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AXA DERIVES WINDSTORM COVER VIA CALYPSO DEAL
Tuesday 02 November 2010
Author: Russell Group
 

A Euro 275 million catastrophe bond has been placed on behalf of Axa Global to provide coverage for European windstorm events.

The protection has been provided via Euro 275 million of notes issued by Calypso Capital, limited a special purpose company which is domiciled in Dublin. The deal was structured by Swiss Re Capital and provides protection on an occurrence basis, and is the first to utilise a Perils index trigger weighted by Cresta zone (country-specific zones for uniform data reporting) and by line of business. Guy Carpenter acted as the broker for the issuance.

Calypso was structured to provide AXA Global P&C with cover for European windstorms in Belgium, Denmark, France (excluding overseas territories), Germany, Ireland, Luxembourg, The Netherlands, Switzerland, and the UK.

Its single tranche series 2010-1 notes are the first issuance under a EUR 1.5 billion principal-at-risk variable-rate note shelf programme. The three-year notes are rated “BB (sf)” by Standard & Poor’s and are scheduled for redemption in January 2014. Collateral for this issuance consists of a global master repurchase agreement with BNP Paribas.

“We are pleased to support AXA's risk management objectives with a transaction that is the largest single European wind exposed ILS issuance to date. It marks further strategic leverage of the data supplied by Perils,” said Jean-Louis Monnier, Swiss Re's Head of ILS Europe. “The ILS market continues to benefit from the enhanced transparency that Perils brings to the European insurance sector."

Eric Paire, Managing Director and European Insurance Solutions Group Leader, Guy Carpenter added: “We are proud to have been selected by AXA to deliver this innovative product to the market. Calypso is the first cat bond to utilize the Perils industry loss exposure database for the modelling analysis and the second cat bond to utilize Perils industry loss service for the trigger calculation."