Secondary trading

The Swiss Re cat bond price return index has recovered from its slump at the time of Hurricane Irene, returning to trading levels last seen in March around the time of the Tohoku earthquake.

Secondary trading prices on the Mariah Re tornado bond continued to fall this month as the market anticipated significant losses on the notes.

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.

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.

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.

Irene, the first hurricane of the 2011 US wind season, has prompted trading of two issues of the Johnston Re North Carolina state wind pool cat bond notes, Trading Risk understands.

Goldman Sachs trader, Sung Yim, has left the firm after four years specialising in insurance linked securities and industry loss warranties (ILW), Trading Risk can reveal.

Ratings agency Standard & Poor's (S&P) downgraded six cat bond tranches, totalling $470mn of capacity, in light of higher attachment probabilities under RMS's new Version 11.0 US hurricane model.

The downgrade of the tornado-struck Mariah Re 2010-1 bond caused the cat bond pricing index to falter this month, but sparked trading in the notes as investors speculated on the likelihood of more tornadoes this year.

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.