Germany's Munich Re has is using a US Treasury bill fund as collateral for its new catastrophe bond. Ireland-registered Eos Wind Ltd is an $80m special purpose vehicle that will give Munich Re protection against US hurricane and European windstorm risk. It provides cover against extreme event losses with a statistical return period of about 70 years. Eos Wind is a four-year bond that has two tranches. Tranche A is for $50m and covers US hurricane risks only. It carries a coupon of 6.8%. Tranche B totals $30m, covering US hurricane and European windstorm, and pays 6.5%. Both tranches have been rated Ba3 by Moody's. The structuring of the bond so that a US Treasury bill fund operates as collateral was developed by MEAG, Munich Re's asset management company. Munich Re structured and arranged the transaction itself, with California-based Risk Management Solutions (RMS) providing the risk modelling. US hurricane losses will use a market-loss trigger prepared by locally based Property Claims Services, while the European windstorm losses will be quantified using RMS's PARADEX parametric index. Munich Re Board Member Thomas Blunck said that "the fact that spreads are back to normal makes placing risks in the capital market an attractive proposition".