January 2011/1

Expansive ILS manager Credit Suisse Asset Management (CSAM) has launched a new extreme mortality investment fund, with capacity in the firm's IRIS suite of funds rising to $3.5bn, Trading Risk can reveal.

Investment bank JPMorgan has closed the first-ever longevity hedge to cover a pension fund for pre-retirement members.

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

Magnetar Capital's Bermudian reinsurance company, Pulsar Re, has sued Lehman Brothers to recover $450mn pledged as collateral against insurance-linked deals.

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

Swiss Re has called for more public-private initiatives to offer pre-event funding for developing countries faced with a natural disaster.

Investors in Hannover Re's $329mn catastrophe retro vehicle, K6, are set to pay around EUR50mn in losses arising from Australia's recent flooding, Trading Risk has learned.

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.

Bermuda-headquartered Catlin Group's 2008 cat bond, Newton Re 2008-1, has defaulted on its final payment, prompting ratings agency AM Best to downgrade and withdraw its ratings on the Class A notes.

Capital continued to flow into the convergence sector in 2010, as a benign natural catastrophe loss environment and evidence of non-correlation with the broader financial markets caught the attention of both institutional and retail investors.

Insurance-linked derivatives remain marginal but effective hedging tools

On the surface, there was nothing to suggest that 2010 changed anything for the life ILS market, which was brought to a skidding halt by the financial crisis.

2010 wasn't the stereotypical "game of two halves" for the ILS market - it was all about two lightning-paced quarters that racked up sales figures, putting the market in a solid position to challenge the peaks of 2006/07 in the year ahead.

2011 cat bond maturities: At $3.7bn, it's not a trickle, but the flood of maturing bonds ebbs in 2011.

Major insurance-linked investor Credit Suisse Asset Management (CSAM) has withdrawn more than $400mn of industry loss warranty (ILW) capacity as pricing falls, Trading Risk can reveal.

The Swiss Re all cat bond price return index has fallen for the fourth consecutive week, closing at 97.73 on 7 January.

$20mn of notes in three new cat bonds traded shortly after launch, as investors scrambled to acquire sought-after diversifying risk, Trading Risk can reveal.

Scor files Atropos fund docs; Aviva joins LLMA; Alternative providers enter US life reinsurance market

There is growing pressure on reinsurers with exposure to September's New Zealand earthquake as the number of markets disclosing deteriorating loss estimates increases.

A healthy market in private (A)XXX US life reserve securitisations should emerge into the public limelight next year as the life securitisation market continues to recover, Swiss Re says.

Newly minted Bermuda-domiciled catastrophe fund Catco has raised $80mn through an initial public offering on the London Stock Exchange.

December's ILS brought a cornucopia of perils, structures, territories and collateral mechanisms to the market.

All three major reinsurance brokers reported a continued fall in property catastrophe reinsurance rates at the 1 January renewals, portending further price reductions for insurance-linked capital markets.

Catastrophe risk modeller Risk Management Solutions (RMS)' revised US hurricane model, set to be launched next month, is expected to significantly increase loss estimates for property catastrophe insurers.

Mother Nature once again reminded us of her power at the dawn of 2011, with tornadoes and hailstorms across the US Midwest states almost attempting to batter the new year back from whence it came.

All major cat bond managers predict a re-run of $5bn+ cat bond issuance for the coming year, even in the absence of heavy cat losses, Trading Risk research shows.

Swiss Re's Kamp Re cat bond, which was struck with losses from Hurricane Katrina weeks after launch in 2005, has finally matured and returned around $46mn of its $190mn principal to investors, Trading Risk can reveal.