A storm front moved through the south east of the US and created significant tornado outbreaks, which caused a lot of property damage and cost the lives of over 200 people. Most of the damages occurred in the states of Alabama, Tennessee, Georgia and Mississippi.

Fortunately, out of the four CAT Bonds in our portfolio, that have exposure to US severe thunderstorm risk, three bonds have only very marginal exposure. Although no reliable loss numbers have been published, we do not expect that the losses will be high enough to trigger payments of these bonds. One position (1.9% of NAV) aggregates losses from severe thunderstorms over the year, based on state weighted insured industry losses. However, this bond is not covering the states of Alabama, Tennessee and Mississippi and has insignificant exposure to Georgia, hence the contribution to the aggregate loss should be minimal.