It’s now clear that catastrophe bond funds fell far less than the market benchmark on the first pricing after hurricane Milton, with the Plenum CAT Bond UCITS Fund Indices only falling 0.42% at Friday October 11th and the majority of cat bond funds absorbing the initial mark-to-market impacts of the storm within two weeks of returns.
As we reported after the first pricing of outstanding catastrophe bonds following the hurricane’s landfall in Florida, the Swiss Re Global Cat Bond Total Return Index, that tracks the entire outstanding catastrophe bond market, fell by 1.34%.
As we reported last week, across a sample of UCITS structured catastrophe bond funds we had managed to source net asset value (NAV) information for, the average decline for hurricane Milton was lower at a -0.77% mark-down.
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