PGGM / PFZW ILS portfolio shrinks 6% to US $8.35bn in first-quarter of 2024

The portfolio of insurance-linked securities (ILS) and reinsurance investments managed by PGGM, the Dutch pension investment manager that allocates the largest amount to the insurance-linked securities (ILS) market on behalf of end-client the Dutch pension PFZW, has shrunk in size by roughly 6% over the first-quarter of 2024.

According to the latest quarterly data published by Dutch pension fund for the care and healthcare sector PFZW, the insurance-linked securities (ILS) investment portfolio was EUR 7.724 billion in size at March 31st, which at that date was equivalent to roughly US $8.35 billion.

It’s down approximately 6%, in euro terms, from the EUR 8.219 billion of ILS assets reported by the pension at December 31st 2023, which at the time was just slightly over US $9 billion.

As a result, the PFZW ILS allocation made up 3.2% of its overall assets at March 31st 2024, down from 3.5% of assets.

That decline, in terms of the allocation size versus all other asset classes PFZW’s assets are allocated to, is understandable as the ILS portfolio had been running ahead of its target allocation size for some time.

A year ago, at the end of Q1 2023, the allocation was even more over-weight at 3.7% of PFZW’s assets.

The PGGM managed ILS investment portfolio delivered a stronger return for the first-quarter of 2024, at 3.2% for the period.

That’s up on the 2.9% return earned for the first-quarter of 2023.

Recall that, as we reported last week, the portfolio of insurance-linked securities (ILS) and reinsurance investments managed by PGGM delivered a record 18.9% return to its client PFZW in 2023.

It’s not immediately clear where the fluctuation in ILS portfolio size has come from, as PGGM allocates across multiple ILS managers and reinsurance sidecars, as well as through its private mandate vehicle Nightingale Re.

While the euro value of the ILS portfolio may be down by 6%, given the efficient access points to the reinsurance market that PGGM has developed over time, it’s entirely possible the exposure base has not changed significantly, even with the amount of assets deployed is down.

PGGM’s ILS investment team has been working to keep the portfolio of assets closer to the allocation targets it has been set, so this decline in euro value will be assisting in that regards.

PGGM remains the largest single investor listed in our directory of pension funds and sovereign wealth funds investing in ILS and reinsurance.