enax Capital, the London based hedge fund investment manager that operates a UCITS cat bond strategy, has analysed what it calls the “unusual” peak in volatility seen in recent weeks, which has resulted in the net risk margin gap widening between various perils.
As well as a widening of the gaps between net risk margin of different perils in the catastrophe bond market, Tenax Capital also notes a “spread dispersion by trigger type” over recent history, especially since hurricane Ian, which is particularly evident between index-trigger cat bonds and indemnity cat bonds.
This spread dislocation across perils and triggers has been driven by a range of factors and is seen as both unusual and significant.
FULL ORIGINAL PUBLICATION HERE
