February 2011/1

Almost $50mn of additional "cold-spot" industry loss warranties (ILWs) have traded in 2011 in the wake of losses in Australia and New Zealand, Trading Risk has learned.

US insurer Chubb's fourth East Lane Re cat bond more than doubled in size in marketing to close at $475mn, Trading Risk can reveal.

Veteran trader Dan Madison has left Bank of America Merrill Lynch (BAML), where he brokered a large portion of secondary cat bond trading, Trading Risk can reveal.

Risk Management Solutions (RMS) released a sweeping upgrade to its US Hurricane Model today (28 February) which is expected to significantly increase loss estimates for property catastrophe (re)insurers.

Catastrophe modelling firm AIR Worldwide has estimated that the (re)insurance industry could lose up to $8bn as a result of the second Christchurch earthquake, a loss which would roughly equal the Chilean quake that was the most costly cat last year.

US insurer The Hartford's latest Foundation Re cat bond closed at $135mn, paying investors 500 basis points (bps) above Treasury Money market returns.

Serial ILS issuer Chubb Corp is launching its fourth East Lane Re cat bond, seeking $200mn of cover against Northeastern US wind and quake losses.

London-based investment manager Securis Investment Partners plans to launch a new fund on the main London Stock Exchange (LSE) in March.

Cat bonds performed strongly in 2010, according to Swiss Re's basket of indices for the asset class, with the reinsurer hailing strong performance indicators as a sign the market has fully recovered from the financial crisis.

Swiss Re has opened the ILS scoreboard in 2011 in spectacular style, with its biggest Successor offering to date.

Further details have emerged on the latest Foundation Re issue from US insurer The Hartford, which is revisiting the cat bond market for the fourth time after raising $675mn since 2004.

Clariden Leu - which launched the first UCITS III-compliant cat fund in November last year - has teamed up with German distributor Fundmatrix.

Swiss ILS managers, Credit Suisse Asset Management (CSAM) and Clariden Leu, have seen $700mn of new fund inflows, Trading Risk can reveal.

Swiss investment manager Secquaero Advisors plans to launch a new Luxembourg ILS fund under its UCITS III-compliant platform set up by Decision Analytics.

The market share of dedicated cat funds in new ILS offerings has fallen by 30 percent since 2008 to comprise under half the market in 2010, recent research by Munich Re has shown.

The ILW market is becoming increasingly bespoke... In our regular quarterly review of the sector, Willis Re executive director Henry Kingham looks at ILW trading drivers.

The (A)XXX market saw $7bn of deals in 2010. Credit Agricole CIB executives Jorge Fries and Michel Allez look at what keeps the market beating.

Hurricane derivatives trading in IFEX event-linked futures (ELFs) had a quickfire start to 2011 after the firm was sold to the ICE Exchange last year.

As Cyclone Yasi made landfall on Australia's Queensland coast as a Category 4 storm on 3 February, brokers transacted livecat industry loss warranty (ILW) deals for traders seeking to hedge against losses.

Imminent changes to Risk Management Solutions' (RMS) US hurricane risk model are predicted to create volatility in secondary ILS trading, with expected loss figures on outstanding bonds set to rise significantly, Trading Risk understands.

A blend of slow new ILS issuance, investor capital inflows and portfolio re-balancing pushed the Swiss Re all cat bond price return index upwards in January.

TMR loses AA rating; Perils issues five loss estimates; Swiss Re calls for public-private partnerships; Pension insurer buys £500mn longevity cover

Start-up collateralised reinsurer Catco invested almost 100 percent of its $80.4mn start-up capital at the 1 January renewals, just weeks after its launch.

Near-term hurricane models used by AIR Worldwide (AIR), EQECAT and Risk Management Solutions (RMS) to project insured losses from Atlantic hurricanes are inaccurate, according to cat modelling consultancy Karen Clark & Co.

Total ILS sales of $2bn from 10 bond issues in the fourth quarter of 2010 were the "finishing touch" on a resurgent year for the sector, Aon Benfield Securities president Paul Schultz said in a Q4 2010 report.

Bermuda-headquartered Catlin Group's Newton Re 2008-1 cat bond default is the last of four transactions that had Lehman Brothers as total return swap (TRS) counterparty to fall into technical default on payment of interest to investors.

Further details have emerged on the $200mn Signum mortality note issuance concluded last November by Goldman Sachs.

Cat bond pricing is set to fall in line with traditional rates in 2011, according to Aon Benfield's investment banking arm.

US life insurer ING has transferred $615mn of redundant reserves to Credit Suisse in a year-end transaction, taking the tally for private triple-X reserve transfers to the capital markets in 2010 to $7bn.

Swiss Re has opened the ILS scoreboard in 2011 with a new issuance of notes under its Successor X shelf facility.

The chilling presence of Lehman Brothers continues to haunt the convergence sector, as a recent $450mn lawsuit from hedge fund-backed cat reinsurer Pulsar Re highlights.

The fact that capital markets investors in the (re)insurance arena are facing natural catastrophe-related claims should not be viewed in a negative light.

Leading cat bond administrator HSBC Insurance Management (HIM) is being courted by captive manager Kane Group in an acquisition bid, Trading Risk has learned.

Investment bank JPMorgan completed an innovative longevity hedge last month, but the next health check for the pension risk transfer market will come when the bank tests investors' appetite for picking up reinsurance on the deal

While they are still reeling from losses in Chile and New Zealand last year, cat funds are now facing a disproportionate share of losses from the recent flooding and windstorms in Australia