Amundi Pioneer ILS Interval Fund shrinks cat bond & ILW allocations

The value of insurance-linked securities (ILS) held in the dedicated mutual ILS investment fund operated by Amundi US Investment Management, the Pioneer ILS Interval Fund, has declined by some 15% in the quarter to end of January 2022.

ILS securities held by the interval style mutual fund were valued at $835.7 million as of January 31st 2022, down from almost $979.3 million at the end of October 2021.

Overall, total net assets for the Amundi Pioneer managed Interval ILS fund shrank some 9%, from almost $983 million at the end of October 2021, to $892.2 million at the end of January 2022, with short-term assets held making the difference in terms of the percentage decline.

However, while the overall fund portfolio has now shrunk back to levels last seen in Q4 2020, the Amundi Pioneer ILS funds investments in reinsurance quota share sidecars and collateralized reinsurance have been relatively static through the last quarter, while its allocations to catastrophe bonds and industry loss warranties (ILW’s) shrank fastest.

Of course, the quarter to end of January 2022 includes the all-important January reinsurance renewals, at which Amundi Pioneer will have renewed commitments to many of its core sidecar partners, which might explain the evident focus in that segment.

Over the last quarter of record, as of the end of January 2022, the Amundi Pioneer ILS Interval Fund (XILSX) had reduced its catastrophe bond holdings by roughly 37% to just over $153 million.

Over the same three month period, the ILS funds holdings in industry loss warrants (ILW’s) had shrunk faster, falling 79% to only $9.16 million.

At the same time, the reinsurance sidecar component of the ILS fund only shrank by 3% to $525.4 million of investments, while its collateralized reinsurance allocation dipped just 1% to $147.8 million.

The fund saw a relatively high level of catastrophe bond maturities during the period, while also seeing one large ILW investment mature as well, explaining some of the churn in those types of assets.

But there also appears to be evidence of the manager becoming very selective in the current reinsurance market environment, not investing in as many new cat bonds during the period and not adding new ILW exposure, while renewing some core sidecar and collateralized commitments.

The Amundi Pioneer ILS Interval Fund had almost $60 million of short-term investments in its portfolio at the end of January as well, which it may have been able to deploy some of in the last couple of months.

It will be interesting to see what direction the funds assets move in over the next quarter, once that is reported.