Calypso Capital Ltd. (Series 2011-1)

AXA secured €180m (US$243m) of industry loss-based cover on a per-occurrence basis for some of their European windstorm exposures over a three-year risk period from 1st January 2012 until 31st December 2014. Interestingly that means a period where the deal will not be on risk from the date it completed until the 1st January 2012.

The notes issued by Calypso Capital in this Series 2011-1 issuance are exposed to windstorms in Belgium, Denmark, France (excluding French overseas territories), Germany, Ireland, Luxemburg, the Netherlands, Norway, Sweden, Switzerland, and the UK. This deal provides AXA with broader cover than their Calypso Capital Series 2010-1 cat bond as it didn’t include windstorm risks in Norway and Sweden.

The deal covers events above a CRESTA and line-of-business weighted industry loss value of €1.5 billion on an occurrence basis, up to a limit of €1.9 billion. There is an optional annual reset which allows for AXA to request that the CRESTA zone payout factors by line of business and currency conversion factors can be amended. EQECAT will reset attachment and exhaustion points accordingly each year to ensure that the one year modelled attachment and loss probabilities never get higher than the level they are initially set at.

The modelling for the transaction shows that none of the major European windstorms experienced in the last few decades would have qualified as an event as they would not have generated a sufficiently high index value.

Collateralization will be achieved through the use of a collateral account and purchase and investment of European Bank for Reconstruction and Development (EBRD) floating-rate notes.