Calypso Capital Ltd. European windstorm catastrophe bond being marketed for AXA

by Artemis on October 8, 2010

Hot on the heels of the completion of the recent Green Valley catastrophe bond another cat bond transaction designed to cover windstorm risks in Europe has begun marketing to investors. This €150m Calypso Capital Ltd. issuance is being arranged by GC Securities and Swiss Re Capital Markets on behalf of AXA Global P&C.

AXA have a track record within the insurance-linked securities market so it’s not surprising to see them returning to it to arrange cover for their peak risks. Calypso Capital Ltd. is a Dublin, Ireland based special purpose vehicle (quite unusual for a cat bond as most are Cayman or Bermuda based), and it has actually been set up as a €1.5b principal-at-risk variable-rate note program of which this series 2010-1 issuance is the first. That’s encouraging for the market as further series of notes can be issued as and when extra cover is required. It also means there is room within the program for this deal to upsize should investor demand be strong which we expect it to be given the European focus.

The transaction is designed to provide AXA Global P&C with a source of cover for European windstorms within Belgium, Denmark, France (excluding overseas territories), Germany, Ireland, Luxembourg, The Netherlands, Switzerland, and the U.K. Proceeds of the sale of these notes will provide AXA with a source of industry-loss linked reinsurance cover on a per-occurrence basis for 3 years from 1st January 2011 until 1st January 2014.

The cover afforded to AXA by this cat bond will be for windstorm events above an industry loss index value, which will be weighted by CRESTA zone and line of business, of €1.9b on an occurrence basis up to €2.5b.

Collateral for the transaction is being arranged through a tri-party repurchase agreement between Calypso Capital, BNP Paribas (counterparty) and Euroclear (agent). The pool of securities used in the repurchase agreement will be over-collateralized and will all be highly rated and meet strict criteria.

Calypso Capital is the latest catastrophe bond transaction to utilise the PERILS AG industry loss index as a measurement and reporting tool. EQECAT is acting as calculation agent and will be using its WORLDcat European windstorm model.

Standard & Poor’s have assigned the series 2010-1 Class A notes of Calypso Capital Ltd. a preliminary rating of ‘BB’.

As ever you can find all these details in our catastrophe bond deal directory which we will update as more details become available.

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