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Cat bonds, private ILS and retro were all kept at “strongly overweight”. -
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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Florida domestics, aggregate retro and flood deals were all marked down.
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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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Plenum said wind damage from Milton could lead to “moderate” losses for its cat-bond funds.
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Hurricane Milton will show the ILS product behaving as investors expect it to.
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The company is monitoring the NFIP’s flood-exposed bonds.
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This is a far narrower drop than post Ian, when the index was lost 10%.
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