Swiss Re Insurance-Linked Fund Management

Xactanalysis Insights and PCS

Calypso Capital II Euro wind cat bond grows by 75% to Euro350m


AXA’s latest catastrophe bond transaction, Calypso Capital II Ltd., has grown by 75% while marketing to now offer €350m of protection against losses from windstorm events in Europe. At the same time the price guidance has fallen to the low-end of the marketed range.

French insurer AXA launched its third Calypso named cat bond almost a fortnight ago, with Calypso Capital II seeking to secure it a multi-year source of fully-collateralized European windstorm coverage from the capital markets for its AXA Global P&C subsidiary.

The cat bond launched with a preliminary size of €200m split into two tranches of notes. Both of the tranches will be exposed to European windstorms on an industry loss basis, with PERILS AG acting as reporting agency providing a CRESTA zone and line of business weighted industry loss index. Protection from both of the tranches is on a per-occurrence basis.

According to sources the Calypso Capital II cat bond has proved popular, as investors seek new opportunities to deploy raised capital into as well as respond favourably to a diversification opportunity. Strong investor demand has helped AXA upsize this cat bond by 75% and the transaction is now offering €350m (approximately $477m) of notes to investors.

The deal has gone from two tranches of €100m, to a Class A tranche of €185m and a Class B tranche of €165m. The Class A tranche is the lower risk, with an attachment probability of 1.45%, an exhaustion probability of 0.61% and an expected loss of 0.96%. The Class B tranche is a little riskier, with an attachment probability of 2.11%, an exhaustion probability of 0.62% and an expected loss of 1.18%.

Price guidance has dropped to the bottom of the marketed range for both of the tranches, we understand. The Class A tranche has seen its guidance tighten from a range of 2.6% to 3.1% to now offer notes at 2.6%. The Class B notes were marketed at 2.9% to 3.4% and now look set to price offering investors a return of 2.9%.

The book on this cat bond is scheduled to close today, we understand, with final pricing due early next week and closure by mid-October.

Read our previous article on the Calypso Capital II cat bond which contains more detail on the structure and features such as the variable reset.

We’ll update you as the transaction moves to completion and any further information on Calypso Capital II Ltd. becomes available. You can read all about this and every other catastrophe bond in our Deal Directory.

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