SEF Entropics Cat Bond (Class A)
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.
In August, the return was 0.22 % for the retail class (A), hedged to the Swedish Krona (SEK). Coupons and slightly increasing market prices contributed positively to the return. Negative contributions came from some adjustments in claims from 2017 events. In addition, as the fund’s assets are mostly nominated in USD, the difference between the… Read more.
In July, the return was 0.14% for the retail class (A), hedged to the Swedish Krona (SEK). Coupons and slightly increasing market prices contributed positively to the return. As the fund’s assets are mostly nominated in USD, the difference between the US and the Swedish interest rates has given a negative contribution to share classes hedged… Read more.
In June, the return was 0.33% for the retail class (A), hedged to the Swedish Krona (SEK). Coupons and slightly increasing mark-to-market prices contributed positively. As the fund’s assets are primarily nominated in US Dollars, the interest rate difference between Sweden and the US has contributed negatively for share classes hedged to SEK with 195… Read more.
Return was -0.07% 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 0.29% for the retail class, hedged to the Swedish Krona. The positive return can mostly be attributed to coupon earnings. Read more.
Return was –0.50% in March. 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 contributed to increased erosion… 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 0.88% for the retail class (Class A). 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 0.01% 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 0.47%. 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 0.40% 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.