Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Average catastrophe bond & ILS issuance expected loss, coupon and spread by year

This chart shows catastrophe bond and insurance-linked securities (ILS) issuance from The Artemis Catastrophe Bond & Insurance-Linked Securities Deal Directory broken down by the average expected loss and coupon seen in each year of catastrophe bond issuance. We also display the excess spread, so the gap between expected loss and coupon. With this chart you can see what the average expected loss and coupon pricing were for each year of issuance, including the current year-to-date, as well as the spread between the two and how that changes over time.

Further down this page we also include a chart showing the same metrics, of catastrophe bond expected losses, coupons and the spread between them, by quarter, which better shows recent pricing trends in the market.

View our full range of catastrophe bond market charts here.


Cat bond expected loss, coupon and spread by quarter

We also wanted to provide this information by quarter for recent years, as it more clearly shows changes in price and investor returns in the catastrophe bond market.

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All of our Artemis Live insurance-linked securities (ILS), catastrophe bonds and reinsurance video content and video interviews can be accessed online.

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The data to create this chart is taken from the Artemis Deal Directory so does include some private catastrophe bond transactions, as well as any life, mortality or longevity deals we have tracked. Every effort has been made to accurately reflect the size of the catastrophe bond market and the amount of risk capital outstanding by coverage type.

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Leadenhall Capital Partners LLP

GC Securities

Schroders Capital - Insurance-linked securities ILS

Aspen Insurance Holdings


Computershare Corporate Trust

Hiscox ILS (home)

Credit Suisse Insurance Linked Strategies