Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

EOS Wind Ltd.

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EOS Wind Ltd. – At a glance:

  • Issuer: EOS Wind Ltd.
  • Cedent / sponsor: Munich Re
  • Placement / structuring agent/s: GC Securities are sole bookrunner
  • Risk modelling / calculation agents etc: RMS
  • Risks / perils covered: U.S. hurricane, European windstorm
  • Size: $80m
  • Trigger type: Industry loss index and Paradex index
  • Ratings: ?
  • Date of issue: May 2010
  • news coverage: Articles discussing EOS Wind Ltd. from

EOS Wind Ltd. – Full details:

Originally targetting $100m of cover for Munich Re, this deal has completed at $80m (most likely due to the fast approaching hurricane season).

The Dublin, Ireland based EOS Wind Ltd. will provide Munich Re with $80m of cover on a per-occurrence basis over a four year period and uses a PCS index for the portion which covers U.S. hurricanes and a Paradex index for the portion which covers European windstorms.

$50m of Class A Notes are exposed to U.S. hurricane events and utilize a state-weighted per occurrence PCS index trigger structure based on insured losses reported by PCS from a hurricane event.

The $30m Class B Notes are exposed to U.S. hurricane events for which they use the same PCS index trigger as the Class A Notes, as well as European windstorm events for which it will utilize a country-weighted Paradex trigger.

MEAG, Munich Re’s asset management company, created a fund for U.S. Treasury Bills which will act as the collateral for the deal. Investers will receive variable-rate interest from the T Bills fund.

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