Mutual cat bond and ILS funds correct in post-Milton NAV adjustments

Having shown a divergence in manager strategies as NAVs moved in different directions at times and by different amounts as hurricane Milton approached, the US mutual investment funds that allocate to catastrophe bonds and other insurance-linked securities (ILS) diverged again at pricing on Friday, but have since stabilised having incorporated post-landfall net asset value adjustments.

Stone Ridge Asset Management had marked its two dedicated catastrophe bond and ILS funds down harder and further than other mutual fund managers, as hurricane Milton approached, so it was unsurprising to see a strong recovery for these funds on Friday.

Remember that, as these mutual cat bond and ILS funds priced their net asset values (NAVs) on Friday, they had the benefit of insights from catastrophe bond pricing sheets and also the cat bond market index to assist.

FULL ORIGINAL PUBLICATION HERE

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