Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Queen Street IV Capital Ltd.

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Queen Street IV Capital Ltd. – At a glance:

  • Issuer: Queen Street IV Capital Ltd.
  • Cedent / sponsor: Munich Re
  • Placement / structuring agent/s: Munich Re are arranging the deal
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S hurricane, European windstorm
  • Size: $100m
  • Trigger type: Industry loss index
  • Ratings: S&P: 'BB-'
  • Date of issue: Oct 2011
  • news coverage: Articles discussing Queen Street IV Capital Ltd. from

Queen Street IV Capital Ltd. – Full details:

Queen Street IV Capital Ltd., a Dublin, Ireland domiciled SPV, issued $100m of cat bond notes providing protection on a per-occurrence basis over the risk period of nearly 3.5 years to Munich Re.

The deal provides cover for certain North Atlantic U.S. hurricanes in selected states between April 2012 and March 2015, so getting the cover in advance at potentially better pricing. The European windstorm cover will run between November 2011 and March 2015 so covering three full European wind seasons. The deal is open to possible extension, in three-month increments, of up to 24 months for loss calculation, development and reporting.

The Queen Street IV Capital notes cover U.S. hurricane risks within the District of Columbia and the states of Alabama, Arkansas, Connecticut, Delaware, Florida, Georgia, Illinois, Indiana, Kentucky, Louisiana, Maine, Maryland, Massachusetts, Mississippi, Missouri, New Hampshire, New Jersey, New York, North Carolina, Ohio, Oklahoma, Pennsylvania, Rhode Island, South Carolina, Tennessee, Texas, Vermont, Virginia, and West Virginia. European windstorm is covered in Belgium, Denmark, France, Germany, Ireland, Luxembourg, the Netherlands, and the UK.

Munich Re are counterparty to the risk transfer contract with Queen Street IV Capital and also act as arranger of the transaction.

AIR Worldwide are providing risk modelling and analysis services and act as calculation agent when events occur.

Losses will be triggered on an industry loss basis using indices provided by Property Claims Services (PCS) for U.S. hurricane risk and PERILS AG for European windstorm risk.

The index value for U.S. hurricanes will be based on industry losses reported by PCS and predetermined payout factors by state. The index value for European windstorms will be based on industry losses reported by PERILS AG and predetermined payout factors by country, including constant exchange rates for both Denmark and the UK.

The cat bond provides cover to Munich Re for U.S. hurricane losses above an index value of 104,000, up to 136,000, and European windstorm losses above an index value of 16,000 up to an index value of 19,530 (both on a per-occurrence basis). Both U.S. hurricane and European windstorm payout factors can be reset if chosen on an annual basis, the industry exposure data for both perils must be reset.

Proceeds from the sale of the notes will be invested into U.S. Treasury Money Market Funds rated ‘AAA’.

This deal has a combined statistical return period of 50 years.

The risk premium is 7.5% plus variable rate interest from the money market funds.

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