territory / Region             as a % 
  / Peril                       of NAV 
----------------------------  ------------ 
 US - Florida Hurricane              26.4% 
----------------------------  ------------ 
 US - California Earthquake          17.4% 
----------------------------  ------------ 
 Japan Earthquake                    15.0% 
----------------------------  ------------ 
 US - Gulf Hurricane                 14.0% 
----------------------------  ------------ 
 US - Northeast Hurricane            12.4% 
----------------------------  ------------ 
 US - Mid-Atlantic 
  Hurricane                          10.0% 
----------------------------  ------------ 
 UK & Ireland Windstorm               8.2% 
----------------------------  ------------ 
 Japan Windstorm                      7.7% 
----------------------------  ------------ 
 

(1) Value at Risk ("VaR") represents the 99.0 percentile or the 1 in 100 year event for windstorm perils and the 99.6 percentile or the 1 in 250 year event for earthquake perils.

Enquiries:

For investor enquiries please contact:

 
 
  Blue Capital Management 
  Ltd. 
  Michael J. McGuire 
  [phone] 
Email: [e-mail] 
 
 

Notes to editors:

Blue Capital, which serves as the investment manager for both the Company and Blue Water Master Fund Ltd., is wholly owned by Sompo International Holdings Ltd. ("Sompo International"). Sompo International is a recognized global specialty provider of property and casualty insurance and reinsurance and a leading property catastrophe and short tail reinsurer since 2001.

This information is provided by RNS, the news service of the London Stock Exchange. RNS is approved by the Financial Conduct Authority to act as a Primary Information Provider in the United Kingdom. Terms and conditions relating to the use and distribution of this information may apply. For further information, please contact [e-mail] or visit www.rns.com.

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June 22, 2018 11:10 ET (15:10 GMT)