Swiss Re Insurance-Linked Fund Management

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Calypso Capital Ltd. European windstorm catastrophe bond upsizes significantly at close


The Calypso Capital Ltd. catastrophe bond issued by AXA Global P&C has closed at a significantly larger size than it was initially marketed at. The transaction began life as a €150m series 2010-1, first offering of class A notes issued under a €1.5 billion principal-at-risk variable-rate note program.

Demonstrating the demand from investors for opportunities to diversify their risks away from the typical U.S. hurricane, this issuance has nearly doubled in size to €275m at closing. Being part of a possible €1.5 billion note program always left room for this deal to grow (as we predicted when we first wrote about Calypso Capital).

Calypso Capital provides AXA Global P&C with cover against European windstorms within Belgium, Denmark, France (excluding overseas territories), Germany, Ireland, Luxembourg, The Netherlands, Switzerland, and the U.K. It is the latest cat bond transaction to use the increasingly popular PERILS AG industry loss index as a measurement and reporting tool.

Standard & Poor’s have confirmed the ‘BB’ rating that they gave the deal when it was marketed.

The successful issuance and the demand experienced for this deal should help to encourage other potential issuers to the cat bond market. European windstorm deals seem to be extremely popular among investors and we expect that other good diversification opportunities (such as Mariah Re Ltd.) will be equally well received.

You can read all about Calypso Capital Ltd. in our previous post here and in our catastrophe bond Deal Directory.

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