The Trading Risk ILS investor list provides a vital benchmark of market capacity across specialist ILS managers, reinsurer-backed platforms and multi-strategy investors with ILS trading desks.
We have been surveying ILS managers and other institutions active in this market on a bi-annual basis since 2012 in order to report their estimated assets under management. Updates are released in January and July each year.
Keep track of cat bond issuance using the Trading Risk cat bond directory, which provides key data points on ILS issuance based on information from sources.
For regular quarterly reviews of cat bond market activity, including which sponsors have been most active, see our analysis news section.
The Eurekahedge ILS Advisers index provides a benchmark for ILS fund performance.
The index tracks the performance of 32 funds on an equally weighted basis. Funds must have at least 70% of their portfolio invested in non-life risk to be included. The index is base weighted at 100 at December 2005.
Further information on the index can be found here.
The Willis Towers Watson Securities rate-on-line (ROL) index provides a measure of cat bond issuance yields and expected loss levels across non-life 144a ILS issuances for the prior 12 month period, on a weighted average basis.
Swiss Re Capital Markets created and has been producing several key cat bond market indices that take into account pricing data dating back to 2002.
The firm’s global cat bond total return index shows both coupon and price movements across the natural catastrophe cat bond market, benchmarked here against changes on the S&P500 index and the Barclays BB US High Yield index.
For more information including a full disclaimer click here (Bloomberg users).
Cat bond risks are typically rated in the sub-investment grade level, so how do cat bond yields compare to corporate BB equivalents? We depict the differential between the two markets here, showing the Willis Towers Watson Securities rate-on-line (ROL) index both gross and net of expected losses, alongside the BofA Merrill Lynch US High Yield BB Option-Adjusted Spread.