Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Calypso Capital Ltd.

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Calypso Capital Ltd. – At a glance:

  • Issuer: Calypso Capital Ltd.
  • Cedent / sponsor: AXA Global P&C
  • Placement / structuring agent/s: GC Securities and Swiss Re Capital Markets are arranging this deal
  • Risk modelling / calculation agents etc: EQECAT are calculation and reset agent. PERILS AG are reporting agent
  • Risks / perils covered: European windstorm
  • Size: $378m
  • Trigger type: Industry loss index
  • Ratings: S&P: 'BB'
  • Date of issue: Oct 2010
  • news coverage: Articles discussing Calypso Capital Ltd. from

Calypso Capital Ltd. – Full details:

Calypso Capital Ltd. is a Dublin, Ireland based special purpose vehicle set up as a €1.5b principal-at-risk variable-rate note program of which this series 2010-1 issuance is the first.The deal upsized significantly from it’s initial value of €150m to €275m (US$378m) at close.

The transaction provides 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 1 January 2011 until 1 January 2014.

The cover provided is for windstorm events above an industry loss index value, which are weighted by CRESTA zone and line of business, of €1.9b on a per-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 cat bond transaction to utilise the PERILS AG industry loss index. EQECAT is calculation/reset 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 rating of ‘BB+’.

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