June 2011/1

Despite opening the year with "optimism and swagger," the cat bond market was cut down to size by the new RMS hurricane model in Q2 as new issuance was stalled by pricing uncertainty, according to broker Willis.

European exposure and loss collator, Perils AG, has added Norway and Sweden to its coverage, completing the suite of countries potentially exposed to a European windstorm.

Ratings agency AM Best has downgraded $175mn of Flagstone Re's Montana Re 2009 US wind and quake cat bond, in light of higher attachment probabilities under RMS's new Version 11.0 US hurricane model.

Tom Skwarek, managing director of corporate strategic solutions at Swiss Re, is leaving his role after 12 years with the global reinsurer.

Risk modeller RMS released its latest Europe windstorm model today (12 July), introducing three new countries to the model and increasing risk profiles in most regions.

Outstanding cat bond capacity fell to $11.5bn in Q2 2011, marking its lowest ebb since the final quarter of 2008 and the height of the financial crisis.

The California Earthquake Authority (CEA) board has approved a $150mn single peril cat bond to be issued via a Bermudian reinsurer, Trading Risk can reveal.

French-headquartered reinsurer Scor has issued EUR75mn of new shares as its contingent capital deal with investment bank UBS is triggered on rising first-quarter catastrophe loss estimates.

Broker Towers Watson Capital Markets (TWCM) has structured and sold its first cat bond deal, an $11.95mn private placement for a Floridian insurance company.

French-headquartered reinsurer Scor will draw down the first EUR75mn tranche of its contingent capital credit line from investment bank UBS after lifting its first-quarter catastrophe loss estimates by EUR10-15mn.

Guy Carpenter has said that if the demand for industry loss warranties (ILWs) is sustained then prices look set to reach an all-time high.

Non-marine retrocession rates have risen by between 10 and 25 percent since losses from March's Japan and New Zealand earthquakes hit capacity providers, according to global broker Willis Re.

Swiss investment manager Twelve Capital has secured a $150mn ILS mandate from Denmark's largest occupational pension fund.

London-based ILS manager Leadenhall Capital Partners has raised another $50mn from investors, compounding an earlier $50mn June inflow and taking total assets under management to $210mn.

Ratings agency Standard & Poor's (S&P) has downgraded American Family Mutual 's Mariah Re 2010-1 cat bond as the loss tally from May's Joplin tornado reached 88 percent of the $300mn attachment point on the notes.

Elementum Advisors founding principal Tony Rettino was named Outstanding Contributor of the Year at the Trading Risk awards dinner in London last night (23 June).

A group of 200 convergence market luminaries gathered in London last night (23 June) to celebrate and reward the skill, innovation and vision so evident in this sector at the Trading Risk Awards 2011.

First-time cat bond issuer Argo Group has described its $100mn Loma Re transaction as the most efficient way to expand its reinsurance and retro programmes ahead of this year's US wind season.

Clariden Leu shuts doors to cash influx; Alternative beta for Australian fund; Greenlight reports lossTraymar courts private equity for $100mn life settlement fund

A handful of small to mid-sized European ILS fund managers have succeeded in riding the wave of interest in insurance-linked investments by raising over $250mn in recent weeks, Trading Risk can reveal.

In a similar reaction to that of the traditional markets at the busy June and July renewal season, the impact of the model changes in the convergence sector appears to have been muted.

The Massachusetts state wind pool and Hannover Re, among other (re)insurers, rejected the ILS market in favour of competitive traditional offers at the mid-year renewals.

Collateralised reinsurers wrote around one third of the $550mn reinsurance programme bought this June by Florida's state-backed insurer Citizens, Trading Risk understands.

Cat underwriters were broadly satisfied at the Florida-dominated 1 June reinsurance renewals, with average risk-adjusted rate rises calculated to be in the 10-15 percent range, according to analysis from sister publication The Insurance Insider.

Hurricane derivatives trading reached $22mn in May on the Chicago Mercantile Exchange (CME) and rival IFEX.

An influx of new capital into the industry loss-warranty (ILW) market would be timely after the market hardened in the wake of losses, broker Guy Carpenter said in a report on the June renewals.

The weather insurance derivative market grew by nearly 20 percent in the past year, a survey released by the Weather Risk Management Association (WRMA) shows.

Atlas downgraded; Top Layer affirmed

Credit Suisse renews Lincoln triple-X; Reinet ponders £400mn Pension Corp stake; AM Best cautious on life settlement securitisations; Pension swaps still in train; Life ILS ratings blow

Swiss-based ILS fund manager Secquaero Advisory has structured a EUR60mn embedded value (EV) life insurance securitisation where it will act as transformer vehicle, manager and investor.

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.

The 2011 Atlantic windstorm season officially opened on 1 June, with meteorologists again predicting a stormy season.

The new US hurricane model from Eqecat will show slightly lower expected losses from the peril than the previous version, the firm's president Bill Keogh told Trading Risk ahead of its launch in July.

Insured losses from the US tornado season are nearing the $20bn mark after storms wrought destruction across many states in late May.

A small amount of exhausted Japanese quake cat bond Muteki traded last month at 0.75 cents to the dollar.

The secondary ILS market recovered quickly last month from the shock of significant changes to hurricane risk models from leading modeller RMS.

Two $100mn Mariah Re cat bonds from US insurer American Family Mutual Insurance have been trading around 90 cents to the dollar after a brutal start to the US tornado season, Trading Risk understands.

Trading on the secondary cat bond market leapt in volume in May ahead of the start of the US hurricane season, increasing to $170mn from $85mn in April, Trading Risk understands.

Two US wind bonds closed above their fundraising targets last month despite reports of a pricing stand-off ahead of the key mid-year renewals.

Major insurance-linked investor Credit Suisse Asset Management (CSAM) has ratcheted up its industry loss warranty (ILW) capacity in the past six months, marking a swift turnaround in policy as cat bond sales dragged.

Collateralised reinsurer Aeolus Capital Management has raised more than $500mn to invest in the mid-year renewals as its private equity owners back out of the business, Trading Risk can reveal.

Cat fund investors are joining their traditional (re)insurance peers in considering private, shelf sidecar vehicles, in anticipation of a heavy US wind season turning the market.