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Hurricane Maria causes further dip in interval ILS fund values


The approach, impacts and industry loss expectations associated with hurricane Maria appears to have caused a further dip in the values of interval reinsurance and ILS funds managed by Stone Ridge Asset Management and Amundi Pioneer, suggesting both could have additional exposure to the storm.

The interval funds, which are closed ended 1940’s Act mutual fund structures, both have broad exposure to the global catastrophe reinsurance and retrocession markets, meaning losses were expected for most events that have a significant market impact.

These funds dipped dramatically as hurricane Harvey and Irma’s impacts on the United States began to become clearer, with the Pioneer ILS Interval Fund dropping 5.2% in a day on the 8th September 2017, just prior to Irma’s landfall, and the Stone Ridge Reinsurance Risk Premium Interval Fund falling almost 14% by September 8th, from its pre-hurricanes high.

Both of these ILS funds have experienced some further volatility since the initial impacts of hurricanes Harvey and Irma, as further catastrophe events have hit the market.

The Stone Ridge Reinsurance Risk Premium Interval Fund bounced back over 5% by the 12th September, as the magnitude of the industry loss from the hurricanes Harvey and Irma became clearer.

But since then it has declined again, perhaps with the Mexico City earthquake creating some further uncertainty for the fund about which reinsurance and retro positions could be impacted, but then the impacts of hurricane Irma have clearly driven the fund even lower and the Stone Ridge fund now sits almost 1% lower than where it fell to on the 8th, its lowest all time value.

The Pioneer ILS Interval Fund rose back a little after the initial hurricane impacts from Harvey and Irma, but has since fallen away again, dropping back to a new low as of the 22nd September and by yesterday sitting almost 6.1% down from its pre-hurricane high.

Both of the funds seem to have been negatively impacted by hurricane Maria, which is no real surprise given the huge industry loss estimate from AIR Worldwide. The Stone Ridge fund may also have taken a slight dip due to the Mexico City earthquake, although this could just have been volatility in the wake of the first two storms.

Things should become clearer once the pair of interval ILS funds report their latest quarterly results, which is likely to be in October.

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