Swiss Re Structures $386 Million ‘European Windstorm’ Notes

November 3, 2010

Swiss Re’s Capital Markets Division has structured €275 million [$386 million] in notes as an alternative risk transfer vehicle, covering European windstorm events, for AXA Global P&C’s Calypso Capital Ltd., a special-purpose company incorporated in Dublin, Ireland.

“The notes, which provide protection on an occurrence basis, are the first to utilize a PERILS index trigger weighted by CRESTA zone (country-specific zones for uniform data reporting) and by line of business,” said the announcement.

“Calypso’s single tranche series 2010-1 notes are the first issuance under a €1.5 billion [$2.1 billion] principal-at-risk variable-rate note shelf program. The three-year notes are rated ‘BB (sf)’ by Standard & Poor’s and are scheduled for redemption in January 2014.

“Collateral for this issuance consists of a global master repurchase agreement with BNP Paribas. Calypso was structured to provide AXA Global P&C with cover for European windstorms in Belgium, Denmark, France (excluding overseas territories), Germany, Ireland, Luxembourg, The Netherlands, Switzerland, and the U.K.”

Jean-Louis Monnier, Swiss Re’s Head of ILS Europe, commented: “We are pleased to support AXA’s risk management objectives with a transaction that is the largest single European wind exposed ILS issuance to date. It marks further strategic leverage of the data supplied by PERILS. The ILS market continues to benefit from the enhanced transparency that PERILS brings to the European insurance sector.”

Swiss Re Capital Markets acted as a structuring agent and joint Independent third-party risk analysis for the notes was provided by EQECAT, Inc.

Source: Swiss Re

Topics Catastrophe Natural Disasters Europe Windstorm Swiss Re

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