For each tranche of World Bank cat bonds issued since 2012:
i. The length of time on risk;
ii. The final pricing spread;
iii. The final size of the tranche;
iv. The amount of premium earned while on risk, less any payouts; and
v. That premium expressed as an annualised return on invested collateral
| Bond | i. On risk | ii. Spread (bps) | iii. Size ($mn) | iv. Premium ($mn) | v. Annualised return |
|---|---|---|---|---|---|
| MultiCat 2012-I A (Mexico) | 3.2 yrs | 800 | 140 | 35 | +7% |
| MultiCat 2012-I B (Mexico) | 3.2 yrs | 775 | 75 | 18 | +7% |
| MultiCat 2012-I C (Mexico) | 3.1 yrs | 750 | 100 | −27 | −10% |
| World Bank-CCRIF 2014-1 (CCRIF) | 3.0 yrs | 630 | 30 | 6 | +6% |
| IBRD CAR 113 (Mexico) | 0.2 yrs | 450 | 150 | −149 | −100% |
| IBRD 112-B (IBRD) | 2.8 yrs | 1150 | 95 | −64 | −33% |
| IBRD CAR 115 (Mexico) | 2.4 yrs | 590 | 110 | 15 | +6% |
| IBRD CAR 114 (Mexico) | 2.4 yrs | 930 | 100 | 22 | +9% |
| IBRD CAR 111-A (IBRD) | 2.8 yrs | 690 | 225 | 6 | +1% |
| IBRD CAR 120 (Peru) | 1.4 yrs | 600 | 200 | −43 | −16% |
| IBRD CAR 119 B (Mexico) | 2.0 yrs | 825 | 100 | 17 | +8% |
| IBRD CAR 117 (Colombia) | 3.0 yrs | 300 | 400 | 36 | +3% |
| IBRD CAR 116 (Chile) | 3.0 yrs | 250 | 500 | 38 | +2% |
| IBRD CAR 118 A (Mexico) | 2.0 yrs | 250 | 160 | 8 | +3% |
| IBRD CAR 123 A (IBRD) | 3.0 yrs | 550 | 75 | 12 | +5% |
| IBRD CAR 124 B (IBRD) | 2.2 yrs | 565 | 150 | −34 | −11% |
| IBRD 2020 CAR B (Mexico) | 4.0 yrs | 900 | 60 | 22 | +8% |
| IBRD 2020 CAR D (Mexico) | 3.7 yrs | 650 | 125 | −32 | −8% |
| IBRD 2020 CAR C (Mexico) | 4.0 yrs | 1000 | 125 | 50 | +9% |
| IBRD 2020 CAR A (Mexico) | 4.0 yrs | 350 | 175 | 24 | +3% |
| IBRD CAR 130 (Jamaica) | 2.4 yrs | 440 | 185 | 20 | +4% |
| IBRD CAR 2023-1 (IBRD) | 1.5 yrs | 475 | 350 | 25 | +5% |
| IBRD CAR 136 (Jamaica) | 0.4 yrs | 700 | 150 | 4 | +7% |
| IBRD CAR 132 A (Mexico) | 0.5 yrs | 400 | 225 | 4 | +4% |
| IBRD CAR 133 B (Mexico) | 0.5 yrs | 1100 | 70 | 3 | +11% |
| IBRD CAR 134 C (Mexico) | 0.5 yrs | 1350 | 125 | 8 | +14% |
| IBRD CAR 135 D (Mexico) | 0.4 yrs | 1200 | 175 | 8 | +13% |
| Collateral-weighted average | −1% | ||||