Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Catastrophe bond maturities continue apace in June


The rate of catastrophe bond maturities has picked up with five transactions maturing in the last few days and another two due to mature before the end of the month. With close to $2.4 billion of cat bonds due to mature by the end of this quarter there is plenty of excess capital which is now back with investors who are finding it hard to re-deploy it into the market given the lack of primary market cat bond issuance.

Total maturities during the month of June total just over $1.5 billion. At the moment there is no sign of that sort of capacity returning to the primary market in the form of new issuance and with just one deal currently marketing (Loma Re Ltd.) there are going to be a lot of investors with funds waiting to be put to use. It is possible that these investors could look to put their funds to use in other ways and we hear that some investors are looking at derivatives and private market catastrophe transactions.

A list of all the cat bond transactions maturing in June can be found below. One thing worth noting is that while Nelson Re has passed its maturity date we understand it has been extended for loss development and reporting from the 2009 hurricane Ike to complete. It’s unknown whether Nelson Re will see any losses at this time (although we hear from certain investors that they still feel it is likely to attach). It is only the Class G tranche of Nelson Re which had exposure to U.S. hurricane Ike.

June maturities by date:

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Cat Bond Sponsor Size Maturity
Residential Reinsurance 2008 Ltd USAA $350m 6th June 2011
Valais Re Ltd. (Series 2008-1) Flagstone Re $104m 6th June 2011
Nelson Re Ltd. Glacier Re $180m 6th June 2011
Mystic Re II Ltd. (Series 2007-1) Liberty Mutual $250m 7th June 2011
Caelus Re Ltd. (Series 2008-1) Nationwide Mutual $250m 7th June 2011
Willow Re Ltd. (Series 2008-1) Allstate $250m 17th June 2011
Vega Capital Ltd. (Series 2008-1) Swiss Re $150m 24th June 2011


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