June 2011/1

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.