Protection against US hurricanes and European windstorms
Guy Carpenter has placed a $100m notes issuance through cat bond program Queen Street II Capital Limited.
The principal at-risk variable notes will provide three-year per occurrence protection to Munich Re against hurricanes in the United States and windstorms in Europe.
US hurricanes will use a PCS state-weighted index trigger while European windstorms will use a PERILS country-weighted index trigger structure.
In addition, a dedicated U.S. Treasury bill fund was created by MEAG, Munich Re’s asset management company, for the sole purpose of investing the proceeds from the Queen Street II Capital Limited offering in certain U.S. Treasury obligations.
Cory Anger, global head of ILS Structuring, GC Securities, said: “The use of PERILS in insurance-linked securities transactions is growing, as investors and sponsors alike appreciate triggers based on the unbiased, post-event loss reports provided by entities like PERILS and PCS (for certain U.S. perils). The use of a dedicated U.S. Treasury bill fund is also appealing, as it was designed with respect to this specific cat bond structure.”