Swiss Re cat bond index surpasses 10% return for 2024 after August

The total-return of the outstanding catastrophe bond market for 2024 through the end of August has now hit double-digits at 10.07%, according to data from the Swiss Re Cat Bond Performance Indices, which means while cat bond market performance is running behind the prior year, returns remain historically elevated.

At 10.07% for the first eight months of this year, the Swiss Re Cat Bond Performance Indices have already delivered their eighth best performance for a calendar year in 2024.

There are months left to run of course and some weeks of the peak Atlantic hurricane season left, but absent any major loss events the catastrophe bond market is already well on-track to achieve its second best year of returns on-record.

In August 2023, the cat bond index calculated by reinsurance giant Swiss Re delivered a 2.33% return for the month.

That was the best month of returns of this year so far and, as a result of this strong market performance, a number of cat bond fund strategies managed more than 2% in August, as we’d already reported.

So, 2024 to-date sees catastrophe bond market returns running behind the record set in the prior year, but tracking to perhaps deliver the second-best full-year returns in history.

In fact, the 10.07% return after the first eight months of 2024 is still behind the 10.34% the Swiss Re cat bond index had returned for just H1 2023.

However, it’s critical to remember there were factors that drove cat bond returns higher in 2023 which were never going to be repeated in 2024.

Hence, the softening of returns is not as significant as you might think, given the contribution of some of those one-offs last year is really what drove the double-digit first-half.

Recall that, as we reported recently, the catastrophe bond market yield sat at 12.52% at the end of August 2024, which includes a recent decline due to seasonality, so the return of the Swiss Re cat bond index appears relatively aligned to that with some price effects on top.

For the 12-months to the end of August 2024, the Swiss Re Cat Bond Index return was 15.19% and another strong month is expected for September, tropical and any other catastrophe events allowing.

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.