The notes, which provide protection on an occurrence basis, utilise a PERILS index trigger weighted by CRESTA zone (country-specific zones for uniform data reporting) and by line of business. This transaction follows the October 2010 placement of EUR 275 million of European windstorm risk, which was the first cat bond issuance to feature a PERILS trigger weighted by CRESTA and line of business.
Calypso's single tranche series 2011-1 notes are the second issuance under the EUR 1.5 billion principal-at-risk variable-rate note shelf programme. The three-year notes are scheduled for redemption in January 2015. Collateral for this issuance consists of floating rate puttable notes from the European Bank for Reconstruction and Development.
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, Norway, Sweden, Switzerland, and the U.K.
“We are delighted to continue our support of AXA's risk management objectives and build on the deal completed last year. This transaction marks further strategic leverage of the data supplied by PERILS and highlights the efficiency of a weighted PERILS trigger for AXA as a global insurer,” said Jean-Louis Monnier, Swiss Re Capital Markets' European Head of ILS. “The ILS market continues to benefit from the enhanced transparency that PERILS brings to the European insurance sector."
Swiss Re Capital Markets acted as sole structuring agent and joint bookrunner for the of