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Cat Bond

Overview

A strategy that invests in global catastrophe-bond-insurance-linked securities, primarily found in the Swiss Re Global Cat Bond Total Return Index.

Strategy Inception Date
June 16, 2008
Composite Inception Date
June 30, 2008
Composite AUM
(as of 11/30/2018)
$359.50 MM
Composite Benchmark
Swiss Re Cat Bond Index
Available Vehicles
Separate Account
Commingled Vehicle
Performance
Average Annual Returns
Cumulative Returns
Calendar Year Returns
as of 11/30/2018
as of 09/30/2018

Cumulative
Annualized
ytd as of 2018-09-30
1 yr 3 yr 5 yr 10 yr since inception
Cat Bond (gross of fees)
3.71% 4.17% 1.99% 3.64% 5.36% 5.16%
Cat Bond (net of fees)
2.57% 2.64% 0.50% 2.14% 3.84% 3.64%
Swiss Re Cat Bond Index
- - - - - -
Cumulative
Annualized
ytd as of 2018-11-30
1 yr 3 yr 5 yr 10 yr since inception
Cat Bond (gross of fees)
1.03% 2.28% 1.30% 2.81% 5.24% 4.82%
Cat Bond (net of fees)
-0.34% 0.76% -0.18% 1.32% 3.72% 3.30%
Swiss Re Cat Bond Index
- - - - - -

OFI Global's Cat Bond Composite includes every fully representative portfolio managed in the strategy. Certain securities may constitute a significant portion of the portfolio resulting in security and sector weightings that may differ from those of the benchmark index.

The Composite Benchmark , Merrill Lynch® 3-Month LIBOR Index/ Swiss Re Global Cat Bond Total Return Index returns are available on the Quarterly Fact Sheet.


Year Cat Bond (gross of fees) Cat Bond (net of fees) Swiss Re Cat Bond Index
2009 5.28% 3.76% 0.99%
2010 10.84% 9.26% 0.34%
2011 0.66% -0.81% 0.27%
2012 10.00% 8.43% 0.51%
2013 12.28% 10.69% -
2014 5.99% 4.46% -
2015 3.72% 2.20% -
2016 7.37% 5.83% -
2017 -4.34% -5.74% -

OFI Global's Cat Bond Composite includes every fully representative portfolio managed in the strategy. Certain securities may constitute a significant portion of the portfolio resulting in security and sector weightings that may differ from those of the benchmark index.

The Composite Benchmark , Merrill Lynch® 3-Month LIBOR Index/ Swiss Re Global Cat Bond Total Return Index returns are available on the Quarterly Fact Sheet.


Date Cat Bond (gross of fees) Cat Bond (net of fees)
11/30/2008 0.00 0.00
12/31/2008 0.71 0.59
1/31/2009 0.90 0.66
2/28/2009 1.51 1.14
3/31/2009 -0.36 -0.85
4/30/2009 0.45 -0.16
5/31/2009 1.05 0.31
6/30/2009 3.10 2.23
7/31/2009 4.12 3.12
8/31/2009 6.08 4.93
9/30/2009 8.66 7.36
10/31/2009 10.79 9.33
11/30/2009 5.87 4.34
12/31/2009 6.03 4.37
1/31/2010 7.43 5.62
2/28/2010 9.24 7.28
3/31/2010 10.03 7.92
4/30/2010 10.60 8.35
5/31/2010 10.75 8.38
6/30/2010 10.50 7.99
7/31/2010 11.07 8.42
8/31/2010 12.58 9.76
9/30/2010 14.94 11.93
10/31/2010 16.35 13.17
11/30/2010 17.04 13.70
12/31/2010 17.52 14.03
1/31/2011 18.41 14.76
2/28/2011 19.20 15.39
3/31/2011 11.74 8.02
4/30/2011 11.90 8.04
5/31/2011 12.17 8.17
6/30/2011 14.21 10.01
7/31/2011 15.52 11.14
8/31/2011 15.48 10.95
9/30/2011 17.42 12.68
10/31/2011 17.99 13.10
11/30/2011 18.46 13.42
12/31/2011 18.30 13.11
1/31/2012 18.56 13.22
2/29/2012 18.82 13.34
3/31/2012 19.28 13.64
4/30/2012 19.75 13.95
5/31/2012 20.63 14.65
6/30/2012 22.26 16.06
7/31/2012 23.26 16.88
8/31/2012 25.63 18.98
9/30/2012 28.09 21.17
10/31/2012 29.30 22.16
11/30/2012 27.65 20.45
12/31/2012 30.13 22.65
1/31/2013 31.34 23.64
2/28/2013 33.19 25.23
3/31/2013 34.51 26.32
4/30/2013 36.35 27.90
5/31/2013 37.36 28.70
6/30/2013 37.84 28.99
7/31/2013 38.74 29.68
8/31/2013 41.02 31.65
9/30/2013 43.09 33.42
10/31/2013 44.31 34.40
11/30/2013 45.10 34.98
12/31/2013 46.11 35.76
1/31/2014 47.24 36.64
2/28/2014 48.14 37.31
3/31/2014 49.04 37.98
4/30/2014 49.73 38.45
5/31/2014 49.37 37.94
6/30/2014 49.64 38.02
7/31/2014 50.44 38.60
8/31/2014 52.10 39.96
9/30/2014 53.01 40.63
10/31/2014 54.02 41.39
11/30/2014 53.85 41.05
12/31/2014 54.87 41.81
1/31/2015 55.78 42.48
2/28/2015 56.06 42.57
3/31/2015 56.23 42.54
4/30/2015 56.62 42.72
5/31/2015 56.80 42.69
6/30/2015 56.62 42.35
7/31/2015 57.55 43.02
8/31/2015 59.22 44.37
9/30/2015 61.30 46.08
10/31/2015 59.66 44.40
11/30/2015 60.36 44.87
12/31/2015 60.63 44.94
1/31/2016 60.91 45.01
2/29/2016 62.15 45.95
3/31/2016 62.96 46.51
4/30/2016 63.98 47.26
5/31/2016 64.90 47.90
6/30/2016 65.40 48.17
7/31/2016 66.64 49.10
8/31/2016 68.85 50.91
9/30/2016 70.96 52.61
10/31/2016 71.89 53.25
11/30/2016 72.61 53.71
12/31/2016 72.47 53.39
1/31/2017 73.18 53.84
2/28/2017 73.89 54.28
3/31/2017 74.39 54.54
4/30/2017 75.21 55.08
5/31/2017 75.49 55.15
6/30/2017 76.63 55.97
7/31/2017 78.33 57.28
8/31/2017 79.81 58.40
9/30/2017 64.26 44.49
10/31/2017 60.76 41.22
11/30/2017 62.98 43.00
12/31/2017 64.98 44.59
1/31/2018 68.39 47.41
2/28/2018 67.92 46.80
3/31/2018 66.36 45.25
4/30/2018 67.51 46.08
5/31/2018 68.11 46.43
6/30/2018 68.08 46.21
7/31/2018 69.66 47.41
8/31/2018 70.17 47.67
9/30/2018 71.10 48.31
10/31/2018 70.62 47.70
11/30/2018 66.68 44.09

OFI Global's Cat Bond Composite includes every fully representative portfolio managed in the strategy. Certain securities may constitute a significant portion of the portfolio resulting in security and sector weightings that may differ from those of the benchmark index.

The Composite Benchmark , Merrill Lynch® 3-Month LIBOR Index/ Swiss Re Global Cat Bond Total Return Index returns are available on the Quarterly Fact Sheet.

Portfolio

Portfolio Holdings Breakdown

Analytics
(As of 11/30/2018)

Portfolio Characteristics
Rep Portfolio
Composite Benchmark
Yield to Maturity
12.17%
-
Yield to Worst
12.17%
-
Average Coupon
7.20%
-
Effective Coupon
0.00%
-

    The Composite gross-of-fee returns reflect the reinvestment of income and the impact of transaction costs, but do not include the deduction of investment advisory fees, distribution expenses or any other account expenses, such as custodial fees. Composite net-of-fee returns are calculated by deducting a model investment advisory fee (using the maximum investment advisory fee as determined by the product’s commingled vehicle fee schedule) from the Composite gross-of-fee returns. Annual fees for the Cat Bond commingled vehicle(s) are 1.50% on the first $5 million under management, 1.25% on the next $5 million, 1.10% on the next $15 million, 0.95% on the next $25 million,  and 0.75% on any additional amount. Annual fees for the Cat Bond separate accounts are 1.00% of the market value of assets under management. Actual fees may vary depending on, among other things, the vehicle type, applicable fee schedule and portfolio size. While actual portfolios incur transaction expenses, pay investment advisory fees, and may incur other account expenses, the benchmark index is shown without the impact of such charges.

    Fixed income investing entails credit and interest rate risks. When interest rates rise, bond prices generally fall. Event-linked securities otherwise known as Cat Bonds are fixed income securities for which the return of principal and interest payment is contingent on the non-occurrence of a trigger event that leads to physical or economic loss. If the trigger event occurs prior to maturity, event-linked securities may lose all or a portion of its principal and additional interest.  Diversification does not guarantee profit or protect against loss.

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