Ambassador mutual cat bond fund hits $191m, adds more ILW investments

The Ambassador mutual catastrophe bond fund strategy has continued to grow its assets under management in recent months, adding $63.3 million since we last reported on it, to reach $191 million in net assets under management.

The Ambassador Fund was launched in the third-quarter of 2021 by investment manager Embassy, which has a focus on non-correlated strategies and delivering income to its clients.

It became the latest in a string of US mutual investment fund structures with a focus on providing clients with access to investments in catastrophe bonds and insurance-linked securities (ILS).

The Ambassador Fund began allocating capital to catastrophe bonds in the quarter to April 30th of 2023, while also renewing its first private ILW arrangement.

The mutual cat bond fund’s total net assets had reached just over $82.1 million at April 30th 2023, but then rose further to $100.6 million at July 31st 2023, surpassing the all-important level required to qualify as a QIB, or qualified institutional buyer, so it could be directly sold securities via a private placement under Rule 144A, opening up the pipeline of cat bond issuance to the Ambassador fund.

Also in that quarter to July 31st, the Ambassador Fund allocated to its second industry-loss warranty (ILW) investment, taking a second preferred note under the Consulate Re vehicle.

Over the next quarter of record, to October 31st 2023, the Ambassador Fund grew further and its total assets increased by around one-third, to reach $127.7 million.

Now, we’ve learned that the growth continued and the Ambassador Fund benefited from more inflows to its catastrophe bond focused strategy around the end of the year, which have also continued in 2024 as well.

By January 31st, the next reporting juncture for the mutual fund, the Ambassador Fund had reached almost $164 million in total net assets, based on investments valued at $171.2 million plus a certain amount of liabilities that reduces the net.

Catastrophe bonds continued to make up the majority, at more than $127 million at January 31st 2024.

But, the Ambassador Fund has entered into three more investments into private ILS arrangements under the Consulate Re structure, which presumably will be industry loss warranties (ILW’s) as those invested in during 2023 had been.

Now, the Ambassador Fund portfolio still has the Consulate Re 2023-2 investments from last year, but also has Consulate Re 2024-1, Consulate Re 2024-2, and Consulate Re 2024-3 investments as well.

2024-1A is a US multi-peril arrangement, where as the other two are global multi-peril. As said, we assume these are preferred notes underpinning ILW arrangements, although cannot be certain.

Having reached $164 million in total net assets at January 31st, the Ambassador catastrophe bond fund continued to grow in February and we understand its total net assets under management had reached $191 million by the end of February 2024.

Given the pace of growth for the cat bond fund strategy, there is every chance that the Ambassador Fund will have surpassed $200 million in assets by now.