RMS Performs Analysis for First Great Britain River Flood Securitization

$150 Million Series Issued for Blue Wings Ltd, a $1 Billion Program

Newark, Calif. – April 10, 2007 –   Risk Management Solutions (RMS), the world’s leading provider of products and services for the management of catastrophe risk, has designed the trigger mechanisms and performed the risk analysis for the first securitization of river flood risk in Great Britain. Also covering North America earthquake risk, the securities were issued by Blue Wings Ltd, a Cayman Islands SPV, providing $150 million of collateralized cover for Allianz Global Corporate & Specialty AG, the corporate arm of the Allianz insurance group, for four years and nine months, as part of a $1 billion program, structured and placed by Swiss Re.

“We have been excited about working with Allianz to create a parametric flood trigger tailored to their portfolio and risk transfer needs,” said Peter Nakada, managing director of RMS Consulting. “We believe that more granular parametric indices will benefit both investors and issuers – helping to catalyze further growth in the catastrophe bond market.”

Blue Wings Ltd is a multi-peril deal, comprising earthquake and river flood risk. The securitization covers North America earthquake risk in Canada and all of the United States excluding California, using a modeled-loss trigger. Flood risk driven by precipitation in Great Britain is also covered, and is a key innovation in the transaction, as Blue Wings Ltd is the first securitization of Great Britain river flood risk. The flood solution, researched and designed by RMS Consulting, uses a parametric trigger of flood depths as measured after the occurrence of a significant flood event, at a strategically-selected set of reference locations.

“The involvement of RMS in this project was key, particularly in some critical phases where they provided the innovation we needed to build a robust index that ultimately investors appreciated,” said Marc Hannebert, project manager at Allianz Global Corporate & Specialty.

Blue Wings Ltd was assigned a “BB+” senior secured debt rating by Standard & Poor’s, and is priced very competitively at a time when diversifying issuances are sought more than ever by investors.

“This new and innovative transaction marks an important step for the market, with risk based on new perils such as flood being securitized,” said Fathia Grandjean, director of the Continental Europe Industry Practice at RMS. “Prior to this transaction, RMS designed the first solutions for a number of new perils, including the first ever Europe wind transaction, weather risk, and terrorism risk securitizations. The Blue Wings Ltd deal is the latest step in our commitment to providing innovative solutions for the capital markets.”




 

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