Swiss Re Insurance-Linked Fund Management

Xactanalysis Insights and PCS

Cat bond fund index recovery from Ian continues, with 0.60% weekly gain

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Catastrophe bond funds, as measured by the Plenum CAT Bond UCITS Fund Indices, have gained another 0.60% on average in the last week, as valuations continue to be adjusted upwards to take account of lower loss expectations for recent hurricane Ian.

The Plenum calculated UCITS catastrophe bond fund indices had declined by as much as -6.58%, on average, immediately after major hurricane Ian impacted Florida.

Ground has been clawed back in recent weeks, as numerous cat bond positions saw recoveries in their valuations in the secondary market, as loss expectations from hurricane Ian continue to trend more favourably for cat bond investors.

Now, as of the last calculation date of November 11th, on average, these UCITS cat bond fund indices are -4.6% down since the hurricane Ian made its landfall in Florida, a roughly 2% improvement in valuations so far.

You can see how the recovery has continued apace in the image of the cat bond indices below (click the chart image to access the interactive version):

catastrophe-bond-fund-index-nov-11-2022

These catastrophe bond fund indices, calculated by specialist insurance-linked securities (ILS) investment manager Plenum Investments AG, offer a valuable source of real cat bond fund return information, focused on the UCITS cat bond fund category, with 14 live cat bond funds currently tracked.

The index provides a broad benchmark for the actual performance of cat bond investment strategies, across the risk-return spectrum.

The average gain across these UCITS cat bond fund indices over the week to November 11th was 0.60%, with the low risk cat bond fund Index rising 0.56% and the high risk Index 0.62%.

Including this latest week of recovery, since hurricane Ian’s landfall, these UCITS cat bond fund indices are now -4.6% down on average, with the low risk Index now at -3.8% since Ian, while the high-risk cat bond fund Index is at -5.2% since Ian.

Below, you can see the UCITS cat bond fund index since its inception (click the image below for an interactive version):

catastrophe-bond-fund-index-historical-nov-11-2022

We expect there will be a further recovery in a week’s time as well, given the full ramifications of the latest loss estimates may not yet be priced in by all of these funds, as the NFIP estimate only came out on Friday 11th, meaning not all cat bond funds and pricing sheets will have factored that in for their November 11th marks.

Analyse the UCITS catastrophe bond fund index here.

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