The Swiss Re Insurance-Linked Investment Advisors Corporation (SRILIAC) team, the catastrophe bond focused investment management arm of the global reinsurance firm, spent the month of May cleaning less liquid and private transactions from the GAM Star Cat Bond Fund portfolio, Artemis can report.Having taken on portfolio management duties for the GAM Star Cat Bond UCITS Fund from May 7th 2025, after it was announced , the team there has reverted the fund strategy back to being purely focused on more public catastrophe bond investments.The previous manager of the strategy, the Fermat Capital Management team, had incorporated some private catastrophe bond transactions and private insurance debt positions in the GAM Star Cat Bond Fund while they were managing the strategy, up to the changeover of responsibilities to Swiss Re’s SRILIAC.Fermat had utilised private cat bond vehicles to transform reinsurance arrangements it had negotiated with major re/insurers, with the resulting private cat bond notes largely having secondary liquidity and being exchange-listed, we understand.

We’d written before about Fermat Capital Management being behind a number of the Eclipse Re private cat bonds in the past and we understand the GAM Star Cat Bond Fund included a number of positions, from this vehicle and others, at the time of the handover to SRILIAC.In May 2025, having taken on portfolio management responsibilities for the GAM Star Cat Bond strategy, the SRILIAC team said it has “cleaned” the fund’s portfolio of all legacy private and less liquid insurance-linked securities (ILS) transactions.Those transactions made up roughly 3% of net asset value at the time, so not a small amount of a fund that contained over $1.7 billion of assets around the time this portfolio clean-up was instigated by the new manager.

The process of removing those transactions from the portfolio is said to have gone smoothly, with no impact to the fund’s performance.While that was going on, the SRILIAC team also invested around US $100 million into newly issued catastrophe bonds in May and made additional secondary market investments amounting to US $15 million., meaning the SRILIAC investment management team seems to have had a particularly busy first month of managing the GAM strategy.

As of May 31st 2025, the latest portfolio disclosure for the GAM Star UCITS cat bond fund shows that its portfolio is now 100% public cat bonds, so likely predominantly or wholly 144A transactions we assume, with zero private ILS or debt securities.Looking back at a portfolio disclosure for the GAM UCITS cat bond fund from before Swiss Re’s team took on management duties, it’s clear that Eclipse Re private cat bonds continued to feature as a mechanism Fermat Capital Management had used to incorporate private and directly negotiated deals sourced from major insurance players.In addition, the portfolio also included some of the Seaside Re private cat bond deals that have been facilitated by reinsurance firm Hannover Re’s segregated accounts company Kaith Re Ltd., as well as private cat bonds from the Mangrove and Isosceles platform operated by Marsh and Guy Carpenter and some cat bond lite positions issued out of Artex-operated structures.

These privately placed and sometimes privately sourced and negotiated ILS transactions gave differentiation to the portfolio and a way for former-manager Fermat to access unique slices of risk that did not hit the public cat bond market.Private deals can be a way to add additional alpha, through risk selection and relationships that have been built with counterparties.But, while often listed and also technically being tradable, these private deals can also come with certain liquidity constraints, hence the SRILIAC team opting to clean them out of the GAM cat bond fund’s portfolio, it appears.

It’s not clear to us at this time whether these could have been transferred, or sold, back to Fermat, as the company that may have instigated or originated these private cat bond deals and so is perhaps best placed to put a price on them.However, it’s noteworthy that Fermat’s own UCITS cat bond fund strategy holds a number of similar private cat bond positions in the last portfolio disclosure we have seen.The GAM Star Cat Bond fund portfolio had also featured a few corporate debt instruments of insurers, which presumably were also removed or sold last month by the SRILIAC team.

As of the last net asset value reporting, the GAM Star Cat Bond Fund’s AUM stood at just under US $1.72 billion at June 9th 2025..All of our Artemis Live insurance-linked securities (ILS), catastrophe bonds and reinsurance can be accessed online.Our can be subscribed to using the typical podcast services providers, including Apple, Google, Spotify and more.