SEF Entropics Cat Bond Fund Class I (institutional investors)
Return was -0.04% in May. Coupons gave a positive contribution. New loss estimates following the 2017 hurricane and wildfire seasons affect some positions, in total giving a negative contribution. Also the interest rate difference between Sweden and US contributes negatively. Read more.
During April, the return amounted to 0.30% for the institutional class, hedged to the Swedish Krona. The positive return can mostly be attributed to coupon earnings. Read more.
The institutional class hedged to Swedish Krona returned –0.47%. The negative return has been caused by new loss estimates that have been issued for the extreme wildfires in California in 2017. The new estimates have exceeded market expectations. In addition the winter storm Riley, that hit the US Mid Atlantic Coast in early March, has… Read more.
The Fund’s retail class returned -1.32% in February. The negative return has been caused by new loss estimates that have been issued for the extreme wildfires in California in 2017. The estimates have exceeded market expectations. Read more.
In January, the fund return amounted to 0.90% for the institutional class (Class I). The return is partly explained by loss reports indicating lower losses then previous estimates, which has caused affected positions to rebound. Read more.
During December, claims reports concerning the extreme hurricane season have made exposed bonds recover partly. The wildfires in California continued to develop and to pressure the mark to market value of some positions. The Fund returned 0.04% in December. Read more.
During November, the fund’s return has been negatively affected by the large wildfires in California, while other positions have recovered the drawdown following this season’s extreme hurricanes. The month’s return is down 0.44%. Read more.
In October, the positions exposed to the severe hurricanes Irma and Maria have recovered significantly for the ones exposed to Irma and to a certain extent for the ones exposed to Maria. The month’s performance is mainly a sum of the risk premiums and the market evaluation of the bonds exposed to Irma and Maria. Read more.
Three large natural catastrophes in September affected the Fund’s performance. Year 2017 is set to be one of the costliest years ever for the re/insurance industry and for the cat bond market, which raises expectations of increasing risk premiums. Read more.
The Fund’s August return is a result of increasing prices on the secondary market and coupon revenues. Hurricane Harvey mad landfall in Texas during the month, causing extensive flooding damages, but limited wind damages. Cat bonds have less exposure to flooding, and no cat bonds triggered Read more.
The Fund returned 0.43% in July, and the YTM is 5.54%. The performance is a result of tightening spreads and coupons. The fund has, among other things, assumed a position in the new World Bank bond covering catastrophe damages in Mexico. Activity in the secondary market has been relatively high. Read more.
Seasonal adjustments for the North American hurricane season and coupon returns contributed to the fund’s returns. As the fund’s assets are mainly denominated in USD, returns are also affected by differences between American and Swedish interest rates for those classes that are secured towards Swedish Krona. Read more.
The North Atlantic Hurricane Season officially started on June 1. Hence, the fund now harvests returns from the positions affected. May offered an active primary market, with 13 issuances, with a total volume of approx. USD 3.6 billion. The total emission volume to date amounts to USD 8.2 billion, and the total outstanding volume has… Read more.
Returns of the Fund’s SEK classes are according to expectations, as American wind is outside of the official Atlantic hurricane season. The season stretches from June 1 to November 30, entailing a higher expected return and risk during the period. Share classes denoted in SEK (classes A and I) continue to be affected by the… Read more.