Crop yield insurance comes with loss correlation, impeding the classical insurance risk pooling. Insurers alone cannot face the high exposure entailed by weather risks, which can even fall beyond the reinsurers’ financial capacity. Financial markets appear as a logical risk-transfer solution, investors being potentially interested by the diversifying effect of weather-linked risks. A systemic risk management strategy consisting for the insurer to isolate the correlated component of the crop yield risk and to transfer it to the financial markets through catastrophe bonds is investigated in three points. First, insurance pricing models separating the risk into a systemic and a non-systemic component are presented. Second, the interest for investors to take part in a cat bond based on agricultural risks is analyzed. The low correlation to financial markets of such bonds and their potentially high returns confirm the attractiveness of this new asset class for investors. Finally, the evolution of the market value of cat bonds issuers is studied. No general evolution is identified, but firms used to issue cat bonds may expect their market value to increase, while the firms issuing the largest bonds may expect their market value to decrease. The study is applied to the case of index insurance, based on yield proxys rather than real yields, which provides detailed data for accurate risk quantification. This work contributes to the still limited literature regarding agricultural risks and insurance by describing an integrated systemic risk management strategy providing insurers with alternative risk-sharing solutions and investors with innovative asset allocation opportunities.