Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Quarterly insurance-linked securities report from Lane Financial LLC shows markets recovery


A quarterly market report published recently by broker dealer Lane Financial LLC clearly shows the recovery that catastrophe bond and insurance-linked security returns and valuations have been making since the massive drop experienced after the Tohoku, Japan earthquake and tsunami earlier this year.

Lane Financial LLC’s Quarterly Market Performance Report – Q3 2011 looks at the cat bond and ILS market with the help of data and visualizations taken from their Lane Financial Insurance Return Index, a proprietary market-weight index of both catastrophe and life ILS which allows them to monitor and report on the state of the ILS and cat bond market.

The report provides a great deal of insight into the markets return profile and shows that 2011 so far has the third worst average annual insurance return (after 2008 and 2005). It’s widely expected that it should continue to improve through the rest of the year as long as there are no further market impacting catastrophe events.

The graph below shows the value of a $100 investment in cat bonds and ILS over time from 2002 to the last quarter of this year. It clearly shows the dip in value and returns earlier this year and the recovery that had been made up to the 30th September. It is possible that the issues with the Mariah Re cat bonds could have slowed that recovery if the graph extended to today’s date.

Cat bond and ILS returns over time

Cat bond and ILS returns over time - from Lane Financial LLC

This next graph shows another interesting factor of the cat bond and ILS market over time, secondary market yield spreads and average expected losses over time.The graph clearly shows the way spreads rose earlier this year and have tightened of late. It also shows the steady rise in average expected loss as the market has grown and how this has remained relatively level over the last few years.

Cat bond and ILS spreads and average expected losses over time - Lane Financial LLC

Cat bond and ILS spreads and average expected losses over time - Lane Financial LLC

We highly recommend you visit the Lane Financial LLC website to register and download a copy of the report.

Artemis Live - ILS and reinsurance video interviews and podcastView all of our Artemis Live video interviews and subscribe to our podcast.

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

Our Artemis Live podcast can be subscribed to using the typical podcast services providers, including Apple, Google, Spotify and more.

Print Friendly, PDF & Email

Artemis Newsletters and Email Alerts

Receive a regular weekly email newsletter update containing all the top news stories, deals and event information

  • This field is for validation purposes and should be left unchanged.

Receive alert notifications by email for every article from Artemis as it gets published.