With one other week of insights gathered on the potential for any losses from hurricane Milton, because of industry loss estimates and catastrophe bond pricing, the web asset values (NAVs) of US mutual investment funds that allocate to catastrophe bonds and other insurance-linked securities (ILS) were mostly marked up again at the top of last week.

As we’d reported, for 3 days in a row, a number of the asset managers with ILS strategies within the mutual fund format cut their NAVs after hurricane Milton, as they grappled to grasp the potential impacts and losses that could possibly be faced.

Then, corrections were made after the primary catastrophe bond pricing got here available and as estimates of insurance and reinsurance market losses began to be announced.

Now, with further inputs gained last week and the extra input of latest secondary cat bond pricing last Friday, further corrections have been made, with nearly all of funds marking their NAVs higher again.

First, Stone Ridge Asset Management and initially this alternative asset manager had made probably the most significant cuts to the NAVs of its two dedicated cat bond and ILS funds as Milton approached landfall.

The more catastrophe bond focused of its strategies, the Stone Ridge High Yield Reinsurance Risk Premium Fund, was marked down as much as -6.92% by October ninth, but since then has made a gentle recovery.

As more clarity and pricing information emerged, this strategy made a gentle recovery and stood only -1.94% lower than before Milton by pricing on October fifteenth.

As of pricing on Friday 18th October further increases to NAV were made and at the top of last week this cat bond focused fund stood -1.08% lower since before Milton.

The Stone Ridge Reinsurance Risk Premium Interval Fund that allocates capital across the spectrum of ILS and reinsurance-linked assets, with a specific give attention to sidecars and personal quota shares, in addition to other collateralized reinsurance arrangements, had been down as much as -7.67% as of October ninth.

It had recovered to simply -2.66% down since before hurricane Milton as of October fifteenth after which by the top of Friday 18th it had recovered further to be just -1.62% because the pre-landfall adjustments for the storm began to be made.

It’s price noting that there’s an accumulation of spreads every day that can be helping to scale back the decline attributable to Milton, however it’s clear that Stone Ridge is taking a view that losses from hurricane Milton will likely be much lower than first anticipated, which is similar as what we’re seeing across other ILS funds, reminiscent of the UCITS cat bond funds we wrote about earlier today.

Moving on to take a look at investment manager Amundi US’ Pioneer-branded dedicated ILS funds, its dedicated catastrophe bond fund, the Pioneer CAT Bond Fund, had been -2.94% down on hurricane Milton by pricing on October ninth.

A gentle recovery was seen after which once we last reported on it, the web asset value (NAV) stood at just -0.86% down because it began moving when hurricane Milton intensified and headed for Florida.

Now, as of pricing on Friday 18th, a very strong recovery now sees the Pioneer CAT Bond Fund NAV only -0.09% lower since before Milton marking began.

Amundi US’ other mutual ILS strategy, the Pioneer ILS Interval Fund, that allocates to strategies across quota shares, sidecars and collateralized reinsurance as well, had fallen as much as -2.36% at one stage after Milton.

It recovered, then fell again and stood -2.15% lower as of October fifteenth. But at pricing on Friday 18th, this ILS funds NAV rose further, leaving it -1.54% since before Milton.

So the 2 interval style mutual ILS funds, of Stone Ridge and Amundi US, are actually fairly aligned of their Milton mark-downs. However the cat bond funds differ somewhat, with Stone Ridge having held its strategy barely lower while Amundi US has recovered nearly all of the initial Milton mark-down already.

We said ‘mostly’ within the headline to this piece, as one strategy continues to maneuver in a different way to the others.

The Ambassador US mutual catastrophe bond fund strategy, operated by advisor Embassy Asset Management, had seen an initial -2.41% decline as hurricane Milton approached Florida starting on October seventh, but had then recovered lots of that back again and was only -0.1% down since before Milton NAV moves began as of October 14th’s pricing.

But, the Ambassador cat bond fund was marked more heavily on Friday 18th October, by -0.77% which now leaves it at -0.87% since before hurricane Milton first threatened.

It’s been interesting to look at how these mutual cat bond and ILS funds moved as hurricane Milton first threatened, then because the landfall location and wind speeds became clear, again as the primary pricing of cat bonds and industry loss estimates emerged, and once more as additional data became available to tell any loss picks and asset pricing decisions.

It shows the differences in strategy, between different managers, however it also shows an alignment between the pricing at times as well and the movements which have occurred are also aligned with how other sorts of ILS funds have adjusted their NAVs, reminiscent of the UCITS catastrophe bond fund strategies and the way the Swiss Re cat bond market index moved.

Continued adjustments are more likely to be seen as more information and eventually loss reports turn out to be available, but these are more likely to prove harder to see over time because the funds will proceed to accrue spreads and premiums from the catastrophe bonds and reinsurance contracts they put money into, which given ongoing performance levels are high may begin to mask the small additional adjustments investment managers make as a consequence of Milton to their mutual ILS fund NAVs.

Finally, once more it’s price reiterating that at the degrees of decline seen as a consequence of Milton, the negative effect of the hurricane has been absorbed inside around one month at most, much less in some cases, of the strong performance seen in cat bond and ILS funds at the moment of yr.

Read all of our hurricane Milton coverage.