AQR Re Management launches new catastrophe reinsurance fund, grows assets

by Artemis on January 20, 2014

AQR Re Management, Ltd., an affiliate of global investments firm AQR Capital Management, LLC, has launched a new catastrophe reinsurance fund and grown its reinsurance-linked assets under management at the beginning of the year.

Bermuda-based reinsurance asset manager AQR Re Management now operates two ILS funds holding a global portfolio of catastrophe reinsurance. The funds are invested in traditional reinsurance contracts, which AQR Re’s reinsurance vehicles underwrite using collateralized reinsurance, insurance linked securities, derivatives and, from time to time, fronting carriers .

The two reinsurance and ILS investment funds are the AQR Risk Balanced Reinsurance Fund Ltd., which was launched in late 2011 and the AQR Catastrophe Opportunities Fund Ltd., which was launched in late 2013 and raised its first assets at the end of the year.

According to SEC Form-D filings, the AQR Risk Balanced Reinsurance Fund grew to just under $500m at the 1st January, $499.7m to be precise. At the last capital raise at the end of 2012 the fund stood at $433m, so it looks like AQR Re raised approximately $67m in additional capital for the January reinsurance renewals.

The newer AQR Catastrophe Opportunities Fund Ltd. is reported as having sold $88.1m of pooled investment fund interests at the start of 2014. We understand that the AQR Catastrophe Opportunities Fund targets a higher level of return that the AQR Risk Balanced Reinsurance Fund, likely investing more in privately negotiated collateralized reinsurance or fronted traditional contracts.

This takes the total assets under management from these two funds at AQR Re Management up to approximately $588m. AQR Re Management has seen good growth in its reinsurance-linked assets under management, having grown from $150m at January 2012, to $433m at January 2013 up to the $588m, or so, it reports today.

AQR Re Management may have other assets under management, perhaps in privately arranged investment mandates, so this may not be its entire interest in the reinsurance and catastrophe risk space.

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GH July 10, 2014 at 3:31 pm

How accurate are the SEC Form-D filings for determining the AUM of a particular fund or strategy?

Also, are the securities sold in the SEC Form-D filings always cumulative (as you described in this paragraph)?

“According to SEC Form-D filings, the AQR Risk Balanced Reinsurance Fund grew to just under $500m at the 1st January, $499.7m to be precise. At the last capital raise at the end of 2012 the fund stood at $433m, so it looks like AQR Re raised approximately $67m in additional capital for the January reinsurance renewals.”

Artemis July 11, 2014 at 10:23 am

Accuracy I really cannot speak for. Regarding the cumulative nature, of one Form-D for a fund to the next, I believe that is correct (but happy to be corrected if you believe not)?

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