[情報]美國發行第一支巨災債券ETF

看板Foreign_Inv (海外投資)作者jerry212 (jerry)時間23小時前 (2025/06/13 13:18)推噓6(6推 0噓 18→)

留言24則, 9人參與討論串1/1

4/1的時候美國發行了第一支巨災債券(CAT bond)ETF - Brookmont Catastrophic Bond ETF(ILS) 不知道CAT bond 是什麼的可以先看這部影片 https://reurl.cc/Lak9zX 以下是SEC文件介紹 Principal Investment Strategies The Fund is an actively managed exchange-traded fund (“ETF”). Under normal circumstances, the Fund invests at least 80% of its net assets (plus the amount of borrowings, if any, for investment purposes) in catastrophe bonds. Catastrophe bonds, also known as event-linked or insurance-linked bonds, are structured securities whereby insurers or reinsurers transfer specific risks, typically those associated with severe events such as catastrophes or natural disasters, to capital market investors. These investments also may cover risks such as mortality, longevity and operational risks. For purposes of the Fund’s 80% test, catastrophe bonds include other forms of insurance-linked securities (“ILS”), including quota share instruments (a form of proportional reinsurance in which an investor participates in the premiums and losses of a reinsurer’s portfolio of catastrophe-oriented policies), bonds or notes issued in connection with excess-of-loss, stop-loss, or other non-proportional reinsurance (“Excess of Loss Notes”), collateralized reinsurance investments and industry loss warranties, and other insurance-and reinsurance-related bonds. The return of principal and the payment of interest and/or dividend payments with respect to catastrophe bonds and other ILS typically are contingent on the non-occurrence of a pre-defined “trigger” event, such as a hurricane or an earthquake of a specific magnitude or insurance losses or other metrics exceeding a specific amount. The trigger event’s magnitude may be based on losses to a company or industry, industry indexes or readings of scientific instruments, or may be based on specified actual losses. If a trigger event (as defined within the terms of a catastrophe bond or other ILS) occurs, the Fund may lose a portion or all of its principal invested in such security and the right to additional interest and/or dividend payments with respect to the security. Trigger Events Trigger events with respect to the Fund’s investments typically relate to natural disasters or events, including hurricanes, windstorms, tornados, fires, floods, and other weather-related phenomena. Trigger events may also include earthquakes and tsunamis. In addition, catastrophe bonds may have trigger events that are non-natural catastrophes, such as plane crashes, or other events resulting in a specified level of physical or economic loss, such as mortality or longevity (life-span). The Fund does not expect to invest significantly in such securities. Trigger events are typically defined by three criteria: an event; a geographic area in which the event must occur; and a threshold of economic or physical loss (either actual or modeled) caused by the event, together with a method to measure such loss. In order for a trigger event to be deemed to have occurred, each of the three criteria must be satisfied while the bond is outstanding. The Fund has no limit as to the types of natural catastrophes, geographic areas or thresholds of loss referenced by event-linked bonds in which it can invest. Generally, the event is a natural peril of a kind that results in significant physical or economic loss. Within each natural peril and geographic region, the Fund seeks to diversify exposures to underlying insurance and reinsurance carriers, trigger types, and lines of business. Because catastrophe bonds and other forms of ILS are typically rated below investment grade or unrated, a substantial portion of the Fund’s assets ordinarily will consist of below investment grade (high yield) debt securities that are high risk or speculative. Securities in which the Fund may invest may also be subordinated or “junior” to more senior securities of the issuer. The rating for a catastrophe bond primarily reflects the rating agency’s calculated probability that a pre-defined trigger event will occur, which will cause a loss of principal. This rating may also assess the credit risk of the bond’s collateral pool, if any, and the reliability of the model used to calculate the probability of a trigger event. The Fund has no limit as to the maturity of the securities in which it invests. Catastrophe bonds typically have maturities between three and five years, while quota shares, collateralized reinsurance investments and industry loss warranties typically have maturities that generally do not exceed two years. Maturity is a measure of the time remaining until final payment on the security is due. The Fund invests in catastrophe bonds across a varied group of available perils and geographic regions (for example, Florida hurricanes, California earthquakes, Japan typhoons, Europe windstorms, and Europe earthquakes). There are no limits on the Fund’s potential investment in a particular issue, peril or geographic exposure. However, from time to time, the Fund may have relatively more exposure to U.S.-related perils. In addition, from time to time, the Fund may have relatively more exposure to catastrophe bonds linked to Florida hurricanes than to other regions or perils as a result of the greater availability of such investments in proportion to the overall market. GPT翻譯: 主要投資策略本基金為主動管理型交易所交易基金（“ETF”）。在正常情況下，基金至少將80%的淨資產（加上用於投資目的的借款，如有）投資於巨災債券。巨災債券，也稱為事件掛鉤債券或保險掛鉤債券，是一種結構化證券，保險公司或再保險公司通過此類證券將特定風險（通常與重大事件如災難或自然災害相關）轉移給資本市場投資者。這些投資還可能涵蓋死亡率、長壽風險及運營風險等其他風險。就本基金80%的投資比例要求而言，巨災債券包括其他形式的保險掛鉤證券（“ILS”），例如比例再保險工具（一種比例再保險形式，投資者參與再保險公司巨災導向保單組合的保費和損失）、與非比例再保險（如超賠、止損等）相關的債券或票據（“超賠票據”）、抵押化再保險投資及行業損失擔保，以及其他保險和再保險相關債券。巨災債券和其他保險掛鉤證券的本金償還及利息和/或股息支付通常取決於預先定義的“ 觸發”事件是否發生，例如特定強度的颶風或地震，或保險損失及其他指標是否超過特定閾值。觸發事件的嚴重程度可能基於公司或行業的損失、行業指數或科學儀器讀數，也可能基於實際損失。如果發生觸發事件（根據巨災債券或其他保險掛鉤證券的條款定義），基金可能會損失部分或全部投資本金，並喪失獲得該證券額外利息和/或股息支付的權利。觸發事件本基金投資的觸發事件通常與自然災害或事件相關，包括颶風、風暴、龍捲風、火災、洪水及其他天氣相關現象。觸發事件還可能包括地震和海嘯。此外，巨災債券的觸發事件可能涉及非自然災害，例如飛機失事，或其他導致特定程度物理或經濟損失的事件（如死亡率或長壽風險）。但本基金預計不會大量投資此類證券。觸發事件通常由三項標準定義：(1) 事件類型；(2) 事件發生的地理區域；(3) 事件造成的經濟或物理損失閾值（實際或模型預測）及測量該損失的方法。只有當債券存續期間滿足全部三項標準時，才視為觸發事件發生。本基金對可投資的巨災債券所涉及的自然災害類型、地理區域或損失閾值無限制。一般而言，觸發事件是指會導致重大物理或經濟損失的自然災害。在每種自然災害和地理區域內，基金致力於分散底層保險及再保險機構、觸發類型和業務線的風險暴露。由於巨災債券和其他保險掛鉤證券通常評級低於投資級或無評級，基金資產的主要部分通常由高風險或投機性的非投資級（高收益）債務證券構成。基金投資的證券還可能劣後於發行人的其他優先順序證券。巨災債券的評級主要反映評級機構對預定義觸發事件發生概率的計算結果（該事件將導致本金損失）。評級還可能評估債券抵押資產池（如有）的信用風險，以及用於計算觸發事件概率的模型的可靠性。投資期限與地域分佈本基金對所投資證券的期限無限制。巨災債券的期限通常為3至5年，而比例再保險工具、抵押化再保險投資及行業損失擔保的期限一般不超過2年。期限是指證券到期最終償付所需的時間。本基金投資的巨災債券涵蓋多種災害類型和地理區域（例如佛羅里達颶風、加利福尼亞地震、日本颱風、歐洲風暴及歐洲地震）。基金對單一證券、災害或地理區域的風險暴露無限制。但某些時期，基金可能相對更多地暴露於美國相關災害。此外，由於此類投資在整個市場中占比更高，基金可能階段性增持與佛羅里達颶風掛鉤的巨災債券，而非其他區域或災害類型的證券。心得: 根據Larry Swedroe在morningstar寫的專欄https://reurl.cc/M3lnev 2002-2023CAT bond 年化收益達6.7% SD5% SR高達1.16，且跟股債相關性極低 https://imgur.com/a/C7HAR8k 感覺是項不錯的資產配置標的，但是本版甚至整個台灣好像鮮少有人討論此類產品，連哆拉王那種超複雜的配置都沒有出現過，不知到是不是以前沒有投資管道的原因，現在美國終於發行了第一支CAT bond ETF，可惜到目前為止AUM只有9.04M，且因為是主動式ETF的關係，管理費高達1.58%，不過感覺這類的資產想要靠主動操作創造Alpha好像比其他資產容易? -- ※ 發信站: 批踢踢實業坊(ptt.cc), 來自: 123.194.248.97 (臺灣) ※ 文章網址: https://www.ptt.cc/bbs/Foreign_Inv/M.1749791912.A.503.html

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