City of Zurich Pension Fund ILS allocation expands to ~$960m

The allocation to the insurance-linked securities (ILS) asset class by the City of Zurich Pension Fund has continued to expand, reaching approximately US $960 million by the end of March 2024, with mandates now with eight investment managers across life and P&C reinsurance investments.

The City of Zurich Pension Fund remains very close to target in the weighting of its allocation to the ILS asset class.

The pension has a target range of between 1.5% and 7% for its allocation to insurance-linked securities (ILS), but sees 4% as the optimal.

As of the end of March 2024, the City of Zurich Pension Fund ILS allocation was standing at 4.1% of its overall assets, so very close to the optimal target.

When we last wrote about this pension investor in ILS, the City of Zurich Pension Fund had just over US $700 million allocated by the end of 2022 to the asset class.

It now transpires that the pension investor had added allocations to Schroders, Pillar Capital and RenaissanceRe at the end of 2021. Then at the end of 2022, the pension added new allocations to life insurance-linked investment strategies managed by Broadriver and Miravast.

Most recently though, the City of Zurich Pension Fund added an allocation to a fund managed by Hiscox ILS in September 2023.

The pension fund has been investing in insurance-linked securities (ILS) since 2017, having begun with life settlement allocations with Broadriver and Miravast, before adding its first P&C ILS fund allocation to Elementum Advisors in June 2019, after which an allocation to a SCOR Investment Partners ILS strategy was added in January 2021.

The pension fund invests in ILS for its diversification properties, finding them a valuable alternative source of returns.

At April 5th 2024, the City of Zurich Pension Fund had total assets amounting to CHF 21.12 billion.

With the ILS allocation accounting for 4.1% of the total at March 29th, according to disclosures on the pensions website, it equates to roughly CHF 866 million, which converts to around US $960 million.

At that level of investments into ILS the Swiss pension fund is one of the largest single investors in the country.

A number of Swiss pensions pulled-back from ILS through recent years, having suffered from losses at the time when the reinsurance market was at its softest.

By persisting with its allocation and even growing it, the City of Zurich Pension Fund will have benefited significantly from the performance of its P&C ILS fund investments through 2023 and also the first-quarter of 2024.

View details of major pension fund and sovereign wealth investors in ILS and reinsurance in our directory.