Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Twelve Capital: No impact expected to Twelve ILS Fund from Sandy


Another insurance-linked securities investment manager has come forward to discuss the impact or otherwise of hurricane Sandy on their investment portfolio. Swiss based Twelve Capital, who operate a number of investment opportunities in ILS, catastrophe bonds, private ILS and subordinated insurance bonds, have told us that based on their latest analysis they don’t expect an impact to any of the positions they hold in their flagship Twelve ILS Fund.

In an update, Twelve Capital said that their greatest concern from Sandy was the possibility of longer term business interruption caused by widespread damage to power lines and transit systems, and damage caused by coastal flooding driven by storm surge.  However they noted that damage to residential property from flooding should be recovered under the National Flood Insurance program, lessening the impact on insurance and potential for impact to their investment fund.

In order to assess the damage from Sandy and potential impact on the Twelve ILS Fund, Twelve Capital have carried out their own analysis and modelling on the cat bonds held within their portfolio. At first, this analysis indicated that there were four bonds within the Twelve portfolio, totalling $2.8m and accounting for 4.3% of the funds NAV, that were potentially a concern. However, after further analysis using the latest available insight and data yesterday the results showed Twelve Capital that these cat bonds are most likely safe.

Daniel Grieger, a Partner at Twelve Capital, told us that according to their most recent analysis, none of the cat bonds held in the Twelve ILS Fund portfolio seemed to be impacted by Sandy.

Once again we have to stress that it is still early days and the true extent of Sandy’s loss will be better understood in the days and weeks to come.

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