Pure-play cat bond funds power into June, now up 10% from post-Ian lows

Pure-play cat bond investment funds accelerated through the final week of May to close with monthly gains in excess of 1% and push a heady ongoing post-Ian rebound into double-digit territory.

A key dollar-denominated market index for cat bond funds advanced 1.3% in the five weeks through June 2, including a 0.6% charge in the final week, the weekly set of index data compiled by Plenum Investments showed.

EUR- and CHF-denominated index readings continue to lag the dollar marker, gaining 1.2% and 0.9% respectively for the month.

The group of specialist funds now has 27th consecutive weeks of advance under their collective belt since index readings settled down after the early hit from Hurricane Ian.

The dollar-denominated index is now up 10.1% from post-Ian lows and 2.9% since the final reading before Ian's Florida landfall.

The array of total return performance indexes, published weekly by Plenum Investments, are built on valuations of 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.

The array of core indexes across currencies had been down 6.3 to 7.3% in the weeks following Hurricane Ian on early assumption that underlying securities would suffer notable trapped capital. Views began to ease quite quickly as investors identified an array of loss-free issuance.

Cat bond funds took it on the chin hard and fast after the late-September landfall of Hurricane Ian, with the array of core indexes across currencies down 6.3 to 7.3% in the first weeks.

Investors turned on the segment wholesale on assumption that underlying securities would suffer notable trapped capital but soon enough began to distinguish an array of loss-free issuance.

Other elements of the broader ILS market have not recovered as handily. The cat bond recovery has been equally or more visible in the rejuvenation of primary market issuance, a flow show insiders said has not been shared with collateralised reinsurance vehicles.

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