March 2012/1

Average ILS and industry loss warranty (ILW) rates-on-line (RoL) swelled by 15 percent in Q1 2012 according to Lane Financial but the broker-dealer warned that although prices look good, there is more tail risk lurking in the market portfolio than previously.

Hedge fund Paulson & Co has joined forces with Bermuda-based Validus Holdings to launch a $500mn reinsurer, PaCRe, in time for the mid-year US wind renewals.

Industry group the Life and Longevity Markets Association (LLMA) has launched a set of four longevity indices that can be used as a benchmark for the transfer of longevity and mortality risk.

Swiss Re has closed its new multi-sponsor cat bond Combine Re on target at $200mn, marking a new milestone for the breadth of the ILS investor base since the financial crisis of 2008-9.

Risk Management Solutions manager Jinal Shah explains how the modelling firm's new Miu Pricing platform aims to help fixed income investors analyse catastrophe risk.

1 April will be a tense and uncertain renewal for Japanese reinsurance buyers, sister publication The Insurance Insider has reported, but early indications are that premium rates will rise strongly.

The cat bond market risks discouraging future issuers if it over-reacts to the loss events of 2011 by seeking to tighten up the cover it offers reinsurance buyers, Nephila Capital managing principal Frank Majors said at the Securities Industry and Financial Markets Association ILS conference in New York.

Leading ILS fund managers John Seo and Frank Majors may run two very different shops, but both urged the market not to give into "reinsurer envy" by seeking to diversify their portfolios, speaking during panel discussions at the Securities Industry and Financial Markets Association New York conference at the start of March.

Eqecat has warned that the latest series of severe storms to strike the US may cost the insurance industry $1bn to $2bn.

Convergence facilitator Horseshoe Group has established an Irish business to complement its existing operations in Bermuda, the Cayman Islands and the US.

Two Asian advisory and research firms have launched a new index to track returns from hedge funds specialising in insurance-linked assets.

RenaissanceRe put just over $70mn of capital into its new Upsilon Re retro sidecar, Trading Risk understands.

London manager Securis Investment Partners has expanded its non-life P&C portfolio at the 1 January renewals.

Credit Suisse Asset Management (CSAM) is joining forces with Bermudian run-off specialist Armour Group to fundraise for a new fund that will target run-off opportunities in the non-catastrophe side of the P&C insurance market.

The average cat bond fund lost money for investors over the course of 2011, according to a Trading Risk survey of returns from a cross-section of dedicated ILS fund managers.

Trading in hurricane options has started strongly in 2012 with $15mn limit traded on the Chicago Mercantile Exchange (CME) in January and another $30mn of buy orders understood to be in the market.

The Cayman Islands Stock Exchange (CSX) has listed its 100th cat bond programme and series listing, with the total face value standing at around $8.5bn.

Deutsche Bank's longevity swap with insurer Aegon has tested a new kind of risk transfer structure for the market.

Broker dealers held pricing on the troubled Nelson Re Class G notes stable in March as the defunct Swiss reinsurer Glacier Re once again extended the maturity date on the notes.

An abundant supply of cat bonds for sale on the secondary market pushed pricing to a 12 month low this month.

Two bonds with unusual diversifying risk were circulating the cat bond market as Trading Risk went to press, along with Swiss Re's dual-cedant Combine Re.

The closure of Chubb's fifth cat bond in March took total Q1 issuance to $1.293bn to achieve the strongest first quarter in the sector's history and set it on track for a bumper year.

Swiss Re's new Combine Re cat bond includes the first tranche of investment grade risk to hit the cat bond market since 2007, as industry participants welcome signs of interest from non-specialist investors nearly four years on from the financial crisis.

Leading ILS fund manager Credit Suisse Asset Management (CSAM) has sold around 15 percent of its $1bn cat bond portfolio on the secondary market as it expands in collateralised reinsurance at the start of 2012, fund manager Niklaus Hilti told Trading Risk.

The Clariden Leu insurance-linked strategies team is set to move to its new home at LGT Capital Management's office in Pfäffikon, Switzerland in May or June, Trading Risk can reveal.

I have spent far more time tussling with spreadsheets and charts in the run-up to this issue than was good for the longevity of my keyboard (it's taken a bit of a bashing).

The future of Bermuda ILS start-up Dunamis is in question after funds failed to materialise to support deals pledged by the firm during the 1 January renewals, Trading Risk can reveal.

Trade in Japanese industry loss warranties (ILWs) has been picking up as ILS fund managers eye a greater share of the 1 April reinsurance renewal business.