On average, catastrophe bond loss multiples are not expected to fall back much further, as the capacity providers in the reinsurance market, including insurance-linked securities (ILS) fund managers and investors, are still motivated to hold onto the gains recently made, according to AM Best.
In a recent report the rating agency noted that the loss multiple of catastrophe bond issuance had declined through the second-half of 2023, but picked back up again in the first-half of 2024.
Using Artemis’ data and its own research, AM Best paints a picture of steadily rising loss multiples, with a downward dip in the second-half of last year.
But, while the multiple of cat bonds issued (the multiple of expected loss to spread, that is) declined, particularly in the fourth-quarter, the first-half of 2024 saw an average spread of cat bonds issued at a very healthy multiple of over 4.1 times the expected loss.
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