While the overall catastrophe bond market yield or coupon available to investors continued to rise through the month of June 2026, Plenum Investments noted that softening remains the dominant trend across new cat bond issuance.
Catastrophe bond total returns rose to 9.46% by June 26th, rising from 9.42% as of May 29th.
Seasonality continues to be muted so far, with a number of factors pulling against each other in the catastrophe bond market.
Chief among these is supply and demand, with investor appetites remaining very strong and supply of capital, driven to a meaningful degree by cash from maturities, remaining high.
While issuance activity has broken records again for the first-half of 2026, as our new quarterly report explains, the ability of investors to absorb that issuance and demand for paper continues to moderate the seasonal effects on spreads we’d normally see.
The widening trend has continued, driving up catastrophe bond spreads a little further to the 9.42% market total return or coupon.
But, cat bond risk spreads peaked as of June 12th and actually came down slightly over the next two weeks, which could be a sign of seasonality beginning to have a larger effect (or may just be another aberration driven by continued demand-side factors).
The trend for the overall cat bond market yield coupon has been to rise steadily higher through 2026.
Cat bond market total yields stood at around 8.80% at the end of December 2025, then rising to 8.87% by the end of January, then ending February 2026 at 8.91%, to 9.06% as of March 27th 2026, then reached 9.27% as of May 1st 2026 and rose to 9.42% as of May 29th.
Now, the total return or coupon of the catastrophe bond market has risen further to 9.46% as of June 26th.
But, this time around, the actual driver of that coupon increase is a slightly higher collateral return from treasuries, as the insurance risk spread has now ended June 26th at 5.71%, which is down from 5.72% at May 29th. That trend of a declining spread yield may persist as wind seasonality kicks in more meaningfully, Plenum Investments noted.
Notably, the expected loss of the outstanding catastrophe bond market has risen over recent weeks and by June 26th was sitting at its highest so far this year.
This is a function of more cat bonds coming to market with slightly higher expected losses over the last year, as the softening of price and improved reinsurance conditions has helped sponsors to bring catastrophe bond coverage slightly lower into their towers, while introducing more features that raise the expected loss slightly at the same time.
In fact, the yield over expected loss of the catastrophe bond market (including the collateral return) declined slightly to 7.02%, although this remains more than 8.5% higher than at the beginning of this year, which suggests investors remain compensated for the slight increase in expected losses.
Plenum Investments noticed softening effects in the cat bond market yield curve, commenting, “An analysis of the overall yield curve also suggests that the market continues to soften, as reflected in the almost continuous revisions to price guidance for new issuances.”
Analyse catastrophe bond market yields over time using this chart.
