Swiss Re cat bond index Q1 return hits 4.57%, running slightly behind prior year

The total-return of the outstanding catastrophe bond market for the first-quarter of 2024 has reached 4.57%, according to data from the Swiss Re Cat Bond Performance Indices, which shows that cat bond market performance is running slightly behind the prior year.

The fact the performance of the cat bond market is running behind that seen in 2023 is no surprise.

While we are seeing price effects again in 2024, as supply and demand factors drove secondary market prices higher, this has not been as significant as the price effects experienced in early 2023, which were largely driven by recoveries in value following hurricane Ian.

As we’ve reported a number of times, a reasonable percentage of the record catastrophe bond market performance from 2023 came through recoveries in value to cat bond positions that were heavily marked down after 2022’s hurricane Ian.

That can’t be repeated, of course, but price effects have been a component of returns earned by cat bond investors so far in 2024 as well, just not at such a significant rate.

By the end of the first-quarter of 2024, the Swiss Re cat bond total return index was running up by 4.57%, which we believe to be the second-best start to the year on-record for cat bond market returns, after 2023.

It’s another very strong start to the year for catastrophe bond market returns, which investors have been benefiting from, as other indices demonstrate.

As we reported, catastrophe bond funds structured in the UCITS format delivered their investors an average return of 3.65% for the first-quarter of 2024, according to the Plenum CAT Bond UCITS Fund Indices.

The higher-risk group of UCITS cat bond funds achieved 3.76% for the same period and the average reached above 4% by April 12th, the latest data shows.

At the moment it seems unlikely the Swiss Re cat bond index total return can equal the very strong performance from H1 2023, when it reached a 10.34% total-return by the end of June.

Recall that, as we reported recently, the catastrophe bond market yield fell to just below 12% at the end of March 2024, so the first-quarter return of the Swiss Re cat bond index appears relatively aligned to that with some price effects on top.

Catastrophe bond market returns continue to track at high levels, despite the softening of catastrophe bond issuance spreads, which you can see evidence of here in our charts displaying cat bond pricing and spreads, as well as cat bond multiples-at-market, by years and quarters.

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

All of our charts are updated as new catastrophe bond issues complete, and as older issuances mature, based on the data in Artemis’ extensive catastrophe bond Deal Directory.