The market for live cat (live catastrophe) trading and protection buying saw a little activity yesterday, as hurricane Irma continued its approach towards Florida, with at least one trade completed with an industry loss trigger of $80 billion reported to Artemis this morning, and a few other deals getting done.
The $80 billion industry loss trigger live cat industry loss warranty (ILW) was traded at a rate-on-line somewhere between 20% and 21.5%, we’re told.
When hurricane Irma’s threat to Florida and the U.S. first became clear protection buyers were looking for industry trigger live cat protection at around a $40 billion loss level, but sellers were more focused on higher trigger levels, leaving trading very light and with uncertain pricing.
Interest then emerged at slightly higher levels, but still the spread between what protection buyers wanted and were willing to pay, versus protection sellers appetite for risk and return, remained wide so few deals executed.
Interest also emerged in so-called back-up reinsurance covers, second-event covers (given Harvey’s impacts) and coverage to the end of year, as some re/insurers have already seen protection layers eroded somewhat.
Yesterday there were buyers looking for coverage at a $70 billion industry trigger who could not get the deals done, we’re told.
There is an expectation that more live cat coverage will be purchased today, although the triggers may fall a little given the westward shift in hurricane Irma’s forecast path this morning.
There were no trades of Irma exposed catastrophe bonds, according to Trace data, only non-hurricane bonds changed hands it seems.