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Cyber cat bonds issued so far “highly correlated” with each other: Plenum

While the catastrophe bond market cheered the emergence of cyber cat bonds in 2023, fund manager Plenum Investments has offered a note of caution, saying that as they all cover cyber loss events that would be in the far tail, they are all correlated with little diversification on offer between them.

As a result, Plenum Investments explained that, of the four 144A cyber catastrophe bonds that have been issued so far, it is treating them all as identical risks and so is limiting its investment funds exposure to them.

Dirk Schmelzer, Managing Partner and Head Fund Manager ILS at Plenum explained, “Although they differ in terms of structure and de- tailed risk exposure, they cover all cyber risks in the “far tail” and offer little diversification potential between them.”

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