Swiss Re Insurance-Linked Fund Management

Xactanalysis Insights and PCS

Rochdale ILW mutual fund continues net asset growth, rising 42%


City National Rochdale Select Strategies (CNRLX), an industry loss warranty (ILW) focused mutual insurance-linked securities (ILS) investment fund, has continued to steadily grow its assets during its last reported quarter, although some loss impacts remain visible in the fund portfolio.

city-national-rochdale-logoThe City National Rochdale Select Strategies Fund ($CNRLX) ILW focused reinsurance and retrocession investment strategy is focused on peak peril and regional U.S. ILW contract investments.

It achieves this exposure through a relationship with the experienced ILW and index reinsurance investment team of Neuberger Berman, accessing risk by investing in cells of the Neuberger Berman ILS team’s NB Re Ltd. vehicle (previously named Iris Re).

When we last reported on the City National Rochdale mutual ILS fund it had reached net assets of $52.7 million in its portfolio, as of January 31st 2019.

In the next quarter the ILW focused investment fund grew this by almost 10%, to reach a portfolio valued at $57.8 million as of April 30th 2019.

The fund had grown the value of its net assets by roughly 11% in the previous quarter, so this steady pace of increased value and asset growth in the fund has continued.

However, the fund has grown its cash on hand it seems, as at April 30th the total net assets of the CNR ILW focused mutual fund is reported as having reached almost $88.7 million.

That’s an impressive 42% increase from the $62.4 million of total net assets reported a quarter earlier. There is perhaps an element of cash that had been, or may still be, trapped in collateral here as well, or positions that have matured and not been reinvested at the date of reporting.

But as this was the picture at the end of April it bodes well for the City National Rochdale ILS fund’s ability to deploy more capacity into the mid-year renewals and hence it will be interesting to see how the portfolio value vs total net assets compare when the next quarterly report is released.

In terms of loss impacts from prior year catastrophe events, there remain a few positions in the portfolio which are valued at below their original cost, but the majority of positions are now showing positive gains which is encouraging for the fund’s future returns.

Interestingly though, the share price for this Nasdaq listed mutual ILS fund dipped by around -0.7% in mid-June, which is the largest dip in value since October 2018.

Whether this suggests some loss creep impact for a position the fund is invested in, we can’t be certain at this time. But it is possible, given recent increases in industry loss estimates from events from typhoon Jebi, to hurricanes Michael and perhaps even Irma.

That said, this isn’t particularly significant anyway and is quite a minor dip if it is related to loss creep, which should be recovered quickly as wind season risk premia picks up over the coming weeks.


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