ICMR launches NAV Index to enhance transparency of investing at Lloyd’s for capital markets

Insurance Capital Markets Research (ICMR) has launched a new index to enhance its reporting for insurance investors that promises to enhance the transparency of investing into the Lloyd’s insurance and reinsurance market, while providing useful data to help in capital deployment decision making.

The monthly ICMR NAV Index is seen as a new benchmark for Lloyd’s investors and sees ICMR launching a new product that draws on its capabilities to track the monthly Net Asset Value (NAV) delta for the Lloyd’s market as a whole.

“This provides Lloyd’s investors with a new robust benchmark for ICMR’s portfolio-specific independent NAV reporting services,” the company explained.

ICMR has based its methodology for the new proprietary index on a detailed NAV methodology it utilises for a number of fund clients that participate on portfolios of Lloyd’s syndicates.

They explain, “The index interpolates published annual data over the past twenty years into the months in which results were earned, adjusting for known major claims and investment events as they happened in real time. To ensure robustness and accuracy, this methodology is rigorously backtested against actual reported annual Lloyd’s pro forma results.”

Artificial intelligence also plays a role, as ICMR’s own relative performance AI model (ICMR.Insight) generates forward-looking probabilistic results, to add into the mix, which the company believes “ensures a highly accurate framework for both historical backtesting and forecast reasonableness testing.”

ICMR says the new NAV Index offers timely insights to investors to help them in reviewing the performance of their own portfolios of investments in the Lloyd’s market, as well as planning for future underwriting year commitments.

“This new monthly NAV capability further aligns Lloyd’s with modern capital market investor expectations,” ICMR said.

Quentin Moore, Co-Founder of ICMR, commented, “Lloyd’s remains the ‘Goldilocks’ of diversifying insurance investments, a compelling balance where correlation runs not too hot and not too cold. However, the temperature difference between varying insurance investments is highly nuanced. With our monthly NAV reporting, combined with our daily RISX equity index, we are bringing capital market transparency to Lloyd’s, ensuring investors have the precise tools needed to allocate capital efficiently and capitalise on this asset class.”

Markus Gesmann, Co-Founder of ICMR, also said, “As we approach the half-year mark, having access to timely, accurate reporting is a game-changer for mid-year portfolio valuations and planning for the 2027 year of account. For the first time, the market does not have to guess.”

Accessing returns from the Lloyd’s insurance and reinsurance market is getting easier, with structures like London Bridge building investor participation and interest. As a result, greater transparency in how the market and its participants actually perform is timely, while translating Lloyd’s performance into something capital markets investors are more familiar with is also likely to be welcomed.