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Pricing on the Japan earthquake deal settled toward the higher end of guidance.
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The Durant Re IC deal was the first humanitarian cat bond in the history of the ILS market.
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It would be the Japanese mutual’s largest ILS transaction to date.
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The sharpest decline was with the Catahoula Re 2020-1 Class A deal issued by Louisiana Citizens on which bids dropped 60.3c from 100.3c to 40c.
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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
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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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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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