There was a negligible effect on the fund’s performance from mark-to-market price changes for US hurricane exposed bonds, with performance being mainly impacted by coupon payments and accrued interest.

During July, a new cat bond was issued covering earthquake risk in western areas of the US, together with parts of Canada and Mexico. The bond was structured with a parametric trigger reacting to earthquakes of a pre-set magnitude corresponding to cells within a geographical grid. The latest Twelve Capital cat bond lite transaction (“Dodeka VII”) was structured during the month. This bond covers multi-peril risks in the US, and can only be triggered if at least two events of a pre-defined loss level occur during the risk period of the transaction. Such risks are not typically accessible in the public cat bond market. As is common during the summer, primary market issuance activity for cat bonds over the next few months is anticipated to be lighter than in the first half of the year. Activity is likely to pick up again during Q4. Over the next few months, bonds exposed to hurricane risk are likely to benefit from a positive mark-to-market P&L, unless a natural disaster occurs. In terms of short term pricing dynamics, we do not anticipate any material changes to be seen on a risk-adjusted basis over the summer months, provided that no significant event impacts the ILS space.