Update #2 on Hurricane Florence
Hurricane Florence made landfall in North Carolina on Friday, September 14. Wind damages are expected to be relatively small, but Florence will cause substantial losses, primarily from storm surges, torrential rain and flooding. Entropics does not expect any losses in the Entropics Cat Bond Fund.
Prior to landfall, the hurricane weakened from category 4 to category 1 according to the Saffir-Simpson scale. The event is not likely to cause insured losses noticeably affecting the cat bond market.
As Florence approached the US east coast the market remained very disciplined with only six traded securities, of which four were settled slightly below par. On Friday, the pricing sheet from Swiss Re was published and the Swiss Re Cat Bond Total Return Index (USD) returned -1.03% since last week. Facing the expected outcome of insured losses, we expect a price recovery shortly.
Later Friday, the hurricane was further degraded to a tropical storm over southeastern North Carolina and has continued to produce heavy rains over North Carolina and South Carolina.
If there are any material changes in insured losses, we will publish further updates on the event.