To date, based mostly on evaluation of the disaster bonds within the UCITS construction which have priced their internet asset worth (NAV) since hurricane Milton struck Florida, the common mark-down throughout the funds is simply -0.77%.
We’d already tracked the actions of US 40’s Act mutual funds that allocate to disaster bonds, insurance-linked securities (ILS) and different personal reinsurance offers within the wake of hurricane Milton. Our latest analysis on those funds can be seen here.
The typical decline of the 2 most established US mutual disaster bond funds was -1.4% by October fifteenth, with a heavier preliminary mark-down having been roughly 50% recovered since Milton hit.
The managers of UCITS cat bond funds, in the principle, don’t mark their NAVs each day, not like the US mutual fund managers.
Which meant the primary information factors started to emerge as of pricing on October eleventh and throughout these UCITS cat bond funds we’ve seen value information for therefore far (9 methods, all priced in USD), the common motion after Milton is a -0.77% decline.
The vary is kind of vast although, with one UCITS cat bond fund technique having marked its NAV down -1.9%, whereas the bottom mark-down was round -0.24%, however the majority extra clustered between -0.5% and -0.75%.
Eradicating the outlier fund that was marked down onerous, the common hit was -0.62% over the week to October eleventh for the UCITS cat bond funds we’ve seen pricing for.
At a -0.77% decline to a roughly $46 billion market, that will indicate losses of round $350 million.
At -0.5% the hit is decrease at $230 million, whereas on the -0.62% common minus the outlier fund that market down more durable, the hit is $285 million.
Which aligns carefully with how pricing sheets have been marked down on Friday eleventh October, so the common decline of the UCITS cat bond funds appears in-line with dealer pricing and market sentiment.
Larger readability will probably be obtainable subsequent week, as soon as the pricing of the whole cohort of UCITS disaster bond funds is in for the eleventh. Additionally subsequent week we must always get to see some cat bond fund pricing for days past that as effectively, which can present some insights into whether or not preliminary mark-downs have been deemed too aggressive, or too gentle, in mild of the business loss estimates which 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.
