SEF Entropics Cat Bond (Class A)
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 0.40% 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.
The funds returns in the SEK class moved sideways during March and the yield to maturity (YTM) was 4.86 %. Seasonal variations in cat bond prices in the secondary market continue to reflect that North American hurricane risks are outside the official risk season. The amount of new issuances increased during March and demand for new… Read more.
The Fund returned -0.09% in February, and the Yield to Maturity was 4.71%. This reflects that the Fund and the market overall are over-weighted towards the American hurricane season, though the market is gradually becoming more diversified. The market return overall is mostly moving sideways, as American hurricane risk is out of the official season. Read more.
In October, the Fund returned 0.07% and the yield to maturity at the end of the month was 4.17%. The portfolio’s risk taking expressed as annualized expected loss was 2.19%. This year to date, the Fund has returned 6.49%, after fees, including the recovery of the position in MultiCat C. Read more.
The fund delivered 0.18% in May. The largest contribution came from coupon payments as prices in the secondary market was fairly unchanged for this period. In addition, the interest rate difference between USD and SEK has obviously had a negative contribution to the SEK hedged class. A USD class will shortly be available to institutional investors. Read more.
The Fund returned 0.31% in April. Yield to Maturity is 4.56% and the Expected Loss 2.01%. The primary market was rather slow in April, with one cat bond issuance and one private transaction. The low volume of new issuances naturally affected the volume and pricing of the cat bond, which was fully subscribed below indicative pricing. Read more.
Since mid-February the MSCI World Index has rebounded and is almost at the level of December 2015. However, many analysts and managers are worried about the volatile markets and the macro economic outlook. The cat bond and broader ILS sector has, as you would expect, not been affected due to the uncorrelated character of insurance risks. The Fund returned 0.24% in… Read more.