Plenum sees Hurricane Ian hit to ILS at small fraction of initial fears

Plenum investments slashed its estimates on Hurricane Ian's impact to its ILS funds to a small fraction of the initial guess following the inflow of data from sponsors of underlying ILS securities.

Losses to the Plenum CAT Bond Fund were slashed from an initial estimate of 4% to 6% to a mere "up to 2%". 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.

"These are well below our original expectations," Plenum management acknowledged. Initial estimates, based on modelled results, had been published September 30, just two days after Hurricane Ian's Florida landfall.

Volatility in market valuations could continue given the lag to final tallies, management warned. "Although we expect the prices of our portfolio positions to reflect this favourable development soon, we would like to emphasise that for some CAT Bond positions it may still take some time before the final loss is determined."

The broader array of pure-play ILS funds only began to scratch back Hurricane Ian-induced losses during the last week of October after having shown signs of stabilisation the week prior. The Plenum Investments weekly index for dollar-denominated cat bond funds rose 0.4% for the last full week of October, but were still down 6.2% from the YTD high reading hit on the Friday prior to Ian's Florida landfall. Euro- and Swiss-denominated indexes were down 6.5% and 7.0%, respectively. Plenum indexes cover a group of their own three funds 15 pure-play cat bond UCITS investment funds including the Plenum field.

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