ORIGINAL PUBLICATION HERE
A number of outstanding catastrophe bonds have had their secondary market values marked down, as losses could be expected due to the impact of recent hurricanes Harvey and Irma. But the brokers do not currently seem to have a clear view of cat bond losses and prices in some cases diverge dramatically.
Considered particularly at risk are a number of per-occurrence catastrophe bonds sponsored by Florida primary insurance specialist firms, as these companies could be the ones that draw on reinsurance arrangements the most of all.
Also considered at risk are annual aggregate cat bonds that provide retrocessional coverage to reinsurance firms, with the notable markdowns being to cat bonds sponsored by XL Catlin, Everest Re and Allianz Risk Transfer, as well as some aggregate cat bond markdowns for primary giant USAA.