Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Eurus III Ltd.

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Eurus III Ltd. – At a glance:

  • Issuer: Eurus III Ltd.
  • Cedent / sponsor: Hannover Re
  • Placement / structuring agent/s: Aon Benfield Securities are structuring the deal. Aon Benfield Securities and BNP Paribas are joint lead managers and book runners
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: European windstorm
  • Size: $126m
  • Trigger type: Industry loss index
  • Ratings: S&P: 'BB-'
  • Date of issue: Sep 2012
  • Date of maturity (dd/mm/yyyy): 07/04/2016
  • Coupon / pricing yield Class A: 3.75%
  • news coverage: Articles discussing Eurus III Ltd. from

Eurus III Ltd. – Full details:

Eurus III is a Bermuda domiciled special purpose insurer set up for the purpose of issuing series of catastrophe bond notes. The entity is set up as a shelf programme and this is the first issuance.

Eurus III Ltd. Series 2012-1 will provide protection to three named entities of the Hannover Re group; Hannover Rückversicherung AG, E+S Rückversicherung AG and Hannover Re (Bermuda) Ltd.

Eurus III will replace the cover aforded by Eurus II which matured in April of this year.

The risk period runs from the end of September 2012 to the end of March 2016, thus providing Hannover Re with a source of cover for four windstorm seasons in Europe. Protection will be afforded on a per occurrence basis over the risk period and the transaction will utilise an industry loss trigger based on a PERILS index of loss estimates.

The transaction will provide windstorm cover in; Belgium, Denmark, France and Corsica, Germany, Republic of Ireland, Luxembourg, The Netherlands, Norway, Switzerland, Sweden and the UK. The PERILS industry loss index will be resolved down to Cresta zone level for all countries except for Norway where it will be resolved by county.

The transaction covers any qualifying windstorm event occurring during the risk period. The industry loss trigger is on a per occurrence basis and the notes have an initial index attachment point of 161 and exhaustion point of 236. The attachment probability is said to be 2% in the first year and the expected loss is said to be 1.42%. The notes will cover losses between the windstorm index value attachment point of 161 and the windstorm index value exhaustion point of 236. The index value is calculated on a per-occurrence basis.

A single tranche of Series 2012-1 Class A notes will be issued by Eurus III Ltd. The deal has an initial size of €75m but will be upsized if the appetite in the market is sufficient and the cover can be written at a reasonable cost to Hannover Re.

The notes sold through this transaction will collateralize the underlying reinsurance agreements with each of the Hannover Re subsidiaries for the cover. Collateral from the proceeds of the sale of the notes issued by Eurus III Ltd. will be invested in European Bank for Reconstruction and Development (EBRD) notes.

We’re told by sources that the transaction is being marketed with an expected coupon range of 4%-4.5%.


Eurus III increased in size during the marketing phase from €75m to €100m (US$126m).

We’re told that Eurus III will price below the expected range that it was originally marketed at, helped by demand. The deal is now expected to price at between 3.75% and 4%, compared to an initial pricing expectation that was for a range of 4% to 4.5%.

The deal finally priced at 3.75% as pricing slipped below the expected range helped by high demand before the deal closed.

A spokeswoman told us that with Eurus III Hannover Re pursues its strategy to use, besides the traditional reinsurance markets, also the capital markets to transfer catastrophe risks.

“The transaction enhances the diversification of our retrocession program”, the spokeswoman told us. “Eurus III also strengthens our risk management and protects our capital against severe windstorm events in various European countries over the next four storm seasons.”

The spokeswoman also told us that the cat bond had been placed with institutional investors in both Europe and North America.

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