This article analyzes the drivers and implications of catastrophe bonds’ growing popularity as an alternative asset class. As investor demand for bonds outpaces their supply from reinsurers, the study asks how the place‐based physical vulnerabilities of fixed capital have been rendered into assets deemed increasingly desirable by growing blocks of financial capital. Combining data from extended interviews with industry datasets and market reports, the study demonstrates how this securitization pathway allows mobile capital on a search for yield to reframe spatial liabilities as tradable assets, thus accessing new “returns on place.” By aggregating and analyzing data on approximately $37 billion in catastrophe bond transactions since 1997, the study reveals both the ongoing concentration of capital in so‐called “peak perils” such as U.S. hurricane and earthquake risks, and the fragmentation and recombination of peak perils to create new risk/return profiles. These purposive, scalable, and selective financial engagements with catastrophic risks depend upon the avoidance of the fixed costs and relational entanglements borne by (re)insurers. This ambivalent relationship with geographical liabilities is reaching its logical apogee in recent proposals to expand the catastrophe bond market to capitalize on growing climate change risks. This movement to “underwrite to securitize” intentionally emulates the “originate to securitize” model pioneered in mortgage‐backed securities. This study argues that such developments could ultimately yield a built environment that is both more dependent on the state as an insurer of last resort and less adapted to climate extremes.