Hurricane Ian fades from cat bond memory on fifth week of ILS fund gains

Pure-play cat bond investment funds continued their post-Ian recovery, rising 0.5% in the week ending November 25 to cut the losses from Hurricane Ian now to a mere 4.2%.

A weekly index for dollar-denominated cat bond funds, as generated by Plenum Investments, rose 0.5% week over week and has now gained 2.6% from the post-Ian lows.

The euro-denominated measure rose 0.3% and remains down 4.8% from pre-Ian levels. The Swiss franc-denominated class rose a headier 0.6% for the week, but remains a deeper 5.1% below pre-Ian levels.

Year-to-date, the dollar class funds have now cut their loss to 2.8%. The index had traded at a YTD high just prior to Hurricane Ian on nine consecutive weeks without a loss. Hurricane Ian took a quick 4.9% from the reading and eventually had the index down 6.6% two weeks later before stabilisation and ultimately recovery set in.

The array of total return performance indexes, published weekly by Plenum Investments, are built on broker quotes for 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 low-risk category of dollar-denominated funds has outperformed the high-risk grouping by 80 bps since Ian first tit and by 50 bps year-to-date. That spread has been higher for the Euro and Swiss Franc classes.

Plenum's own funds have likewise shown lower losses on Hurricane Ian than had initially been feared. A recent revision of loss estimates put the Plenum CAT Bond Fund with likely losses of "up to 2%" versus an initial estimate of 4% to 6%.

Other Plenum funds saw larger revisions. The Plenum CAT Bond Dynamic Fund now expects losses of up to 3% versus an initial estimate of 9% to 12%. The Plenum Insurance Capital Fund is now expected to escape with losses at up to 1% versus initial estimate of a 7% to 9% loss.

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