Hurricane Beryl not expected to trigger Jamaica cat bond loss, Plenum confirms

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An update from Swiss based catastrophe bond fund management specialist Plenum Investments confirms our earlier analysis, that the track and pressure data for major hurricane Beryl suggests the storm will not have breached the parametric trigger for the $150 million parametric IBRD CAR Jamaica 2024 catastrophe bond.

plenum-investments-logoAs we reported earlier today, our analysis and that of some contacts in the insurance-linked securities (ILS) market, suggests that a trigger event has not occurred and so holders of the Jamaica catastrophe bond notes are presumed safe from loss.

A further opinion is extremely useful though and Plenum Investments has now said, “Based on the central pressure data published by the National Hurricane Centre, the air pressure required for a payout of the CAT bond was not reached in any of the sub-areas, so that we do not currently expect a reduction in the nominal value of the CAT bond.”

As a result, the manager said that, “No impact on our CAT bond funds expected.”

Helpfully, Plenum has published an image that includes the graphic of the parametric trigger zone boxes from the Jamaica catastrophe bond offering document and plotted onto that the path and pressure of the storm.

jamaica-catastrophe-bond-parametric-trigger-grid-track

The image above confirms our earlier analysis, showing that the track of hurricane Beryl did not enter parametric grid boxes where the pressure was sufficiently low to activate the cat bond notes coverage.

More details on what was required in our earlier article.

As we had explained in that earlier article, the 960mb box was a very near miss, as the storm could have been at or slightly below that pressure had it travelled a little further north and gone through that parametric box.

It’s important to note, this still isn’t a formal determination of the Jamaica catastrophe bond not being triggered, but now numerous sources are showing us similar data, that our own analysis confirmed, so it seems confidence in the notes being safe from loss has risen further.

Read from early this morning: Jamaica battered by hurricane Beryl, but IBRD catastrophe bond appears safe

Hurricane Beryl not expected to trigger Jamaica cat bond loss, Plenum confirms was published by: www.Artemis.bm
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