You can track the Eurekahedge ILS Advisers Index here on Artemis, consisting of the USD hedged variation of the index. It consists of a similarly weighted index of 28 constituent insurance-linked investment funds which tracks their efficiency and is the first benchmark that enables a contrast between different insurance-linked securities fund supervisors in the ILS, reinsurance-linked and disaster bond financial investment space.
Personal insurance-linked securities (ILS) funds, that purchase collateralised reinsurance and retrocession, were the primary destination for loss creep from typhoon Ida in September, as a number had to add to their reserves for the loss event.This drove the personal ILS and collateralised reinsurance section of the ILS fund market to a negative September, while on the other side of it, the pure catastrophe bond funds took advantage of some recuperated value as expectations of Ida losses to certain feline bonds enhanced.
According to the Eurekahedge ILS Advisers Index measurement of ILS fund performance, the average ILS fund was down -0.47% for September 2021.
That followed a negative August on the initial hit, which turned out to be -0.43%, so the ILS fund market has actually taken a bigger hit in September from hurricane Ida, than in the month the storm really made landfall.
The reason for this is how near completion of August Ida happened, that made preliminary loss chooses tough and has resulted in loss creep through September.
Theres a chance of more loss creep for some ILS funds for October as well, as the markets expectations of market loss levels have actually continued to increase.
For September 2021, a variety of the private ILS funds needed to discount their portfolios on rising hurricane Ida loss expectations and with market loss expectations now varying from $35 billion to as much as $45 billion, the cyclone is set to be one of the most pricey on record for the ILS market it now seems clear.
For September, subgroup of funds tracked by ILS Advisors and whose methods consist of personal ILS or collateralized reinsurance offers was up to a typical decrease of -0.90%.
European windstorm Bernd and the associated flooding was another factor in the efficiency of private ILS funds in September, with some loss creep evident there.
Conversely, pure disaster mutual fund as a group gained 0.23% in September, with some recovery in secondary values helping in this, although some other positions did decline a little more on Ida exposure.
In total, 14 of the ILS funds represented in the Eurekahedge ILS Advisers Index reported positive returns for the month of September 2021, while 15 were unfavorable.
The efficiency variety was plain once again in the last month, with a massive gulf in between the worst carrying out fund that reported a -6.3% decrease, to the most positive that reported +2.4% efficiency.
Year-to-date, to the end of September, the space between private ILS funds and pure cat bond funds continued to stretch also.
Since September 30th, cat bond funds as a group were up 1.77% typically, while personal ILS funds were down -0.83%.
ILS Advisers also highlighted the challenges now faced by some ILS funds, with loss creep taking place at this stage of the year and considerable capital looking set to be caught into the year-end renewals.
On the other side of the market, in disaster bonds, the outlook for capital raising and supporting end of year deals appears far more positive, with the favorable returns still used even after such big catastrophe events set to stand the cat bond sector in great stead entering into 2022.