Catastrophe bond market coupon falls 4.5% in August, now 13% lower than a year ago: Plenum

During August 2026 catastrophe bond seasonal spread tightening accelerated and as a result the catastrophe bond market yield, or coupon available to investors, fell around 4.5% in the month. Which leaves it now 13% lower than it was at the same time last year, according to the latest data on cat bond yields from Plenum Investments.

Back in July, seasonal tightening of catastrophe bond spreads accelerated in the month, resulting in the catastrophe bond market yield or coupon available to investors declining to 9.29%.

The trend has accelerated further through August, with the overall coupon across the catastrophe bond market falling by around 4.5% by August 28th, to sit at just under 8.9%.

It’s worth noting this is still a historically attractive level of returns, which we explain more further down in this article.

Plenum Investments commented, “Total returns in the CAT bond market varied by currency, ranging from 8.9% (previous month: 9.3%) in USD, to 7.6% in EUR (previous month: 8.0%), and 5.0% in CHF (previous month: 5.5%).

“The seasonal spread tightening is in full swing, with an average market yield of 5.05% as of end of August.”

Further noting that, “The market yield has now reached 2020 levels, highlighting one more time the softening of the market.”

Click the chart below to analyse the interactive data:

It’s worth noting that a year ago the overall coupon of the catastrophe bond market according to this data set stood at 10.22%, some 13% higher that today.

The risk spread, or yield across the catastrophe bond market stood then at 6.07%, some 17% higher than the 5.05% it has now fallen to at the end of August 2026.

At the same time, a year ago the risk free return on collateral was measured at roughly 4.15%, now being 3.81%. While the expected loss of the catastrophe bond market has risen over the last year, from 2.24% at the end of August 2025 to now 2.50%.

The softening market dynamic is clearly evident, following the trends in global property catastrophe reinsurance.

Looking back over recent months, cat bond market total yields stood at around 8.80% at the end of December 2025, then rose to 8.87% by the end of January, then ended February 2026 at 8.91%, rising again to 9.06% as of March 27th 2026, then reached 9.27% as of May 1st 2026, then 9.42% as of May 29th, then 9.46% as of June 26th and 9.29% as of July 31st 2026.

At a rounded 8.87% by August 28th 2026, the overall coupon of the cat bond market remains far higher than back in 2020, but just looking at insurance risk spreads the 5.05% yield of the cat bond market today is approaching 2020 levels.

The expected loss across the cat bond market is today at its highest level since Plenum Investment’s data series began in 2010.

As a result the yield over expected loss of the catastrophe bond market (including the collateral return) declined further to 6.37% as of August 28th.

It’s important to note that this cat bond market yield, including the risk free rate, over expected loss remains historically attractive compared to more normalised catastrophe bond returns prior to the 2022 hardening of reinsurance through 2025.

For example, through year’s 2020 and 2021 the average catastrophe bond market yield above expected loss was just 3.70% and dipped as low as sub-3% over that period and it had previously fallen below 2% in 2016.

So, we are still seeing catastrophe bond market returns over expected loss today that are significantly higher than that level. Even with a higher market expected loss, the structures, terms and attachments of cat bonds today remain far more disciplined and robust than they did at that stage as well, making the asset class still a very attractive source of relatively uncorrelated diversification for investors.

Analyse catastrophe bond market yields over time using this chart.