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Markel Catco sets Fort McMurray reserve

Markel Catco said Canadian wildfire claims will lower the net asset value (NAV) of its Catco Reinsurance Opportunities Fund by 1 percent or about $3.5mn.

The manager has created a specific loss reserve for the event after previously saying it expected attritional loss reserves to absorb the claims.

The company said it anticipated any further loss development above the 1 percent loss threshold to be absorbed by these attritional reserves.

Markel Catco began reserving for attritional losses on a regular monthly basis this year, allowing for a 15 basis points (bps) reduction to NAV per month - or 1.8 percent per annum.

It made the change to avoid reporting a cluster of small losses late in the year.

After accounting for the wildfire reserve, the London-listed fund made a 0.05 percent gain in NAV per share over the month of June.

This followed the announcement from Blue Capital Reinsurance Holdings, the New York-listed fund run by Endurance subsidiary Blue Capital, that it expected $5.1mn in Q2 losses from a variety of cat events.

The insurance-linked securities (ILS) market will also take claims from the Canadian wildfires through reinsurer sidecars.

On the retro side, as well as Catco's pillared product some ILS funds may bear losses from regional industry loss warranties.

However, at a recent Guernsey ILS Insight event, speakers agreed the Canada loss would only have a minor impact on ILS participants.

Des Potter, head of Emea at GC Securities, said that the level of losses budgeted for sidecars in the first half of 2016 was probably running ahead of plan.

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