Eurus III Ltd. European windstorm catastrophe bond completes, rated

by Artemis on September 14, 2012

The latest catastrophe bond to hit the market in 2012 has now completed successfully and been rated. The first Euro denominated cat bond of the year, Eurus III Ltd. has been issued successfully on behalf of reinsurer Hannover Re (and certain subsidiaries). The Eurus III cat bond will provide them with a source of European windstorm retrocessional reinsurance cover lasting for four wind seasons via the capital markets.

Eurus III is the 21st cat bond or insurance-linked security transaction we have listed in our comprehensive Deal Directory and with its successful issuance now takes 2012 risk capital issued in the ILS and cat bond market to $4.416 billion. With the market discussing the prospects of a very active pipeline through the rest of the year, $6 billion of issuance for 2012 is easily in sight and we could see the final total nearing, or even beating, 2007’s record.

Providing €100m of European windstorm cover, Eurus III goes some way to replacing the cover Hannover Re had from their €150m Eurus II Ltd. cat bond which matured in April.

Eurus III will provide retrocession cover to three named entities of the Hannover Re group; Hannover Rückversicherung AG, E+S Rückversicherung AG and Hannover Re (Bermuda) Ltd. The risk period runs from the end of September 2012 to the end of March 2016, so giving Hannover Re a fully collateralized source of cover for four windstorm seasons in Europe. Protection is on a per-occurrence basis and the transaction will utilise an industry loss trigger based on a PERILS index of loss estimates.

Standard & Poor’s gave the single tranche of Series 2012-1 notes a rating of ‘BB-‘.

The deal priced below the expected pricing range, making this a particularly cost-effective transaction for Hannover Re, as we’ve written before. You can read much more details on this transaction, and almost every other cat bond or ILS deal, in our Deal Directory.

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