Swedish fund AP2’s ILS allocation rose in dollar terms by 152% to SEK9.2bn ($911mn) in 2023, while peer AP3’s allocation dropped 65% to SEK730mn ($72mn), as of 31 December 2023.
AP2’s ILS allocation accounted for 2.1% of the pension fund’s total AuM of SEK426bn ($42bn), up from 0.9% the prior year.
AP2’s largest ILS allocation in dollar terms was to Fermat GAM FCM fund, which at SEK3.7bn was up by 151% as of 31 December 2023, from SEK1.5bn the year prior.
AP2 also allocates to the Credit Suisse Iris S fund, with its holding growing 273% in dollar terms to SEK3.5bn last year, from SEK967mn in 2022.
Its allocation to Elementum’s Zephyrus Total Return Cat Bond Fund grew by 54% to SEK1.9bn from SEK1.3bn.
The fund’s report noted that investments in the alternative risk premiums segment, which comprises ILS, doubled at the start of 2023 and posted a return of 13%, including currency hedging, for the year.
AP2 attributed the performance to rising base rates combined with increasing premiums following Hurricane Ian in September 2022.
The AP3 fund does not disclose individual ILS fund holdings but noted its insurance risk investments delivered a return of 11.2% for the year, versus a loss of 3.1% in 2022.
ILS made up 0.1% of the overall AP3 fund of SEK499.8bn ($49.6bn) by 31 December 2023, which was 0.4 points lower than in 2022.