Swiss Re places EUR 180 million of European windstorm risk on behalf of AXA Global P&C through Calypso Capital Ltd.

20 October 2011, Zurich

Swiss Re Capital Markets has successfully structured and placed EUR 180 million of notes issued by Calypso Capital Ltd. (“Calypso”) covering European windstorm events. Calypso is a special-purpose company incorporated in Dublin, Ireland. This is the second issuance under the EUR 1.5 billion Calypso Capital programme. The transaction sponsor is AXA Global P&C, an internal AXA group reinsurance company that also oversees AXA’s global P&C operations.

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 offering.

Independent third-party risk analysis for the notes was provided by EQECAT, Inc.

The Calypso notes were sold in a private placement pursuant to Rule 144A of the U.S. Securities Act of 1933, as amended, (the “Securities Act”) and have not been, and will not be, registered under the Securities Act or any state securities laws; they may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act and applicable state securities laws.

Notes to editors

Swiss Re Ltd

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Swiss Reinsurance Company Ltd

Swiss Reinsurance Company Ltd is a leading and highly diversified global reinsurer and part of the Swiss Re group of companies. The company operates through offices in more than 20 countries. Founded in Zurich, Switzerland, in 1863, Swiss Re offers financial services products that enable risk-taking essential to enterprise and progress. The company’s traditional reinsurance products and related services for property and casualty, as well as the life and health business are complemented by insurance-based corporate finance solutions and supplementary services for comprehensive risk management. Swiss Reinsurance Company Ltd is rated “A+“ by Standard & Poor’s, “A1” by Moody’s and “A” by A.M. Best.

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