Swiss Re Insurance-Linked Fund Management

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Hurricane Dorian declines shown in Stone Ridge ILS fund, Swiss Re shares


As hurricane Dorian continues to approach the Bahamas and Florida, still at Category 2 strength but with the forecast continuing to show a major hurricane landfall, share prices of listed insurance-linked securities (ILS) funds and reinsurance firms are being affected.

Hurricane Dorian forecast path or trackUpdate, Sep 5th: Hurricane Dorian remains a strong hurricane. The U.S. coastline is not yet in the clear, as Dorian is forecast to hug it on the way north, with dangerous winds and storm surge expected and a chance of making landfall. Our latest here.

Original article:

The valuations of investments in some of listed and mutual ILS funds tend to fluctuate based on threats from catastrophe events, although in reality these are largely market sentiment based as pricing of collateralised reinsurance sidecars and quota shares, or even catastrophe bonds, are not frequently updated.

Our latest on hurricane Dorian can be found here.

The Stone Ridge Reinsurance Risk Premium Interval Fund, which invests across the spectrum of ILS and collateralised reinsurance assets, saw its share price decline by -1.2% in the last twenty four hours, reflecting the potential for an impact from hurricane Dorian related losses.

It’s possible that the this Stone Ridge fund will see a larger share price decline into Monday morning, given the increasing certainty in the hurricane Dorian forecast that is being seen each day.

Whatever happens with the share price, if hurricane Dorian makes a Category 3 or 4 landfall in Florida this Stone Ridge ILS fund will be expected to face exposure, through at the very least mark-to-market catastrophe bond losses, as well as a share of losses through quota shares with reinsurance firms, and perhaps sidecars as well.

Other ILS interval funds, such as those from Amundi Pioneer and City National Rochdale, have not yet shown any share price changes, and remained flat into today.

Also flat, perhaps a little surprisingly as well, the listed retrocessional reinsurance funds of Marke CATCo saw their share prices remaining flat today, despite the fact that clearly any in-force CATCo contracts could face losses from a significant hurricane Dorian industry loss scenario.

Reinsurance and insurance firms are also faring better today than yesterday in the majority of cases, in terms of share prices, although Swiss Re is perhaps a bit of an outlier being down roughly -3% today.

Everest Re was only down -0.15%, RenaissanceRe -0.26%, Munich Re -0.37% and all the major indices of insurance and reinsurance shares (STOXX, Dow Jones, Global etc.) have actually traded up a little today.

Blue Capital Reinsurance Holdings, the exchange listed collateralised reinsurance vehicle, is another one that has suffered today, being down roughly -3.5% at one stage.

It’s going to be interesting to see how these shares fare into Monday, as the forecasts become more certain and we have a better idea of hurricane Dorian’s landfall loss potential.

Also read:

Hurricane Dorian threatens significant storm surge losses.

Hurricane Dorian analogues show $11.3bn to $37.2bn industry loss range: RMS.

Cat bonds trade on hurricane Dorian, but uncertainty reigns.

Hurricane Dorian stronger, forecast worse, loss estimates say up to $25bn.

You can always visit our 2019 Atlantic hurricane season page for the latest and we will update you as new information is reported to us.

For details of every catastrophe bond every issued visit the Artemis Cat Bond Deal Directory.

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