4/1的时候美国发行了第一支巨灾债券(CAT bond)ETF - Brookmont Catastrophic Bond ETF(ILS)
不知道CAT bond 是什么的可以先看这部影片 https://reurl.cc/Lak9zX
以下是SEC文件介绍
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翻译:
主要投资策略
本基金为主动管理型交易所交易基金（“ETF”）。在正常情况下，基金至少将80%的净资
产（加上用于投资目的的借款，如有）投资于巨灾债券。巨灾债券，也称为事件挂钩债券
或保险挂钩债券，是一种结构化证券，保险公司或再保险公司通过此类证券将特定风险（
通常与重大事件如灾难或自然灾害相关）转移给资本市场投资者。这些投资还可能涵盖死
亡率、长寿风险及运营风险等其他风险。就本基金80%的投资比例要求而言，巨灾债券包
括其他形式的保险挂钩证券（“ILS”），例如比例再保险工具（一种比例再保险形式，
投资者参与再保险公司巨灾导向保单组合的保费和损失）、与非比例再保险（如超赔、止
损等）相关的债券或票据（“超赔票据”）、抵押化再保险投资及行业损失担保，以及其
他保险和再保险相关债券。
巨灾债券和其他保险挂钩证券的本金偿还及利息和/或股息支付通常取决于预先定义的“
触发”事件是否发生，例如特定强度的飓风或地震，或保险损失及其他指标是否超过特定
阈值。触发事件的严重程度可能基于公司或行业的损失、行业指数或科学仪器读数，也可
能基于实际损失。如果发生触发事件（根据巨灾债券或其他保险挂钩证券的条款定义），
基金可能会损失部分或全部投资本金，并丧失获得该证券额外利息和/或股息支付的权利
。
触发事件
本基金投资的触发事件通常与自然灾害或事件相关，包括飓风、风暴、龙卷风、火灾、洪
水及其他天气相关现象。触发事件还可能包括地震和海啸。此外，巨灾债券的触发事件可
能涉及非自然灾害，例如飞机失事，或其他导致特定程度物理或经济损失的事件（如死亡
率或长寿风险）。但本基金预计不会大量投资此类证券。
触发事件通常由三项标准定义：(1) 事件类型；(2) 事件发生的地理区域；(3) 事件造成
的经济或物理损失阈值（实际或模型预测）及测量该损失的方法。只有当债券存续期间满
足全部三项标准时，才视为触发事件发生。本基金对可投资的巨灾债券所涉及的自然灾害
类型、地理区域或损失阈值无限制。一般而言，触发事件是指会导致重大物理或经济损失
的自然灾害。
在每种自然灾害和地理区域内，基金致力于分散底层保险及再保险机构、触发类型和业务
线的风险暴露。
由于巨灾债券和其他保险挂钩证券通常评级低于投资级或无评级，基金资产的主要部分通
常由高风险或投机性的非投资级（高收益）债务证券构成。基金投资的证券还可能劣后于
发行人的其他优先级证券。巨灾债券的评级主要反映评级机构对预定义触发事件发生概
率的计算结果（该事件将导致本金损失）。评级还可能评估债券抵押资产池（如有）的信
用风险，以及用于计算触发事件概率的模型的可靠性。
投资期限与地域分布
本基金对所投资证券的期限无限制。巨灾债券的期限通常为3至5年，而比例再保险工具、
抵押化再保险投资及行业损失担保的期限一般不超过2年。期限是指证券到期最终偿付所
需的时间。
本基金投资的巨灾债券涵盖多种灾害类型和地理区域（例如佛罗里达飓风、加利福尼亚地
震、日本台风、欧洲风暴及欧洲地震）。基金对单一证券、灾害或地理区域的风险暴露无
限制。但某些时期，基金可能相对更多地暴露于美国相关灾害。此外，由于此类投资在整
个市场中占比更高，基金可能阶段性增持与佛罗里达飓风挂钩的巨灾债券，而非其他区域
或灾害类型的证券。
心得:
根据Larry Swedroe在morningstar写的专栏https://reurl.cc/M3lnev
2002-2023CAT bond 年化收益达6.7% SD5% SR高达1.16，且跟股债相关性极低
感觉是项不错的资产配置标的，但是本版甚至整个台湾好像鲜少有人讨论此类产品，连哆
拉王那种超复杂的配置都没有出现过，不知到是不是以前没有投资管道的原因，现在美国
终于发行了第一支CAT bond ETF，可惜到目前为止AUM只有9.04M，且因为是主动式ETF的
关系，管理费高达1.58%，不过感觉这类的资产想要靠主动操作创造Alpha好像比其他资产
容易?