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Managers expect Hurricane Milton losses to shore up pricing.
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Many in the ILS sector are bullish on Milton losses falling at the lower end of earnings impacts.
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Losses from the hurricane may not significantly impact on many funds’ annual returns.
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The multiple offered on the deal is around 2.5x the expected loss.
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The bond triggers on a parametric, per occurrence basis, across Class A and Class B tranches.
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Icosa said certain cat bonds could see more than 0.2 points of price movement.
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Hurricane Milton will show the ILS product behaving as investors expect it to.
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This is a far narrower drop than post Ian, when the index was lost 10%.
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Integrity Re 2024-D and Lightning Re 2023-1A are two bonds that were marked down, although no trading has occurred.
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Collateralised reinsurance and retro are in the firing line.
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The Mexican cat bond offers $125mn of protection against Atlantic named storms.
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Parts of the Yucatan peninsula are under a hurricane warning, though the storm is expected to remain offshore.