DCG IRIS Limited DCG IRIS Limited April 2014 Monthly Report (9187J)

TIDMIRIS

RNS Number : 9187J

DCG IRIS Limited

18 June 2014

DCG IRIS Limited (the "Company")

April Net Asset Values

As at 30 April 2014, the final net asset value of the Company's ordinary shares is as follows:-

Ordinary Shares

 
 Share class     Final NAV     MTD Performance   YTD Performance 
                  30 April      (Total Return)    (Total Return) 
-------------  -------------  ----------------  ---------------- 
 Sterling 
  shares        98.21p (XD)        +0.13%            +0.98% 
-------------  -------------  ----------------  ----------------

This valuation, which has been prepared in good faith by the Company's administrator, is for information purposes only and is based on the unaudited final valuation supplied by the administrators of the Company's underlying investment. Both a weekly estimate and a monthly valuation of the underlying investment may be produced as at valuation dates which do not coincide with valuation dates for the Company, may be based on a valuation provided as of a significantly earlier date, may differ materially from the actual value of the Company's portfolio and is unaudited or may be subject to little verification or other due diligence and may not comply with generally accepted accounting practices or other generally accepted valuation principles. The Company's administrator may not have sufficient information to confirm or review the completeness or accuracy of information provided by the administrators of the Company's investments.

Other risk factors which may be relevant to this valuation are set out in the Company's prospectus dated 12 November 2012.

Monthly Portfolio Review

Portfolio Commentary (provided by Credit Suisse AG, the manager of the Master Fund)(1)

Performance: The Company returned 0.13% (net of fees) in April, driven by the private transactions. The pace of issuance in the cat bond primary market picked up over the course of April, with around $900m of notional and four deals closing. While most of these deals were exposed to risks in the US, we did see a first time issuer bring some European exposure to the securitised market. A large pipeline of deals has also been announced, and these are expected to close during the month of May. The focus for April was on finalising deals from the Japanese renewal and planning the US renewal. We had numerous meetings with existing cedents, as well as potential new partners, to discuss investment opportunities.

Large Catastrophic Events: The Chilean earthquake that struck on 1 April was described in detail in the event report released shortly afterwards. The latest estimate of the economic damage resulting from this event has been reduced and is currently $100m. The US experienced series of severe tornado touchdowns with an intensity of EF-3 or greater. Insured losses in the Mississippi Valley and the Midwest are estimated to be in the hundreds of millions of dollars. On 11 April, cyclone Ita made landfall on Australia's northeast coast as a category 4 cyclone with maximum sustained winds of around 100mph. Given the relatively small size of the storm and the sparse population where it made landfall, damage was limited. We will continue to monitor the impact of these events and keep investors advised of significant changes in the insured losses in future reports. While the full impact of these loss events is still uncertain, we do not anticipate an impact on fund performance at current industry loss estimates.

Trading: The fund added cat bond exposure in both the primary and the secondary markets. The new trades from the Japanese renewals came on risk from the beginning of April and the portfolio reflects our successful Japanese renewals. The fund also had the opportunity to add some UNL exposure in both the US and Europe. In addition, we deployed capacity on a homeowner's book with exposure to California earthquakes. We also successfully renewed exposure to the top layers of some large international programs in April.

Outlook: The team will be busy over the month of May with the US renewal. 1 June marks the start of the US hurricane season and is one of the key renewal dates in the reinsurance industry. We also anticipate a flurry of activity in the cat bond market over the course of the month. There have already been several announcements of new cedents coming to the market with Florida and Gulf wind-exposed bonds. Overall spread compression continues to be the trend, with the market anticipating premium reduction of between 15-20% in Florida. Given market conditions and the approaching US hurricane season, we will be selective and considered in our participation in the upcoming renewal.

(1)Portfolio commentary compiled at the end of the month being reported on.

Supplementary Information

Click on, or paste the following link into your web browser, to view a full review of the DCG Iris portfolio.

http://www.rns-pdf.londonstockexchange.com/rns/9187J_-2014-6-18.pdf

This information is provided by RNS

The company news service from the London Stock Exchange

END

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