It appears that Credit Suisse were being extremely cautious when they issued a notice regarding the potential impact of hurricane Isaac on their CS Iris Low Volatility Plus insurance-linked security fund and as a result on the Dexion Capital managed DCG Iris ILS fund, which acts as a feeder for and invests its assets in CS Iris. At the end of August, Credit Suisse believed that their fund would see a small NAV impact from the hurricane, but it transpires that it is now unlikely.
Dexion Capital have issued another event update on hurricane Isaac, in which they have said that “Further to the announcement made on 30 August 2012, it is now confirmed that Hurricane Isaac has had no impact on the Company’s net asset value.” As a result Dexion Capital say that there is no longer a need to make a reserve provision on the funds NAV and the provision they had included in their NAV at the 31st August has now been removed.
We can assume from this that there is no longer any impact to the CS Iris fund as well, given that DCG Iris is fully invested in that fund. We assume that Credit Suisse were being cautious in case the Pelican Re cat bond, or perhaps some other private transaction which they are invested in, had been triggered, which it has now become clear is very unlikely.
This is good news for the DCG Iris fund, as even though the NAV impact was going to be very small at up to 0.20%, it is always still preferable to be able to tell investors that their assets are safe after a large catastrophe event.