Florida Retirement System pension ILS assets dip 5% to $912m

The Florida Retirement System Pension Plan counted over $912 million of insurance-linked securities (ILS) and related assets under management as of the end of 2022, with the institutional investor continuing to expand the diversification within its insurance and reinsurance investments, thanks to longevity-linked life asset growth.

In fact, life settlements are the only segment of the insurance and reinsurance linked investment portfolio of the Florida Retirement System Pension Plan to have grown over at least the last year.

The pensions other investments in ILS and reinsurance, focused largely on catastrophe risks but also casualty, all shrank again in 2022, with losses reported for each allocation and likely hurricane Ian a significant driver of this decline.

The Florida Retirement System Pension Plan is the fifth largest pension fund in the United States, with roughly $180 billion of assets under management.

The Florida State Board of Administration manages the pension plan assets and has been allocating to ILS and reinsurance-linked investments since 2017.

This pension plan began its ILS investing with allocations to Nephila Capital’s vehicle Rubik Holdings, as well as a RenaissanceRe managed structure named Tintoretto Partners, L.P., a Delaware located reinsurance investment fund vehicle.

By the mid-point of 2018, those two allocations had together reached $117.5 million.

Over the next year, the Florida Retirement System Pension Plan added allocations to the Aeolus Capital Management run Property Catastrophe Keystone PF Fund, the Pillar Capital Management run Juniperus Insurance Opportunity Fund and the casualty run-off focused ILS Property & Casualty Fund II, which was linked to Credit Suisse and sub-advisor ILS Investment Management (ILSIM).

At the same time, the Florida pension significantly increased its allocations to the Nephila managed Rubik vehicle and RenRe managed Tintoretto.

The upshot being, that at the middle of 2019, the Florida pension counted over $661 million of ILS assets within its portfolio.

2020 saw the Aeolus allocation increased, a further allocation to RenRe’s Tintoretto and also the addition of a life settlements fund for the first time, with Miravest, as the pension looked to diversify within insurance and reinsurance.

At June 30th 2020, the Florida Retirement System Pension Plan had over $837 million of insurance-linked investments, almost $772 million of which were focused on P&C, largely property catastrophe reinsurance and retrocession.

2021 saw another increase of the Pillar Capital Juniperus allocation, which grew to over $250 million in size, while the Aeolus and RenRe Tintoretto allocations were also topped-up a small amount it seems, and the Miravest life settlements strategy also grew with a fresh capital injection.

At June 30th 2021, the pensions overall ILS and insurance-linked investments neared the billion dollar mark for the first time, at almost $968 million, of which over $862 million was P&C insurance and reinsurance linked.

In the next annual period to the mid-point of 2022, the allocation to the casualty ILS run-off fund continued to shrink away after its shuttering, while all of the catastrophe reinsurance and retro exposed strategies took losses during that period, but the Florida pension continued to expand its life settlements interest, with a second allocation to another Miravest managed fund.

By the end of June 2022, the Florida Retirement System Pension Plan counted overall ILS and insurance-linked assets of $961.1 million, with $809 million from catastrophe reinsurance and retro strategies (Aeolus, Nephila, Pillar, RenRe), while the life settlements component grew to $152 million.

The latest data we have, for the end of 2022 net asset values of each ILS allocation, shows a shrinking of the overall by around 5% through the second-half of last year.

Overall ILS and insurance-linked assets value fell to just under $912.4 million, of which almost $746 million was P&C related, again in the main catastrophe risks.

These catastrophe reinsurance focused strategies shrank the most, with an overall decline of around 8% through the second-half of 2022.

At just over $912 million, the ILS investments continue to make up roughly 0.5% of the $180 billion of assets managed for the Florida Retirement System Pension Plan by the Florida State Board of Administration.

We’ve also learned that the new life settlement allocation, to the Miravest ILS Credit Opportunities II LP fun, appears likely to grow, as the commitment made to it was for $150 million to be invested over-time, we understand.

The Florida Retirement System is just one of a number of pension funds and major ILS investors we track in our directories here.