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.– .– .

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