On Friday some catastrophe bonds saw further negative secondary market price movements due to potential exposure to aggregate attachment erosion, or actual losses, from the Los Angeles and Southern California wildfires.Here we detail the latest information we have on names that experienced the most meaningful moves in the last week.As we’ve been reporting, .The range, from across the ($35bn to $45bn) and Moody’s RMS Event Response ($20bn to $30bn) estimates is for insured losses to fall in a range between $20 billion and $45 billion.

As we also reported earlier today, from the Los Angeles, California wildfires, while also stating that the Swiss Re Cat Bond Total Return Index fell -0.27% for the last week..All of the cat bonds that we mentioned in that earlier piece have experienced further negative price movements at the most recent Friday marking of positions by brokers, we understand from sources.

In addition, one more cat bond has seen a meaningful move this week, which did not see any notable price change the week prior.The reason for the incremental downward moves in secondary prices for these cat bonds this week is likely down to the emergence of greater clarity over the potential quantum of industry losses, as more estimates emerged including those from catastrophe risk modelling firms.First, Farmers Insurance Group’s catastrophe bond has seen its $100 million of indemnity per-occurrence Class A notes marked down further at the most recent pricing.

Last week we explained that one pricing sheet marked the price down around 20%, another by around 6%, at the mid of bid and offer.In the recent pricing, we’re told these notes have come down by roughly a further 30% at the mid, with them now said to be marked for bids as low as 20 cents on the dollar on one sheet, according to sources.Similar to after last week, there remains a wide spread between bid and offer prices for the Topanga Re Class A cat bond notes, indicating more uncertainty in these marks at this time.

Next, the remaining $117 million of notes ($150m at issuance, but a reduction occurred) from the worldwide peak peril aggregate industry-loss deal sponsored by re/insurer Arch Capital that saw its notes marked down roughly 3% a week ago.Now, we’re told the single tranche of notes from this deal came down a further roughly 20% at the mid of bid and offer, being marked around 50 to 60 cents on the dollar across certain broker pricing sheets.The Class A notes of Fidelis’ aggregate industry-loss trigger cat bond, which were down as much as 20% at the mid of bid and offer last week, have moved further.

The Herbie Re 2021-1 Class A notes have fallen a further roughly 10% in the recent pricing, leaving them marked at around 50 to 60 cents, although its worth highlighting again that this tranche had already faced a principal reduction of around $20 million, leaving roughly $130 million of notes outstanding.The one cat bond added to the list this week, of those having seen more meaningful movements after the wildfires, is Liberty Mutual’s most recent deal, the issuance, whose $100 million Class C notes have moved down almost 15% in pricing this week, we are told.The Mystic Re 2025-1 Class C notes provide Liberty Mutual with indemnity annual aggregate reinsurance for losses from a range of perils including wildfires.

There have also been further negative secondary mark price movements for four tranches of outstanding Residential Re aggregate cat bonds, that provide indemnity reinsurance protection to their sponsor USAA.Each of these tranches had also moved in the previous week.For the cat bond, the $100 million Class 11 notes which had been marked down as much as 12% in some sheets last week (but had been marked before on previous events), have now fallen a further 20% plus in some cases at the mid, leaving them marked as low as 40, we are told.

The $100 million Class 12 notes from the same issuance that also fell 12% a week ago, have fallen a further 11%, leaving them marked around 70 to 80.From USAA’s cat bond, the $35 million Class 11 notes which fell approximately 10% at the mid last week are down a further 20% plus in some cases, leaving them marked for bids around the 40’s.While the $60 million Class 12 notes from the same issuance, that fell roughly 9% in the previous marking, were down a further 10% or more in the recent price sheets, leaving them marked around 70 to 80, we understand.

Finally, the $45.5 million private cat bond that provides indemnity per-occurrence reinsurance from the capital markets to Mercury Insurance.These Randolph Re 2024-1 cat bond notes are said to have been marked down roughly 11% at the mid in the previous pricing, but have now fallen a further roughly 10%, we understand, leaving them said to be marked for bids of 77.We reported earlier that .

We assume the Randolph Re cat bond would be exposed to either, if Mercury chooses to treat the Palisade and Eaton fire events as separate.Further negative price movements have been seen across certain other aggregate cat bond deals, although by far smaller amounts, we understand, indicating the above are the catastrophe bonds currently seen as most exposed to the still-developing wildfire losses.It remains early for any clear visibility of exposure to the two indemnity per-occurrence cat bonds mentioned above, the Topanga Re and Randolph Re issues, while for the other aggregate cat bond tranches this remains a case of prices being marked down for expected erosion of aggregate attachments, making them potentially more exposed to losses for the remainder of their risk periods.

Across the 8 tranches of 144A catastrophe bonds and some other bonds with slight moves, but not including the private Randolph Re, the mark-down in values appears to be in the $190 million to $200 million range, at the mid, since the beginning of this year, so including all the price movement for these tranches since the wildfires began.With an additional just under $10 million in mark-down implied on the latest information for that Randolph Re cat bond, for an almost $210 million total.Against the outstanding cat bond market this suggests the effect of the wildfires is currently a mark-to-market implied writedown of under half a percent, it seems.

However, given these are largely aggregate deals, there is no certainty any actual losses will be faced by those bonds, being just mark-to-market implied against their eroded attachments.Of course, the occurrence deals may also not end up facing losses.At this time there is no clarity from sponsors, we understand.

Which is not surprising given the recency of the wildfire catastrophe in Los Angeles and the fact claims are still being filed...All of our Artemis Live insurance-linked securities (ILS), catastrophe bonds and reinsurance can be accessed online.

Our can be subscribed to using the typical podcast services providers, including Apple, Google, Spotify and more.