To this point, based on evaluation of the catastrophe bonds within the UCITS structure which have priced their net asset value (NAV) since hurricane Milton struck Florida, the typical mark-down across the funds is just -0.77%.

We’d already tracked the movements of US 40’s Act mutual funds that allocate to catastrophe bonds, insurance-linked securities (ILS) and other private reinsurance deals within the wake of hurricane Milton. Our latest evaluation on those funds will be seen here.

The typical decline of the 2 most established US mutual catastrophe bond funds was -1.4% by October fifteenth, with a heavier initial mark-down having been roughly 50% recovered since Milton hit.

The managers of UCITS cat bond funds, within the principal, don’t mark their NAVs on a day by day basis, unlike the US mutual fund managers.

Which meant the primary data points began to emerge as of pricing on October eleventh and across those UCITS cat bond funds we’ve seen price data for thus far (nine strategies, all priced in USD), the typical movement after Milton is a -0.77% decline.

The range is kind of wide though, with one UCITS cat bond fund strategy having marked its NAV down -1.9%, while the bottom mark-down was around -0.24%, but the bulk more clustered between -0.5% and -0.75%.

Removing the outlier fund that was marked down hard, the typical hit was -0.62% over the week to October eleventh for the UCITS cat bond funds we’ve seen pricing for.

At a -0.77% decline to a roughly $46 billion market, that might imply losses of around $350 million.

At -0.5% the hit is lower at $230 million, while on the -0.62% average minus the outlier fund that market down harder, the hit is $285 million.

Which aligns closely with how pricing sheets were marked down on Friday eleventh October, so the typical decline of the UCITS cat bond funds seems in-line with broker pricing and market sentiment.

Greater clarity shall be available next week, once the pricing of your entire cohort of UCITS catastrophe bond funds is in for the eleventh. Also next week we must always get to see some cat bond fund pricing for days beyond that as well, which can provide some insights into whether initial mark-downs were deemed too aggressive, or too soft, in light of the industry loss estimates which have now emerged.

Analyse UCITS cat bond fund performance, using the Plenum CAT Bond UCITS Fund Indices.

Analyse UCITS catastrophe bond fund assets under management using our charts here.

Analyse catastrophe bond market yields over time using our recent chart.