Cat bond index update: Small rebound in pricing in January

by Artemis on February 14, 2011

It’s been a month since we last looked at the Swiss Re catastrophe bond indices to see what they signal as to the health of the market. The downward trend in pricing which was experienced through all of December has halted and a small rebound in pricing has been seen through January.

It’s been a fairly slow start to the year for catastrophe bond issuance after the busy last quarter of 2010. So far two deals have come to market, a new issuance by Successor X Ltd. for Swiss Re and another issuance from Foundation Re III Ltd. for The Hartford. There have been some cat bond maturities for the market to digest too, with Fremantle Ltd., Redwood Capital XI Ltd. and Newton Re (which defaulted on final payment) all completing.

So there’s been some signs of investors money being put back into the market and adjustments of portfolios held which is believed to have contributed to the slight rise in pricing seen.

First, we look at the Swiss Re Global Cat Bond Performance Price Return index, tracking the price return for all outstanding USD denominated cat bonds (which you can quote and chart through Bloomberg here). This index saw declines right through the last two months of 2010 but has rebounded to close on the 11th February at 98.34.

Swiss Re Global Cat Bond Performance Price Return Index

Swiss Re Global Cat Bond Performance Price Return Index

Next we look at the Swiss Re Global Cat Bond Performance Total Return index, tracking the total return of the basket of natural catastrophe bonds (which you can quote and chart through Bloomberg here). This index has continued its rise from last year. It’s latest close was at 213.09 on 11th February.

Swiss Re Global Cat Bond Performance Total Return Index

Swiss Re Global Cat Bond Performance Total Return Index

We’ll continue to update you on the performance of these indices, which act as a basic indicator of health and sentiment in the market, over the coming year.

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