SEF Entropics Cat Bond (Class A)
SEF Entropics Cat Bond Fund (”The Fund”) is the first fund managed by a Scandinavian asset manager specialised in investments in insurance-linked securities (ILS). Entropics has a responsible investment style.
The Fund aims at delivering good risk adjusted returns with low correlation to other asset classes, such as equity and bonds. The Fund manages a cat bond portfolio globally diversified with respect to perils and geography.
The Fund complies with the EU UCITS regulation. This framework aims at protecting investors through high standards for risk management, concentration risks and liquidity in compliant funds. The (I) Class is available only to institutional investors. As the Fund complies with the UCITS framework, it can be marketed to in EU countries subject to a notification procedure. Initially, the Fund is only available to institutional investors in all EU countries and on the consumer markets in Sweden and Luxembourg. The Fund can be introduced on additional markets if demand is sufficiently high.
The Fund invests according to Entropics’ policy for responsible investments.
The Fund is set up through Swedbank Management Company S.A. in Luxembourg. Swedbank AB is the Fund’s administrator, guaranteeing valuation and administration independent of Entropics. Entropics is the asset manager of the Fund, focusing on investment decisions.
In May, coupons have contributed positively to the return with 0.80% and mark-to-market pricing has contributed -0.97%, of which -0.35 percent units are related to bonds exposed to old losses from the historically costly years 2017/18 with updated loss estimates. The remaining -0.63 percent units are related to the increasing market demand for returns going… Read more
Claims settlement losses continued to pressure the market during the month. This has led to the average multiple, i.e. the quota between the coupon and expected loss, increasing notably from 2.01 last year to 3.20. The risk premiums are now the highest since 2012/13. Read more
In March, the largest positive contribution was coupon payments, contributing 0.54%. Mark-to-market prices of the fund’s positions contributed -0.87%, of which half can be attributed to bonds exposed to the historically costly years 2017 – 2018. The other half can be attributed to increasing return demands going forward; consequently, secondary market prices are lower, and… Read more
In February, the fund’s return in SEK amounted to -0.48% (class A) and -0.44% (class I) respectively. During the month, coupons have contributed positively to the return with 0.55%, market values of positions have contributed with -0.69%, of which three portfolio positions have been affected by claims settlements referring to events in 2017 and 2018,… Read more
In January we saw some price stabilisation and recovery of the price declines we saw at the end of last year. Some positions exposed to the California wildfires in 2017/18 also recovered somewhat, which contributed positively to returns. The interest rate difference between Sweden and the US contributed negatively about 210 forward points in January.… Read more