December 5, 2023

The Swiss Re Cat Bond Index, probably the most widely used benchmark in the insurance-linked securities (ILS) space, posted record performance in any half-year, as investment returns in the cat bond market were very strong in the first half. Year of record.

The Swiss Re Cat Bond Index provides a widely used benchmark for the total return delivered by the outstanding cat bond market.

The Swiss Re Cat Bond Index has soared to record levels, reflecting higher cat bond spreads and performance from a continued recovery in the value of some cat bond positions that were not affected by last year’s Ian Effects of hurricanes.

The Swiss Re Catastrophe Bond Index has achieved a total return of 5.00% through the end of Q1 2023.

Then, by the time we covered the index around mid-May, returns had increased to 7.55%, already the highest return for the Swiss Re Global Cat Bond Index since 2013.

Now, after a strong full month in May and June (currently at 10.34% mid-year), the Swiss Re Cat Bond Index 2023 YTD returns are close to 2013 levels and will soon surpass it.

That would make the index its best performance this year since 2010 and put it close to or beyond its all-time high, depending on how the second half of the year performs.

Swiss Re Catastrophe Bond Performance Index Returns 2023

The Swiss Re Catastrophe Bond Index returned an impressive 10.34% in H1 2023, beating the previous half-year high of 9.65% in H2 2009

It is important to note that the Swiss Re Index includes all outstanding cat bonds and therefore is not an accurate representation of a portfolio managed cat bond fund strategy.

It also doesn’t contain any cash, so it won’t be dragged down when maturities are higher, as they have sometimes been this year.

However, it accurately represents the odds of investing in cat bonds that someone who allocates today could earn some of the highest returns ever seen in the cat bond market.

According to the Plenum CAT Bond UCITS Fund Index, which tracks the performance of a basket of catastrophe bond funds structured in the UCITS format, against other ILS performance benchmarks, the UCITS catastrophe bond fund strategy has returned an average of 7.66% as of June 23

Also, ILS funds as a sector continued to post their best returns since 2007, at 5.48% through the end of May, as measured by the Eurekahedge ILS Advisers Insurance-Linked Securities Fund Index.

As ever, the second half of the year cat bond and ILS returns will depend on any cat loss activity, as well as any broader macro impacts affecting capital markets during this period.

But at the moment, despite notable weakness in cat bond spreads in the second quarter, returns are at record levels, as you can see evidence of in our charts showing cat bond pricing and spreads and cat bond multiples. Market, by year and quarter.

Find all of Artemis’ cat bond market charts and data here or via the Artemis Dashboard.

All of our charts are updated as new cat bond issues are completed and older issues mature.

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