GC Securities announces completion of Calypso Capital Ltd. catastrophe bond

by Artemis on November 2, 2010

Guy Carpenter and its subsidiary GC Securities have issued a press release regarding their role in the recently completed Calypso Capital Ltd. catastrophe bond which they helped to issue on behalf of AXA Global P&C. They highlight that the transaction is the largest Euro denominated cat bond in the markets history (thanks to it upsizing significantly).

The full press release from GC Securities follows below:

GC Securities, a Division of MMC Securities Corp., Announces Completion of 144A Catastrophe Bond – Calypso Capital Limited

Largest Euro Denominated Cat Bond Provides Per-Occurrence PERILS Index Protection against Pan-Europe Windstorms

New York, November 2, 2010

Guy Carpenter & Company, LLC, the leading global risk and reinsurance specialist, and GC Securities, today announced the completion of EUR275 million Class A Principal At-Risk Variable Rate Notes due January 10, 2014 (“Series 2010-1 Notes”) from a newly created 144A catastrophe bond program, Calypso Capital Limited (Calypso). Calypso is an Irish special purpose company created to provide protection to AXA Global P&C (“AXA”). The Series 2010-1 Notes issuance, the largest Euro denominated issuance in the history of the catastrophe bond market, will provide protection against European windstorm events.

The Series 2010-1 Notes utilize a CRESTA zone and line of business weighted per occurrence PERILS index trigger structure based on insured losses reported by PERILS after the occurrence of a Europe Windstorm. This marks the second transaction to utilize the PERILS Industry Loss Index and the first to utilize the PERILS Industry Exposure Database for the modeling analysis of the Series 2010-1 Notes.

This issuance provides AXA with EUR275 million of fully collateralized, multi-year protection against windstorm events throughout Europe, including Belgium, Denmark, France (excluding French overseas territories), Germany, Ireland, Luxembourg, the Netherlands, Switzerland and the United Kingdom.

GC Securities was a joint structuring agent and joint bookrunner on this issuance. The details of the catastrophe bond issuance are as follows:

Series 2010-1 Notes Size S&P Rating Expected Maturity Coupon
(to the Scheduled Redemption Date)
Class A Notes €275M BB (sf) January 10, 2014 EURIBOR + 3.50%

Eric Paire, Managing Director and European Insurance Solutions Group Leader, Guy Carpenter & Company commented; “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 modeling analysis and the second cat bond to utilize PERILS industry loss service for the trigger calculation.”

Henry Keeling, President & CEO of International Operations, Guy Carpenter & Company said; “Consistent with Guy Carpenter’s desire to bring increasing value to our clients, this transaction illustrates how we efficiently deliver high-value transactions from our capital market specialists, working hand in hand with Guy Carpenter’s property catastrophe specialists and account team for AXA.”

Bill Kennedy, Global CEO of Global Analytics, Capital Markets, Specialty Practices and Advisory, Guy Carpenter & Company added; “We are pleased that AXA selected Guy Carpenter and GC Securities as its trusted partner to deliver the Calypso Capital Limited program and the Series 2010-1 Notes. We are proud of this longstanding relationship and the close coordination between our two firms that enabled the innovative structuring and strong distribution of this cat bond. This represents GC Securities’ fifth cat bond offering in 2010, underscoring Guy Carpenter’s commitment to the ILS markets and innovative risk transfer solutions.”

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