07 May 2019

ILS Funds - Valuation

ILS Funds typically invest in a spectrum of assets that may range from catastrophe bonds to private collateralised reinsurance structures. This memo contains detailed guidance on a robust ILS valuation framework consistent with our Alternative Investment Standards.

In many cases independent pricing may not be readily available and valuation of these assets will be overseen by the asset manager. Further complications may arise where underlying securities are impacted by loss events such as hurricanes. This means it is important for ILS Fund managers to have a robust valuation policy in place.

This memo addresses the following:

  • Key features of a robust valuation framework including governance, consistency, and disclosure,
  • Valuation Policies, and
  • ILS specific valuation issues including dispersion of loss estimates, differences in valuation approaches, and side pockets.

The memo also provides key due diligence questions for investors in ILS Funds.