Cat bond market yield declines again on accelerated seasonality, lower collateral contribution

In the month of September 2024, the overall yield of the catastrophe bond market declined further as the effects of hurricane seasonality accelerated, while also adding to the decline is a gradual reduction in the cat bond market collateral yield, as lower interest rates begin to have an effect.

As we’ve explained before, US hurricane risk seasonality is a key driver of yield spreads in catastrophe bonds every year.

The cat bond market is typically expected to experience spread compression as the peak of the hurricane season approaches, then recovers ground as the US wind season winds down.

This year, the catastrophe bond market yield began to show some seasonality traits back in July, which then accelerated in August.

FULL ORIGINAL PUBLICATION HERE

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