16 October 2013

AXA Global P&C completes €350m cat bond

AXA Global P&C has issued a €350 million cat bond that protects it against windstorms in Europe.

The deal, which covers Europe windstorm losses via two classes of principal at-risk variable rate notes issued by Calypso Capital II Limited, was underwritten by Swiss Re Capital Markets. Swiss Re Capital Markets also acted as lead structuring agent and joint bookrunner.

One tranche of Class A notes worth €185 million have a three year risk period; another tranche of Class B notes worth €165 million have a four-year risk period.

The proceeds of the notes each collateralise a counterparty contract with AXA, providing per-occurrence protection against windstorms in Belgium, Denmark, France (excluding French overseas territories), Germany, Ireland, Luxembourg, The Netherlands, Norway, Sweden, Switzerland, and the UK on a weighted PERILS index basis.

Jean-Louis Monnier, director and head of ILS Europe at Swiss Re Capital Markets, said: “We are pleased to provide continued support to AXA's strategy in accessing capital markets. The two classes of notes have been structured with a variable reset which provides AXA with the flexibility to easily integrate the notes within their traditional program. As the largest Euro-denominated transaction to date, Calypso Capital II underlines the current strength of the ILS market.”

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