April 5th, 2012

GC Securities* Completes Blue Danube Ltd. Catastrophe Bond On Behalf of Allianz

Posted at 8:08 AM ET

GC Securities, a division of MMC Securities Corp., a U.S. registered broker-dealer and member FINRA/SIPC, today announced the placement of USD240 million Principal At-Risk Variable Rate Notes (”Series 2012-1 Notes”) through catastrophe bond issuer Blue Danube Ltd.

The Notes will provide three-year per occurrence protection to Allianz Argos 14 GmbH, a wholly owned subsidiary of Allianz SE, against hurricanes affecting the United States (including clash hurricane events that also affect the Caribbean, Central America and Mexico) and earthquakes affecting the United States and Canada. The bond utilizes a modeled industry trigger transaction (MITT) structure that weights PCS losses in the covered area by modeled losses to Allianz’s notional exposure portfolio.

GC Securities acted as a joint structuring agent and joint bookrunner on the issuance, and AIR Worldwide Corporation was the modeling firm for the transaction.


Series 2012-1 Notes

Class A Notes

Class B Notes

Expected Loss
(Sensitivity Basis)



Risk Interest Spread
(to IBRD Puttable Notes Yield of 6MLIBOR – 32bps)



S&P Rating

BB+ (sf)

BB- (sf)

Cory Anger, Global Head of ILS Structuring, GC Securities, stated, “As a repeat sponsor of insurance-linked securities, Allianz continues to lead structural innovation in the ILS space. The protection from Blue Danube not only provides US hurricane protection but also factors losses caused by such same hurricane events in the Caribbean region, Central America and Mexico to best protect Allianz from all losses arising from such hurricanes. Blue Danube is also the first catastrophe bond transaction to utilize the PCS index for Canada earthquakes and will be one of the few bonds outstanding with exposure to such region. Finally, investors appreciated the thoughtful structural features of Blue Danube, including its use of IBRD puttable notes as the collateral solution, which is the first use of such a solution this year.”

Chi Hum, Global Head of ILS Distribution, GC Securities, added, “ILS investors appreciated the relative value of the MITT-triggered Blue Danube notes, as evidenced by the oversubscription and resulting deal size increase. Market participants were also keen to support Allianz, a consistent sponsor in the ILS market and sophisticated user of alternative reinsurance capacity.”

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* Securities or investments, as applicable, are offered in the United States through GC Securities, a division of MMC Securities Corp., a U.S. registered broker-dealer and member FINRA/SIPC. Main Office: 1166 Avenue of the Americas, New York, NY 10036. Phone: (212) 345-5000. Securities or investments, as applicable, are offered in the European Union by GC Securities, a division of MMC Securities (Europe) Ltd., which is authorized and regulated by the Financial Services Authority. Reinsurance products are placed through qualified affiliates of Guy Carpenter & Company, LLC. MMC Securities Corp., MMC Securities (Europe) Ltd. and Guy Carpenter & Company, LLC are affiliates owned by Marsh & McLennan Companies. This communication is not intended as an offer to sell or a solicitation of an offer to buy any security, financial instrument, reinsurance or insurance product. The securities mentioned herein have not been, and will not be, registered under the United States Securities Act of 1933, as amended (the “Securities Act”), and may not be offered or sold in the United States except pursuant to an exemption from the registration requirements of the Securities Act.

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