September 2010/1

Investor appetite for extreme mortality exposure is about to be tested with a new offering of notes under Swiss Re's long-standing Vita series of transactions, Trading Risk understands.

Broker-dealer arms of reinsurance brokers have taken over the market for arranging catastrophe bonds, managing more than 90 percent of ILS capital issued in the first half of 2010, according to Guy Carpenter.

French insurer Groupama has closed the first European wind bond of the season - its EUR100mn Green Valley II - at below guidance pricing, Trading Risk can reveal.

Risk modelling firm Risk Management Solutions (RMS) has launched a parametric industry loss index for Japanese typhoons, taking its Paradex line-up to cover the five largest insurance perils.

French reinsurer Scor will provide $100mn of seed capital for a dedicated insurance-linked investment fund, Atropos, Trading Risk can reveal.

Munich Re has called for collaboration between the (re)insurance and capital markets in developing insurance solutions for IT, data corruption, business interruption, longevity and energy production risks.

Trading platform IFEX is preparing to launch a range of European windstorm derivatives this year as part of a wider plan to expand its product base.

The traditional markets have started to woo energy companies into (re)insuring their liability exposures, with Munich Re announcing it had committed $2bn to a proposed industry offering.

Cat bond investors are lining up in numbers to buy French insurer Groupama's EUR100mn European wind transaction, Green Valley II, Trading Risk can reveal.

French reinsurer Scor has closed a three-year contingent capital deal with Swiss bank UBS, in a move that would grant the firm EUR150mn of post-cat event equity.

Cat bond sales may struggle to reach $4bn this year in the absence of a major disaster, Standard & Poor's (S&P) analyst Dennis Sugrue said at a conference in London today (8 September).

ILS fund manager Secquaero Advisors has signed a deal with Australian boutique advisor Plus Capital to market its funds, joining the line-up of ILS managers keen to take advantage of the sophisticated institutional investment scene in Australia.

Aon Benfield's deputy CEO of Global ReSpeciality, Daniel Burrows, discusses how capital markets have helped to mould the shape of today's retro market.

As if hedging against Mother Nature wasn't a tricky enough business, weather derivatives dealers have been hard hit by the global market turbulence over the past two years.

Swiss Re traders Patti Guatteri and Mitchell Mintz walk us through the opportunities for trading (re)insurance risk during a live storm

Fellow Bermudian Platinum Underwriters confirmed it bought a $65mn ILW in an earnings conference call, saying both hurricane forecasts and capital management reasons drove the purchase.

The Industry loss warranty (ILW) market is closely watching the tail-end of the US wind season in order to position pricing for 1.1, according to broker Aon Benfield.

Meteorologists have eased their forecasts after a subdued start to the US hurricane season, although all continue to predict another heavy year.

Collateralised reinsurers and hedge funds are most likely to benefit from any surge in capital in the event of a major catastrophe, according to the annual ILS report from broker Aon Benfield Securities.

Life is edging out property and casualty as the recruitment sweet spot after a busy summer of hiring in the small ILS community.

Modellers extend coverage

Reinsurers are the "natural home" for longevity risk but Swiss Re has called for them to act now in order to address the problem of providing for an increasingly long-lived population.

As 2010 develops into a healthy year for the cat bond market and US government bond yields reach new lows, some players are leaping on increasing confidence in the markets to push for a return to Libor-linked structures.

Catastrophe losses took a heavy burden on first-half reinsurance results, led by the Chilean earthquake and rising liability costs from the Deepwater Horizon oil rig disaster.

US broker-dealer Guggenheim Securities has launched a Bermuda transformer, as tipped by Trading Risk in March, with Horseshoe Group appointed as local manager.

The gap between peak and non-peak cat bond trading prices eased back in August after diverging into what Swiss Re described as a "bipolar" market mid-year.

Cat bond returns have quickly regained pace after losing ground in June and July, the Swiss Re Global Cat Bond Return Index shows.

The sale of substantial portions of three cat bond funds is thought to have contributed to the pricing slump in US wind-exposed bonds over the summer, Trading Risk can reveal.

Hot on the tail of a successful first cat bond "lite" securitisation, dedicated ILS fund manager Clariden Leu is working on a repeat transaction, using the European industry loss index PERILS as a trigger.

US insurer State Farm Mutual Automobile Insurance Company issued a third series of Merna notes in June, in an exclusive $250mn trade with a single investor, Trading Risk understands.

Former Horizon21 fund manager Urs Ramseier is launching two new funds, of EUR50mn and $50mn, while assuming control of his old firm's $110mn ILS investments at start-up Swiss fund manager Twelve Capital, Trading Risk can reveal.

Swiss Re's recent parametric insurance deal for the Alabama State Insurance Fund was a first $10mn baby step for what could be a billion dollar source of business for the convergence market.

The flexibility of capital is much vaunted as a positive side effect of convergence, and I tend to agree.

Up to four European wind bonds are tipped to come to the market in the second half of the year, helping to take total issuance volumes to the $5bn level predicted for 2010.

Leading ILS fund manager Credit Suisse Asset Management (CSAM) is approaching investors for capital in an attempt to raise up to $600mn for a new energy-focused retro vehicle, Trading Risk understands.