May 2011/1

A loss-threatened tranche of Glacier Re's multi-peril Nelson Re cat bond has been extended, pending loss developments from 2008's Hurricane Ike, Trading Risk can reveal.

The Massachusetts state wind pool and Hannover Re, among other (re)insurers, rejected the ILS market in favour of competitive pricing in a well-capitalised traditional market, Trading Risk can reveal.

Traymar Capital - the investment management platform of ex-RBS executives Henry Kus and Bjorn Schmolck - has received firm interest from the private equity sector to launch its first life settlement fund, Trading Risk can reveal.

Japanese losses and cat bond markdowns have hit many ILS fund managers' monthly performance results and will leave them with lower levels of diversifying assets.

Sidecar launches this year are likely to focus on the retrocession markets with $1bn-$2bn of new funds expected to join the market, predicts Goldman Sachs partner Michael Millette.

The private side of the convergence market has been gaining force over the past year and observers say its momentum is likely to continue after it cleared the hurdle of the Japanese earthquake.

Catastrophe modelling is not an exact science, but its outputs still hold sway with risk takers. Bill Keogh, president of cat modelling firm Eqecat, urges us to take a leaf out of Donald Rumsfeld's book...

Industry loss warranty (ILW) prices have stabilised from a sharp March spike, after new capacity entered the sector and buyer demand slackened.

Scor's mortality purchase; Hannover picks up Orkney; Ohio National self-insures on triple-X

Investment bank JP Morgan has gifted its LifeMetrics set of longevity index data to the Life and Longevity Markets Association (LLMA) as the group pushes ahead with developing its set of benchmark trading tools.

The private placement ILS market has gained strength in the past few years as cat bond sales remained static, broker Willis Capital Markets & Advisory argued in its first quarter report on the sector.

Collateralised reinsurance supply could be hamstrung if further loss events tie up capital this year, Aon Benfield Securities said in its first-quarter report on the ILS market.

Modelling agency RMS says Standard & Poor's (S&P) decision to review RMS-modelled US wind cat bonds will create opportunities for arbitrage as similar risks are given different ratings.

On the eve of another hurricane season, US cat reinsurers are now widely expected to enjoy typical rate increases of around 10 percent on their mid-year renewal programmes.

The cat bond market shrank in the first quarter of 2011 despite record sales for the traditionally quiet period, according to brokers.

Cat bond values have stabilised after a month of decline following the Japanese earthquake, but the market has not yet begun to make inroads on recovering the value it lost.

Chubb's monster $475mn East Lane Re IV bond issue boosted secondary cat bond trading volumes in the first quarter as investors looked to clear their portfolios to participate in the deal.

Cat bond investors have taken on more risk in 2011 than the market's long-term average, broker GC Securities said in its first-quarter ILS report.

Veteran ILS sponsor Allianz praised the "consistency" of the market as it closed a $40mn cat bond under its Blue Fin series last month.

Investors remain cautious on Japanese risk as the deadlines edge closer for determining which bonds were triggered by the 11 March earthquake.

In recent years, as we approached the US wind season, the ILS market would be in the throes of a feeding frenzy, with investors gorging on offering circulars until they had to roll away and digest the contents of their stomach.

Leading convergence investment manager Nephila Capital has sold $1.67bn of a new hybrid indemnity and parametric contract, Trading Risk can reveal.

Cat bond structurers say the market is still on track to grow in 2011 despite a sluggish start to the wind season build-up.