Most mutual cat bond & ILS funds slid a little further on Milton’s final approach

Most of the 1940’s Act registered US mutual investment funds that allocate to catastrophe bonds and other insurance-linked securities (ILS) reduced their net asset values (NAVs) a little further yesterday as hurricane Milton approached.

Across the main four funds, operated by Stone Ridge Asset Management and Amundi US, the catastrophe bond focused strategies averaged -4.9% down over the last five days, while the interval funds that invest across a broader range of reinsurance instruments were averaged down -5.01%.

There are some differences and alternative asset manager Stone Ridge took a more aggressive approach to marking its mutual ILS funds for potential losses from hurricane Milton, it appears.

Yesterday, the more catastrophe bond focused Stone Ridge High Yield Reinsurance Risk Premium Fund strategy fell a further -1.03%, leaving it down -6.91% in five days.

Meanwhile, the Stone Ridge Reinsurance Risk Premium Interval Fund which allocates across the spectrum of ILS and reinsurance-linked assets with a particular focus on sidecars and private quota shares, as well as other collateralized reinsurance arrangements, dropped a further -1.28% yesterday, leaving it down -7.67% in the last five days.

At Amundi US, the Pioneer CAT Bond Fund fell -0/8% yesterday, leaving it down -2.94% over the five day period.

The Pioneer ILS Interval Fund, that allocates to strategies across quota shares, sidecars and collateralized reinsurance as well, fell a further -0.21% yesterday, leaving it down -2.36%.

It will be interesting to watch how things develop, especially once the pricing sheets are in for catastrophe bonds and by next week some greater clarity should be available over potential for impacts to other reinsurance positions these mutual ILS funds hold in their portfolios.

Conversely, the Ambassador US mutual catastrophe bond fund strategy, operated by advisor Embassy Asset Management, marked its cat bond fund up for the second day in a row, by 0.39% yesterday, leaving it down -1.06% over the five days.

So, across the mutual catastrophe bond funds there are a wide range of five-day moves, from as low as -1.06% to as high as -6.91%.

The true impact to the market is likely somewhere within that range, but where exactly it falls for the mutual funds remains to be seen, however we’d expect some might recover some ground.

Also read:

– Cat bond funds can still finish the year positively: Twelve Capital’s Wrosch.

– Hurricane Milton losses likely below a 5% cat bond market impact: Icosa Investments.

– Hurricane Milton: Pre-landfall broker loss estimates ranged $15bn to $40bn.

– Hurricane Milton Cat 3 landfall in Sarasota. Worst case Tampa loss scenarios avoided.

– Hurricane Milton: Insurance, reinsurance, cat bonds, ILS ready to respond.

– Some mutual cat bond and ILS fund NAVs fall further on hurricane Milton threat.

– Hurricane Milton industry loss at $25bn+ changes pricing narrative: Goldman Sachs.

– Hurricane Milton cat bond loss potential still in wide range: Icosa Investments.

– Hurricane Milton seen denting cat bond market -1.4% (excl. surge): Plenum.

– 33% chance hurricane Milton loss above $50bn. Would drive hard market: Euler ILS Partners.

– Hurricane Milton Cat 5 again. Tracks slightly south. Uncertainty still high, loss range wide.

– Safe to say hurricane Milton likely a $20bn+ insurance market event: Siffert, BMS.

– Hurricane wind speeds forecast across entire Florida Peninsula as Milton approaches.

– Mexico’s catastrophe bond presumed safe from hurricane Milton.

– Stone Ridge leads managers cutting mutual cat bond or ILS fund NAVs on hurricane Milton.

– Hurricane Milton could be a huge test for the entire (re)insurance market: Evercore ISI.

– Hurricane Milton losses could amount to tens of billions, but uncertainty high: BMS’ Siffert.

– As hurricane Milton intensifies, Mexico’s catastrophe bond comes into focus.

– Material hurricane Milton losses could change 2025 property reinsurance price trajectory: KBW.

– Cat bond & ILS managers explore options to free cash, as hurricane Milton approaches.

– Hurricane Milton: First Tampa Bay storm surge indications 8 to 12 feet.

– Hurricane Milton is biggest potential ILS market threat since Ian in 2022: Steiger, Icosa.

– Hurricane Milton forecast for costly Florida landfall. Cat bond & ILS market on watch.