Commentary on Shifting Profiles

June 30, 2010

By: Morton N. Lane, President

Accompanying this paper you will find our regular Quarterly Performance Report updated for the second calendar quarter of 2010. In this paper we provide additional comments on the market’s performance and on shifting market risk profiles. Issuance continued apace in the second quarter as new and old issuers sought out protection prior to the 2010 wind season. The last such issue, Shore Re from Munich Re, closed in July, just beyond the dates covered in this report, and as it turns out, just after the first named storm of the season - Alex. Premiums demanded on new issues just prior to the wind season were high compared to earlier in the year and the prices of existing bonds fell. Marked-to-market returns from the quarter eked out a positive number (0.69%), but only just. Our synthetic index of Rates on line climbed to 159.7, more than a 10% increase from the prior quarter.

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