Hurricane

A portion of MultiCat Mexico's $50mn Class C notes have changed hands in the secondary cat bond market as Hurricane Jova gains speed on its approach to Mexico's Pacific coast, Trading Risk understands.

Loss compilation agency Property Claims Service (PCS) has placed insured losses from Hurricane Irene at $3.65bn, Trading Risk understands.

Modelling firm RMS has published a $2.82bn Paradex index value for the US losses stemming from Hurricane Irene, which is unlikely to trigger Flagstone Re's Montana Re 2010 notes, Trading Risk understands.   

Speaking at a Munich Re ILS panel in Monte Carlo today, Fermat Capital founder John Seo predicted that issuance prices for US hurricane catastrophe bonds could rise 15-25 percent on a steady bond structure under the new hurricane model from RMS.

The administrator for the Nelson Re cat bond is fighting claims from bond sponsor Glacier Re that Hurricane Ike losses should be covered by bondholders.

Summer trading in exchange-traded catastrophe derivatives has slowed this year as buyers got in earlier in the season after a bruising year of catastrophe losses.

Hurricane Irene carried a CME Hurricane Index (CHI) value of 9.3, according to preliminary estimates from modeller Eqecat, putting several derivative contracts traded this year almost halfway towards their trigger.

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The secondary cat bond market provided high liquidity to jittery investors before Hurricane Irene struck the US, which market observers welcomed as a healthy sign as the wind season geared up.

Two cat bond deals are set to pay out more than $40mn to their sponsors due to claims from the 2011 Japanese earthquake and 2008's Hurricane Ike.

Some "window" industry loss warranty (ILW) deals were among the handful of livecat trades cleared as Hurricane Irene bore down on the east coast of the US last week, Trading Risk can report.

Ratings agency Standard & Poor's (S&P) says it does not expect to alter the ratings of the catastrophe bonds it rates that were exposed to Hurricane Irene losses - including the two Johnston Re bonds issued by the North Carolina state wind pool.