Cat bond funds slide further 1.2% in week after early Hurricane Ian jolt

Pure-play cat bond investment funds have slipped by a further 1.2% on average for the week following the initial 5% post-Ian losses, a key industry benchmark has indicated.

The Plenum Investments weekly index for dollar-denominated cat bond funds fell 1.2% week on week through Friday, October 7. Together with the weekly loss on the initial recognition of Hurricane Ian, the index is down 6.1% from the year-to-date high reached immediately prior.

The broad weekly decline covered a fractional 0.3% loss for the low-risk sub-index and the 1.8% decline for the high-risk sub-sector.

The early October losses put the core index down 6.1% since the last pre-Ian reading September 23 and down 3.7% year-to-date.  Low risk profiles have not meant much less loss on Ian: the 4.9% decline for the low-risk sub-index is within two percentage points of the loss for the high-risk measure.

The broad index reading had avoided decline for nine-weeks prior to the Ian landfall, including a fractional gain in the week to September 23 to a YTD high, just as tropical depression nine became tropical storm Ian.

Sub-indexes for euro-denominated fund classes fell week on week broadly in line with the dollar-funds. Declines for Swiss franc-denominated fund classes were roughly a quarter deeper than for the dollar-class.

Plenum has crafted a series of investment fund total return performance indexes from a group of 15 pure-play cat bond UCITS investment funds. Sub-indexes divvy up results by currency unit class and a classification of risk profile subject to semi-annual review.

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