December 2009/1

Following the recent ILS trend, the December issue of Trading Risk is a bumper one -  increasing in size during production to 20 pages.

Reinsurer plans launch of £67mn Lloyd's syndicate and retro sidecar

Bank of America tests market for new Barbadian collateralised retro venture

Ex-Stark Investments ILS portfolio managers Tony Rettino and John DeCaro have launched Elementum Advisors, completing their management buy-out as first reported by Trading Risk in July.

A loss looks increasingly likely on the Class G notes of Glacier Re's 2008 Nelson Re, as claims from last year's Hurricane Ike threaten to trigger the bond.

French reinsurer SCOR Global P&C has launched a EUR75mn Euro wind and Japanese earthquake cat bond, Atlas VI, as first predicted by Trading Risk in October.

Zurich American Insurance Company is believed to be closely monitoring the progress of Swiss Re's Redwood XI as a test case for its mooted Lakeside Re cat bond renewal, Trading Risk understands.

Did earthquake model changes make 2009 Redwood series viable?

Secondary market traders registered an uptick in cat bond trading in November, as the US wind season drew to a close and US wind-exposed bonds came off-risk.

The secondary market price of 2009 cat bonds has shot up to an average 108-112 cents to the dollar, reflecting strong demand for the high yields in early post-Lehman issuance.

Secondary market pricing on Glacier Re's troubled Nelson Re Class G notes slumped to around 7-10 cents to the dollar after Moody's Investor Service downgraded the $67.5mn US wind-exposed G tranche in late November on news of mounting losses from Hurricane Ike.

The four cat bonds to close in recent weeks were all upsized, but investors' participation was still heavily marked down...

As the year-end inches closer, the tally of ILS issuance has reached $2.5bn. And with a healthy pipeline of deals, total issuance for the year is set to exceed the $2.8bn of deals placed in 2008.

The resilient performance of catastrophe bonds has enabled Amlin's ILS fund manager, Leadenhall Capital Partners, to post an 11.5 percent return on its portfolio this year.

Moody's Investors Service has confirmed the Baa1 rating of $95mn of Unum's Tailwind life securitisations and withdrawn the ratings on $575mn of Protective's Golden Gate II life securitisations, following the February downgrade of monoline insurer MBIA Insurance Corporation.

Moody's downgraded Nelson Re's $67.5mn Class G notes to Ca from B3 on 24 November, concluding a review for downgrade initiated in March this year.

A desire by investors for transparency and greater regulatory oversight following last year's Bernard Madoff fraud is causing more European hedge funds to head onshore, according to research by HedgeFund Intelligence.

The world's largest reinsurer, Munich Re, has set out its plans to develop the ILS sector by championing lower returns and less concentration on peak US wind perils.

Ratings agency Fitch said its concerns overreinsurers' ability to tap capital markets following a significant catastrophe have "sufficiently eased", after revising its outlook on the global reinsurance sector from negative to stable.