Secondary trading

Price indications on cat bonds continued to fall last week, underlining fears in the ILS sector that a portion of the $1.4bn outstanding capacity exposed to Japanese earthquake risk could be triggered by the 11 March earthquake.

Purchasers of a large chunk of Solidum's $2.67mn Class A private cat bond notes reported a smooth process as the transaction matured in February.

The loss of veteran trader Dan Madison has left a hole in the Bank of America Merrill Lynch (BAML) trading desk and sparked speculation over where Madison may emerge to trade ILS.

Cat bonds performed strongly in 2010, according to Swiss Re's basket of indices for the asset class, with the reinsurer hailing strong performance indicators as a sign the market has fully recovered from the financial crisis.

Imminent changes to Risk Management Solutions' (RMS) US hurricane risk model are predicted to create volatility in secondary ILS trading, with expected loss figures on outstanding bonds set to rise significantly, Trading Risk understands.

$20mn of notes in three new cat bonds traded shortly after launch, as investors scrambled to acquire sought-after diversifying risk, Trading Risk can reveal.

A healthy market in private (A)XXX US life reserve securitisations should emerge into the public limelight next year as the life securitisation market continues to recover, Swiss Re says.

A large portion of cat fund Solidum's $4.25mn private cat bond notes traded in the secondary market earlier this month, Trading Risk can reveal.

A true marker of liquidity in the secondary market has been set with a EUR2mn secondary market trade in Scor's latest Atlas VI notes, just four minutes after the deal closed.

First time issuer American Family's $100mn Mariah Re US thunderstorm cat bond is trading at 101.5 cents to the dollar just weeks after its November launch, according to sources.

Cat bond prices in the secondary market have fallen in recent weeks, according to Swiss Re data, resulting in mark-to-market losses on investor portfolios.

Buyers of industry loss warranty (ILW) instruments are seeking more risky exposure to European wind to provide balance to the low-risk new ILS issuance that has hit the market in recent months.