The insurance-linked securities (ILS) and reinsurance investments portfolio of Dutch pension PFZW, which is managed by pension investment firm PGGM, delivered a 15.1% return for full-year 2024, while in asset terms the allocation was a little down year-on-year but flat through the fourth-quarter.
The latest figure for assets under management, of what is the largest single investor ILS allocation in the market, ended December 2024 at around the US $8.68 billion level, which in dollar terms was roughly flat for the quarter, which is the currency most if not all allocations are made in.
In dollar terms, the PFZW ILS allocation had been valued at just over US $9 billion at the end of 2023.
While in Euro terms, the PFZW ILS investment portfolio was valued at EUR 8.2 billion at the end of 2023, almost EUR 7.9 billion at the end of Q3 2024 and EUR 8.36 billion at the end of the year.
2024 saw the giant ILS portfolio delivering attractive returns again for PFZW, resulting in a 15.1% full-year performance (Euro hedged).
That was slightly down on the return achieved in 2023, when the ILS portfolio delivered a Euro hedged 16.5%, which in USD equated to a 19.8% return.
The fourth-quarter of 2024 saw the PFZW ILS portfolio return 3.1%, down on the 5.8% reported for Q3, but improved on Q2’s 2.2% and close to Q1’s 3.2%.
Year-on-year, the Q4 return was lower than the same period in 2023 when the ILS portfolio returned 4.2% for the Dutch pension fund and investor.
For the full-year, in 2024 only the listed equity portfolio allocation of the PFZW pension performed better. While the 15.1% return of the catastrophe bond and ILS fund, as well as other reinsurance linked investments portfolio, far out-performed most other asset class buckets that PFZW reports on.
At the end of 2024, the ILS portfolio managed by PGGM for its pension fund client PFZW made up 3.2% of its total net invested assets, so hitting the target allocation.
Over the course of 2024 the PFZW ILS portfolio was relatively stable, albeit with some changes to allocation mix.
As of the end of September 2024, no changes to the stable of ILS fund managers, sidecars and reinsurance investment partnerships has been reported, with no adjustment to each allocation allowance in Q3.
But, as we reported in October, a $200 million allocation was made to a vehicle named Scenery Re Ltd., a quota share structure managed by Everest unit Mt. Logan Capital Management.
In addition, we also reported in November that PGGM had subscribed for an additional $175 million of shares in the RenaissanceRe managed joint-venture rated reinsurance underwriting vehicle Vermeer Re during the third-quarter of 2024, on behalf of PFZW.
So with these new allocations made and little change in the overall portfolio size in the same period, it seems there may have been some adjustment, or shrinking within some of the other ILS allocations included in the PFZW portfolio, although not particularly meaningful given its significant scale.
PGGM remains the largest single investor listed in our directory of pension funds and sovereign wealth funds investing in ILS and reinsurance.
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