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Stone Ridge start-up takes stake in Swiss Re sidecar

Start-up insurance-linked securities (ILS) fund manager Stone Ridge Asset Management has invested a significant sum in Swiss Re's Sector Re sidecar, according to a half-year report filed last week with the Securities and Exchange Commission.

Stone Ridge has almost doubled its net assets from $350mn to $695mn since reopening its two open-ended mutual ILS funds in February.

It was one of a handful of managers that gathered significant assets in the first half of 2013, as the July instalment of the investor list maintained by sister publication Trading Risk shows.

Stone Ridge's portfolio is mostly held in cat bonds across a range of perils, although the fund manager also took stakes in two sidecars - Swiss Re's Sector Re and PartnerRe's Lorenz Re.

Its Risk Premium Fund allocated $71.5mn to two different share classes of Sector and $2.3mn to Lorenz Re.

The High Yield Reinsurance Risk Premium Fund invested $28.5mn in Sector Re and $0.76mn in Lorenz Re. The latter fund has a higher allocation to US cat bonds in its ILS holdings.

Within its ILS portfolio, Stone Ridge took a particularly hefty allocation on the Bosphorus Re Turkish quake bond, investing $33mn in the $400mn deal from the Risk Premium Fund. It also made a significant investment in the second Caelus Re 2013 issuance from Nationwide Mutual, subscribing for $43mn across the two funds.

The Stone Ridge funds were sitting on significant cash piles by the end of April, with between 40 and 50 percent of the portfolios held in short-term money market funds.

As a mutual fund it would have to offer investors the option to cash out at short notice.

The Risk Premium Fund reported a 0.1 percent total return for the three months to April and the High Yield Fund delivered a 0.4 percent gain.

Stone Ridge was founded by Ross Stevens, who previously worked for Magnetar Capital, and Robert Gutmann, previously head of the Delta-One Synthetic Solutions Group at RBC Capital Markets.

Stevens was not part of Magnetar's reinsurance team, which has mostly now reunited at AQR.

RenRe draws in third party capital to Medici

RenaissanceRe has taken in third party capital to its Medici ILS fund for the first time, although the reinsurer remains the majority investor in the fund. The reinsurer reported assets of more than $100mn in the fund at the end of June, up from roughly $70mn at the start of the year.

RenRe is one of a number of reinsurers that manage third party capital through separate asset management divisions.

For the full investor list, see this month's edition of Trading Risk at www.trading-risk.com.

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