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The lack of modelling expertise for higher-frequency, secondary ‘all peril’-type losses is putting a rosier tint on catastrophe bonds -
Schroders Capital ILS chairman Dirk Lohmann said the shift could be due to yield compression in the bond market.
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The World Bank issuance has deployed granular data to match closely the trigger to economic losses, fund manager Plenum said.
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It is not so much the size of the hit, as the regularity of moderate cat events that is worrying risk-takers.
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Overall the cat bond market will be lightly impacted by the storm, with the Swiss Re total return index down 0.35%.
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It has just one class of notes which will trigger on an indemnity, per occurrence basis against any wildfire in the state of California.
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Twelve Capital said that typically 70%-80% of aggregate cat bond deductibles remain after earlier loss events.
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The risk modeller said Henri’s weakening before landfall spared the northeast US from the damage originally forecast.
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The hurricane made landfall near Tulum, registering a 986mb pressure reading.
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The deal takes year-to-date private cat bond volumes up to $601.7mn, according to Trading Risk data.
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The trust will invest at least 80% of its total assets in securities that, in the advisor’s assessment, meet a specified ESG criteria.
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Cat bond prices are now approaching historic lows on certain types of deal and compare to “hot market years” such as 2018.
