Bermuda-based hedge fund Nephila Capital has announced the closing of its new Caymans-domiciled investment vehicle, Gamut Reinsurance Ltd.

In a statement, Nephila said Gamut Re had raised $310 million in capital to source a range of catastrophe risks.

Nephila was founded in London in 1997, as part of global insurance broker Willis Ltd., and redomiciled to Bermuda two years later. The fund specialises in providing reinsurance-related investment products such as catastrophe bonds and insurance-linked securities.

Gamut Re is a sidecar type vehicle which can "participate in the property catastrophe reinsurance and catastrophe bond markets until the end of 2009," the statement added.

"The funds raised by Gamut Re will be used to source a diversified portfolio of natural catastrophe risks which will be managed using collateralised debt obligation (CDO) technology. Its unique structure leverages the resources of Nephila Capital's expertise in the catastrophe bond, industry loss warranty, and reinsurance markets."

Hedge fund managers, under pressure from their wealthy investors to produce high returns, have poured capital into the reinsurance market, attracted by a hardening market prompted by the busy storm seasons of 2004 and 2005.