Home›Insurance›Reinsurance›Catastrophe bond yields fall as July spreads tighten

Catastrophe bond yields fall as July spreads tighten

By July 31, 2026, the catastrophe bond market coupon yield fell to 9.29% and spreads tightened by about 3%, while the risk-free return on collateral stayed around 3.76%.

Reported · Written up by our desk · Reinsurance

Seasonal spread tightening accelerated in July 2026 in the catastrophe bond market, pushing down the coupon yield available to investors, according to data cited by Plenum Investments.

The catastrophe bond market coupon yield declined to 9.29% as of July 31, 2026, after rising to 9.46% by June 26. Plenum said the stronger tightening reflected the market’s approach to peak hurricane season, with the pattern expected to continue until around the end of October.

The outlet also reported that catastrophe bond yield spreads across the market narrowed by 3% over the period, moving from 5.71% on June 26 to 5.53% on July 31. The risk-free return on the collateral underpinning the bonds remained relatively flat at 3.76% through the end of July.

Plenum further noted that the expected loss of the catastrophe bond market rose slightly to 2.50%, and as a result, the yield over expected loss including the collateral return declined further to 6.79% as of July 31. The outlet added that declining coupon yields and tightening spreads linked to seasonality also point to rising returns for catastrophe bond funds.

More like this

Sources