rose slightly through the month of March 2026 as seasonal widening effects resulted in a higher risk spread or discount margin for cat bonds.Which slimmed the year-on-year decline in the coupon to around 13%, the latest data from Plenum Investments shows.Cat bond risk spreads moved higher slightly in February and that trend continued in the final month of the first-quarter of 2026.

Cat bond market yield coupons have now risen through 2026 so far due to relatively slow-paced spread widening, from at the end of December 2025, to 8.87% at the end of January, then again to .Through the last month, the rose by an additional almost 2% to reach 9.06% as of March 27th 2026.Which means the cat bond market yield coupon is now up by 3% over the course of 2026 so far and is now down by 13% year-on-year, compared to having been down almost 15% Y-o-Y at the end of February.

However, the all-important insurance risk spread, or discount margin, of the catastrophe bond market has risen a bit faster, being now up by nearly 4% over the year-to-date.Plenum Investments commented on cat bond market yield dynamics, “The average market yield continues to widen, as it is expected during the winter months, with a 2.3% yield increase compared to February.However, on a year by year basis, the yield decreased by around 10%, signaling a continuation of the softening of the market.

“This softening of the market is further evidenced by the downward price guidance revision in most of the recent primary market transactions.” Recall that, the insurance risk spread, or discount margin, of the catastrophe bond market had declined to as low as 4.88% at November 28th 2025, but then risen 6% to reach 5.17% by December 26th 2025, to 5.21% by the end of January, and to 5.25% by February 27th.The risk interest spread of the cat bond market rose to 5.37% by March 27th 2026.The risk-free return on collateral reached 3.69% at that date, while the expected loss of the cat bond market, as measured using Plenum Investment’s methodology, fell to 2.33%.

As a result, the yield including the risk free rate over expected loss of the cat bond market rose to 6.73% at March 27th 2026, which is now up by 4% since the end of 2025.The catastrophe bond market does continue to be affected by high-levels of investor interest, capital and issuance activity, but has helped to moderate things somewhat.It will be interesting to see how the market yield adjusts to the and the influx of capital they will bring through Q2.

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