Swiss Re Insurance-Linked Fund Management

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Munich Re’s Queen Street XI Re 2015 cat bond set for $100m


The latest catastrophe bond from the world’s largest reinsurance firm Munich Re, Queen Street XI Re dac, looks set to secure the company $100 million of capital market backed U.S. hurricane and Australian cyclone retrocessional reinsurance protection.

When the new Queen Street XI Re dac cat bond was launched for Munich Re just over a week ago, the size of the transaction was unknown.

Now, thanks to sources, we have the size of the deal. We understand that the latest update sent to investors shows that Munich Re is seeking $100 million of protection through the issuance of the single tranche of Queen Street XI Re Series 2015-1 notes.

The retrocessional reinsurance protection will protect Munich Re for certain losses from U.S. hurricanes and Australian cyclones, both on a per-occurrence basis and over three U.S. hurricane seasons but almost four Australian cyclone seasons.

U.S. hurricane protection risks will feature an industry loss trigger, county and line-of-business weighted using PCS data, while Australian cyclone protection will be via a postcode and line-of-business weighted modelled loss trigger.

At the same time the initial coupon guidance has been fixed at a level of 6.15%, just slightly above the mid-point of the launch guidance of 5.75% to 6.5% (6.125%).

With the expected loss for this cat bond initially set at 2.68%, that pricing at 6.15% will reflect a multiple of 2.29 times the EL paid to the investors, in line with recent issuance.

Munich Re’s latest Queen Street cat bond is the reinsurers 12th cat bond to use that naming convention. Once completed the reinsurer will have $450 million of catastrophe bond protection in force, from five outstanding transactions.

We will keep you updated as this Queen Street XI Re dac catastrophe bond nears completion. You can read all about this and every other cat bond from Munich Re in the Artemis Deal Directory.

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