Estimated portfolio loss from Irma < 3%
Modelling of hurricane Irma's impact on Entropics' portfolio indicates a loss of less than 3% of the net asset value. While Irma will cause considerable insurance losses, effects on the liquid cat bond market are limited.
After making landfall in Southwestern Florida, the hurricane has rapidly weakened. Though Miami was spared of the hardest winds, hurricane force winds extended across the entire southern part of Florida, causing large storm surges. Total industry losses are estimated to between USD 20 and 40 billion.
The estimates are preliminary. The exact insured losses can take weeks or even months after the event to determine, which could also affect cat bonds. The coming NAV will show a larger drawdown, based on market prices last Friday reflecting the uncertainty before landfall. This is expected to recover as the situation clears.