World Bank Pandemic Catastrophe Bond Under Pressure As Coronavirus Spreads

I have become convinced these things were designed to NOT pay.
As noted previously:
Reinsurance: "No coronavirus price response from World Bank’s pandemic cat bond yet"

We saw with Ebola that, even after both triggers—1) a minimum 250 victims and 2) the crossing of an international border—were reached, the World Bank's Pandemic Emergency Facility was very reluctant to declare the payout, eliciting some snark from yours truly:

"And if the cross-border contagion is reported on a day ending in a 'Y' all contracts will be null-and-void and coverage denied." 

From Artemis:

Coronavirus pressure on pandemic cat bond rises as virus spreads

The pressure is rising on the World Bank’s pandemic catastrophe bond transaction as the novel coronavirus (2019-nCoV or Covid-19) spreads internationally and the number of deaths in certain countries around the globe nears the trigger point.

As we explained in January, the novel coronavirus (2019-nCoV or Covid-19) outbreak that began in the city of Wuhan in Hubei province China poses a threat to the World Bank’s $320 million IBRD CAR 111-112 pandemic catastrophe bond transaction that provides a source of insurance or reinsurance capital to back the Pandemic Emergency Financing Facility (PEF).

The coronavirus outbreak has the potential to become an eligible event under the terms of the World Bank’s pandemic catastrophe bond notes that provide insurance or reinsurance like capacity to back a pandemic financing facility.

The bonds and reinsurance like component of the financing behind the facility can be triggered if the outbreak reaches pandemic levels and meets certain pre-defined trigger criteria, in terms of officially confirmed cases, growth rate, fatalities and international spread.

As of the beginning of February, the two tranches of notes issued as the World Bank’s pandemic catastrophe bond had not shown any significant response to the coronavirus outbreak.

Secondary market bid indication data from broker-dealer pricing sheets as of February 17th then showed that the price or marks had reacted to the escalating coronavirus situation, with average bid dropping to around 45 cents on the dollar for the riskier Class B tranche of notes.

The secondary marks have not slipped much further at this stage, with a range of pricing from low 40’s to around 70 as of Friday’s pricing sheets, we understand from investor sources.
Most are citing a bid average of 45 to 55 now, depending on which pricing sheet you look at.

We can also reveal that there has been selling interest at these bid ranges, as our sources said that some investors appear to be preparing to sell the notes....

....MUCH MORE

Essential reading if you have an interest in cat bonds or structured products or Insurance Linked Securities.