Archive for September, 2008

Standard & Poor’s have now downgraded all four of the catastrophe bonds which used Lehman Brothers Special Financing as the total return swap counterparty. The issuers of the bonds have terminated their swaps and are exploring their options and the lack of a counterparty is the reason for the following actions. ‘Ajax Re Ltd.’s class […]

JP Morgan Chase & Co. has announced that they’ve taken on an unnamed UK insurers exposure to life expectancy risk in a deal valued at £500m ($901m). This is the latest in a string of recent moves by life insurers to offload their risk to others. Longevity swaps allow companies such as insurers and pension […]

The Insurance Futures Exchange (IFEX) has announced that the Chicago Climate Futures Exchange (CCFE) has begun listing third and fourth event linked contracts. These new levels of cover allow for increased protection from multiple events following loss triggers levels of $10bn, $20bn, $30bn, $40bn and $50bn per event. Explanation of contract structure and loss trigger […]

Munich Re have issued a press release stating that demand for catastrophe bonds remains high even considering the unprecedented financial turmoil being experienced by the markets. The fact that cat bonds risk is not correlated to other securitised products is keeping them in favour with hedge funds and other asset managers who are seeking to […]

Hurricane Kyle has become the first storm in 17 years to trigger a hurricane watch for the U.S. state of Maine. Kyle formed during the week to the east of the Bahamas and headed northwards missing Bermuda and strengthening to hurricane force yesterday. It may well weaken below hurricane strength before it hits land but […]

AIR Worldwide released a press shot this week announcing that so far this year they have provided risk modeling and analytical services for $2b worth of catastrophe bonds. The press release doesn’t (unfortunately) detail all the deals that have contributed to this number so I thought I’d provide a list of the ones we know […]

At a recent conference discussing pension funds and liabilities the advice was clear; in the current economic climate make efforts to de-risk by diversifying into alternative asset classes. The good news is that one of those assets mentioned was catastrophe bonds, which despite the recent catastrophe losses (which may or may not have triggered a […]

PartnerRe Ltd. have issued a press release providing preliminary estimates of their losses from Hurricane Ike. They estimate the losses they will incur as between $175m and $210m. The interesting sentence from the press release that caught our interest is ‘PartnerRe’s loss estimate is based on the assessment of individual treaties as well as client […]

Aon Capital Markets today announced it has placed the industry’s first transaction utilizing the WindX™ parametric index solution. The transaction provides coverage from named storms based on wind speed data at several wind stations in Florida. WindX is a proprietary parametric index solution designed to support the transfer and trading of catastrophic hurricane risk in […]

That’s just from Hurricane Gustav! Entergy Corporation, the New Orleans based power plant operator has announced $600m in costs incurred from damage caused by Gustav. They’ve yet to release an estimate for hurricane Ike but judging by the size of that storm we’d expect costs to exceed $1b from both storms once all tallied. Entergy […]