The Swiss Re Global Cat Bond price return index is down just 1.34% in the aftermath of Hurricane Milton, reflecting the more favourable consensus on the loss emerging after it swerved Tampa.
This markdown in the index represents a $600mn dollar hit on the ~$46bn outstanding cat bonds on risk and covers the weekly loss from 4 October to 11 October, as it is updated every Friday.
In contrast, the index fell by roughly 10% after Hurricane Ian in 2022, though much of this was subsequently recovered. It experienced a 15% write down in the week ending Friday 8 September 2017 as Irma neared Florida.
Amongst other estimates, Zurich-based Plenum said it expected modelled losses of 0.2% to 0.7% for its three ILS strategies, but noted that mark-to-market losses meant it would take steeper losses of 0.48% to 1.2% to account for the uncertainty.
The firm said it was difficult to estimate how far premiums would be impacted but said they were likely to increase again, although they are already at a historically high level.
Outside the cat bond market, Stone Ridge’s flagship Interval fund posted a 1.2% gain on Friday, leaving it down 3% from its pre-Milton levels.
The major sidecar investor reported a 7.8% loss over the three days before landfall before recovering 3.8% after it was clear the storm had spared Tampa.
The Amundi Pioneer ILS Interval reported a 2% fall on Friday, which is roughly the fall it has made since pre-Milton levels after a pre-landfall markdown, initial regain on Thursday, and subsequent Friday fall.
Stone Ridge’s High Yield Reinsurance fund, more skewed to cat bonds than the Interval fund, was also down by around 2% from pre-Milton levels, having posted a 4.9% gain on Friday following earlier steeper write-downs.
Hurricane Milton made landfall on Wednesday 10 October at 20.30 EDT as a Category 3 storm near Siesta Key in Florida.
The market has not only missed the market-changing $100bn event that was initially feared at the start of the week, it also looks set to have escaped the higher-end moderate loss scenario.
Early insured loss estimates the day after landfall coalesced around $40bn-$50bn, this publication reported.
However, other indicators suggest the loss ranges are moving down below this, with Aon telling clients that it expects losses to be in a $25bn-$40bn range, according to information sourced by this publication.
It also suggested that key reinsurance programmes involving ILS and cat bond backing from Florida Citizens and the National Flood Insurance Program would run clear.
It projected cat bond spreads would remain flat through year-end if significant maturing bonds are extended, having previously expected declines of 15%.