The ILS holdings of Indiana Public Retirement System (INPRS) stood at $129mn as of 30 April 2024 as it continues the wind-down of its portfolio with varying returns, materials from its June board meeting showed.
The total amounted to 0.3% of total fund assets of $48.8bn.
The ILS investment was lower by 24%, compared to $170mn as of 31 January 2023. At that point, the ILS holdings accounted for 0.4% of total fund assets of $46.3bn.
The state scheme has invested with several ILS managers in past years but moved to redeem its holdings in Nephila in 2019, and from Aeolus in November 2022. It also invested with Hudson Structured Capital Management (HSCM), which has put its flagship fund into run-off.
The INPRS scheme’s largest ILS holding is still its allocation to the HSCM Bermuda Fund, which stood at $113.4mn as of 30 April, down 10% on $126mn as of 31 January 2023.
This delivered a loss of 2.4% for the fiscal year-to-date 2024 (1 July 2023 to 30 April 2024).
In contrast, the fund made some run-off gains from its Aeolus holdings, which have reduced to $15.6mn in the Aeolus Keystone PF Fund as of 30 April, down 65% compared to $44mn as of 31 January last year.
The Aeolus allocation delivered 9.2% for the pension fund’s fiscal year-to-date 2024 (1 July 2023 to 30 April 2024).
The smallest residual ILS holding is the allocation to Nephila’s Palmetto Catastrophe Fund, which has been in run off since 2019 and stood at $21.5k as of 30 April. It delivered a loss of 3.3% in the fiscal YTD.
INPRS initially allocated to ILS in 2015, with $50mn allocations each to Aeolus and Nephila.
It awarded $100mn to HSCM in 2019, as it looked to expand beyond cat risk while redeeming from Nephila in the same year.
INPRS moved to redeem $81mn of assets from Aeolus in November 2022.