Swiss Re Insurance-Linked Fund Management

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Plenum Investments: No impact to ILS fund expected from hurricane Sandy


Regularly the first investment manager to come out with an official statement after a catastrophe event, Swiss insurance-linked securities investment manager Plenum Investments has said that they don’t expect any impact from hurricane Sandy to their ILS fund or any of the catastrophe bonds they invest in.

Update: Plenum Investments issued a second update which we cover here.

Plenum’s update came out before Sandy made landfall but they had taken into account a worst case storm surge scenario. They said that they expect Sandy to cause insured losses of multiple billion dollars. However as the storms winds were still at Category 1 and cat bonds are predominantly exposed to wind damage and not damage and losses from flood, they do not anticipate insured losses to reach the attachment levels of exposed cat bonds.

However while confident that their investors will be safe, when they issued the update, Plenum noted that Sandy is likely to contribute to losses in cat bond structures which aggregate losses. Plenum themselves do not hold any aggregate transactions in their portfolio so if there is an impact to aggregate cat bonds it won’t affect them or their investors.

The question of losses impacting any aggregate structured cat bonds is a topic of conversation today with everyone we’ve discussed this with. There are a number of cat bonds that come to mind as most likely the most at risk of this occurring, but at this time we won’t speculate until we find some firm details on any impacts. We have a little more information on potential cat bond impacts available in some of our recent articles on Sandy, listed below.

We’ll keep you updated as more information becomes available and please feel free to contact us if you have insight you want to share with our readers.

Sandy threatens billion dollar losses, could threaten catastrophe bonds

Catastrophe bond indices both decline on Sandy’s approach

Catastrophe bond market participants comment on Sandy

EQECAT estimates Sandy insured loss $5B-$10B comments on cat bonds

Sandy hits U.S. northeast with deadly blow, impacts from storm continue

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