Published Date: May 1, 2026
Author: HANetf
Market in review
During the reporting period, the catastrophe bond market continued to operate at a high level of activity and scale. Industry data indicates that total outstanding catastrophe bond risk capital remained near historical highs, supported by ongoing issuance and reinvestment activity associated with scheduled bond maturities.[1] Market participation remained broad, with sponsors utilising the market for fully collateralised reinsurance protection and investors allocating capital across a range of perils, regions, and transaction structures.[2]
Market conditions and pricing
Market pricing evolved over the period as all in yields increased relative to late 2025 levels. Based on observable market data, average catastrophe bond market yields rose from approximately 8.6% in December 2025 to just over 9.0% by April 2026.[3] This change reflects a combination of seasonal exposure considerations ahead of the North Atlantic hurricane season, continued primary market issuance, and changes in risk assessment across certain regions and attachment levels. These developments occurred alongside softer pricing conditions observed in the broader property catastrophe reinsurance market at the January 2026 renewal period.
Risk Environment
The catastrophe bond market continued to demonstrate its capacity to adjust pricing in response to evolving risk conditions. Market participants remained attentive to regional exposure, modelled loss estimates, and the structural features of individual transactions when evaluating new issuance. Market conditions remain subject to change and may be influenced by catastrophe activity, changes in market pricing, modelling assumptions, or other external factors.
Performance Overview
During the reporting period, the portfolio generated a total return of +1.85%.[4] Performance was primarily attributable to portfolio carrying, which offset the effect of modest market repricing observed over the quarter. As market yields increased relative to late‑2025 levels, income generation remained the principal contributor to returns.
Portfolio positioning remained broadly consistent with the wider investment strategy. The portfolio-maintained exposure to a diversified group of catastrophe bonds across multiple regions and peril types, supporting diversification by geography, peril, maturity, and risk profile. At period end, the portfolio consisted of 25 bonds, with a weighted average yield to maturity of 9.3%, a weighted average coupon of 13.0%, and a net spread (yield less risk‑free collateral return) of approximately 6.0%. The weighted average maturity was 1.74 years, reflecting a laddered maturity profile and ongoing reinvestment activity. [5]
Past performance is not indicative of future performance and when you invest in ETFs your capital is at risk.
Portfolio Risk Characteristics
The portfolio’s risk profile remained stable during the period. Exposure was distributed across a range of attachment points and expected loss levels, with a modelled weighted average expected loss (EL) of approximately 2.8%. Expected loss represents a forward‑looking, model‑based estimate and is subject to uncertainty and limitations inherent in catastrophe risk modelling.
Risk exposure was diversified across regions and peril types, and no single exposure dominated overall portfolio risk. The portfolio is structured to reduce sensitivity to individual catastrophe events through diversification and the use of fully collateralised instruments. However, losses may occur in the event of severe or multiple catastrophe events.
The historical event analyses presented below are provided for illustrative and comparative purposes only. These scenarios are based on modelled assumptions and do not represent actual portfolio outcomes or predict future performance.
Cat Bond ETF Portfolio Statistics As of 31/03/2026
Source: Bloomberg, King Ridge Capital. Data as of 31.03.2026. All portfolio metrics and performance figures are shown on a net basis. Coupon and EL figures are sourced from the underlying 144A documents for each constituent of the Fund. Yield and spread figures reflect a blended pricing assessment from Bloomberg, Swiss Re and other third-party brokers. Both coupon and yield figures pertain to the characteristics of the portfolio and are not net performance. Stress testing outputs were produced using the Verisk catastrophe modelling platform.
Source: King Ridge Capital, Bloomberg. Data as of 31.03.2026. The table shows simulated past performance, based on past historical events. Simulated past performance is in no way reflective of real performance or any future performance. Data contained within the table is not back-tested data. The table is included for illustrative purposes only.
[1] https://www.artemis.bm/dashboard/
[2] https://www.artemis.bm/news/catastrophe-bond-market-records-2025/
[3] Source: Plenum Investments CAT Bond Market Yield Compass (via Artemis.bm)
[4] Source: King Ridge Capital, Bloomberg. Data as of 31.03.2026
[5] Source: King Ridge Capital, Bloomberg. Data as of 31.03.2026
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