French investment bank Calyon has placed a $63 million securitization for the Pinnacle Risk Management Group as part of a $128 million program. The Cat Bonds and insurance-linked derivatives cover a selection of U.S. windstorm and earthquake risks.
The Paris-based bank is the new acronym for the investment banking division of the former Credit Lyonnais Group and Credit Agricole, who merged last year.
The bulletin explained that the “the transaction was privately placed in the form of a $33 million and $30 million mezzanine and senior tranche, respectively. 50 percent of the senior tranche was rated ‘A+’ by Standard & Poor’s. The transaction has a one-year maturity.”
It also explained: “Pinnacle is based on a reference portfolio of diversified hurricane and earthquake risk in the United States. All underlying contracts are indexed either to market losses or based on modeled losses. The entire portfolio has been modeled by AIR Worldwide Corporation for purposes of the securitization. Calyon Alternative Risk Transfer (ART) group acted as sole arranger of the transaction.”
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