Munich Re's latest catastrophe bond Queen Street V Re (STORM 10 February) has closed. The US$75m deal covers major North Atlantic hurricane risk between April 2012 and March 2015 and major European windstorms between October 2012 and March 2015.

The transaction's single tranche priced at 850bp over Treasury money market funds. It is rated single-B plus by S&P.

Munich Re will be the cedant to the retrocession contract. The notes provide protection to Munich Re for North Atlantic hurricane losses above an index value of 104,000 up to 136,000, and Europe windstorm losses above an index value of 16,400 up to an index value of 19,925 - both on a per-occurrence basis.

The index value for US hurricane peril will be based on industry losses reported by Property Claims Services, allocated to county by calculation agent AIR and predetermined payout factors by county and line of business. The index value for the European windstorm peril will be based on industry losses reported by PERILS and predetermined payout factors by CRESTA Zone.

The Queen Street V Re notes cover US hurricanes that cause loss to the District of Columbia and the following US states: 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. They also cover European windstorm in the following countries: Belgium, Denmark, France, Germany, Ireland, Luxembourg, the Netherlands, Norway, Sweden, Switzerland, and the U.K.