UCITS cat bond funds in -0.77% average mark-down on hurricane Milton

So far, based on analysis of the catastrophe bonds in the UCITS structure that have priced their net asset value (NAV) since hurricane Milton struck Florida and where we have been able to access that data, the average mark-down across the funds is just -0.77%.

We’d already tracked the movements of US 40’s Act mutual funds that allocate to catastrophe bonds, insurance-linked securities (ILS) and other private reinsurance deals in the wake of hurricane Milton. Our latest analysis on those funds can be seen here.

The average decline of the two most established US mutual catastrophe bond funds was -1.4% by October 15th, with a heavier initial mark-down having been roughly 50% recovered since Milton hit.

The managers of UCITS cat bond funds, in the main, don’t mark their NAVs on a daily basis, unlike the US mutual fund managers.

Which meant the first data points began to emerge as of pricing on October 11th and across those UCITS cat bond funds we’ve seen price data for so far (nine strategies, all priced in USD), the average movement after Milton is a -0.77% decline.

The range is quite wide though, with one UCITS cat bond fund strategy having marked its NAV down -1.9%, while the lowest mark-down was around -0.24%, but the majority more clustered between -0.5% and -0.75%.

It’s important to note here, that we have not had access to all of the performance figures for every strategy at this time, but we understand for some the impact of Milton was even less.

Removing the outlier fund that was marked down most, the average hit was -0.62% over the week to October 11th for the UCITS cat bond funds we’ve seen pricing for.

At a -0.77% decline to a roughly $46 billion market, that would imply losses of around $350 million.

At -0.5% the hit is lower at $230 million, while at the -0.62% average minus the outlier fund that market down harder, the hit is $285 million.

Which aligns closely with how pricing sheets were marked down on Friday 11th October, so the average decline of the UCITS cat bond funds seems in-line with broker pricing and market sentiment.

Greater clarity will be available next week, once the pricing of the entire cohort of UCITS catastrophe bond funds is in for the 11th. Also next week we should get to see some cat bond fund pricing for days beyond that as well, which will provide some insights into whether initial mark-downs were deemed too aggressive, or too soft, in light of the industry loss estimates that have now emerged.

Analyse UCITS cat bond fund performance, using the Plenum CAT Bond UCITS Fund Indices.

Analyse UCITS catastrophe bond fund assets under management using our charts here.

Analyse catastrophe bond market yields over time using our new chart.