SEF Entropics Cat Bond (Class A)
The fund delivered a negative return in April, but the year to date returns are just above 2%. Positive contributions came from coupons and negative contributions from suppressed market prices. The fund’s assets are mainly nominated in US dollars and the SEK nominated share classes are affected by currency hedging because of the interest rate… Read more.
The fund delivered a negative return in February, but a positive return during the quarter. A decline in market prices was caused by an increased supply, among other things driven by sales by multi-strategy investors in need of liquidity. In situations of market stress, a long-term approach is an asset and long-term managers could use… Read more.
The fund delivered positive returns in February. In addition to positive contributions from coupons, contributions came from subrogation (insurers assuming liability rights against the entity causing the loss) regarding the California wildfires of 2017 and 2018. This resulted in lower loss payments from affected bonds. Read more.
The fund delivered positive returns in January. In addition to coupons, positive contributions came from the continued recovery of prices for bonds exposed to Japanese wind events in 2019. The fund’s assets are mostly issued in US dollars and the outstanding SEK share classes have negative contributions from currency hedging due to the difference between… Read more.
The fund delivered positive returns in December following a strong H2 performance. Contributions came mainly from coupons and some recovery from positions exposed to Japanese wind. The fund’s assets are mostly issued in US dollars and the outstanding SEK share classes have negative contributions from currency hedging due to the difference between the US and… Read more.
The Fund returned the highest return ever for the month of October since inception. In addition to coupons, positive contributions came from bonds exposed to the ongoing North Atlantic Hurricane Season. Claims settlement processes of previous events also contributed positively. Negative contributions came from mark-to-market prices for bonds exposed to Japanese typhoons, attributable to Typhoon… Read more.
The return in September saw contributions from risk premiums as part of the ongoing Atlantic hurricane season, though they also include some positive contributions from a security that is subject to the events that occurred in 2017/18 and claims settlement has progressed with estimated gains compared to previous market estimates. Read more.
The return in August sees contributions from risk premiums as part of the ongoing Atlantic hurricane season, though they also include some negative contributions from the uncertainty associated with Hurricane Dorian. However, it will not lead to claims on cat bonds and prices will recover quickly. Read more.
In July the returns from Entropics Cat Bond Fund in the SEK hedged share classes were almost flat and measured in USD the returns were positive. Coupons contribution to returns was 0.67%. Claims settlements from the historically costly years of 2017/18 contributed slightly negatively and the markets’ concern for further development of the loss from… Read more.
The North Atlantic Hurricane Season officially started on June 1st and will continue until November 30th. In the secondary market seasonal price increases started gradually in June and are expected to accelerate as the North American hurricane season moves ahead. The hurricane season officially ends on 30th November. The uncertainty regarding losses following the events… Read more.
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.
After two consecutive years with record insurance losses on the cat bond market , premiums continued to increase in December. For the fund, the risk premium (coupon before risk-free interest rate and excluding distressed bonds) increased by 16% compared to a year ago. The interest rate difference between Sweden and the US has contributed negatively… Read more.
During November, the deadliest wildfires in the history of California raged. In California, wildfires are covered by ordinary home insurances and the insurance penetration is very high. AIR Worldwide estimate the losses from Camp fire and Woolsey fire to USD 9-13 billion. Wildfires are a relatively small risk on the cat bond market, but some… Read more.
During October, no events that triggered positions in the Fund occurred. Hurricane Michael caused some price volatility on the secondary market, but the portfolio positions have recovered, and no position has been triggered by the hurricane. However, a negative contribution to the return came from positions that continue to be affected by hurricane Irma from… Read more.
Coupons and increasing market prices contributed positively to the return. Returns in 2018 continue to be affected negatively by the loss development of 2017 events. Read more.