Swiss Re Capital Markets structures and places EUR 350 million catastrophe bond for AXA Global P&C
15 October 2013, New York
Swiss Re Capital Markets has successfully arranged the issuance of EUR 350 million of insurance-linked securities by Calypso Capital II Limited ("Calypso II") on behalf of AXA Global P&C ("AXA"), a wholly-owned subsidiary of AXA S.A. The securities cover windstorms in Europe.
Swiss Re Capital Markets underwrote the transaction which covers Europe windstorm losses via two classes of Principal At-Risk Variable Rate Notes issued by Calypso Capital II Limited. Calypso Capital II Limited is an Irish private company incorporated with limited liability. The EUR 185 million Class A notes have a three year risk period and the EUR 165 million Class B notes have a four-year risk period.
The proceeds of the Notes each collateralize 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 United Kingdom on a weighted PERILS index basis.
Jean-Louis Monnier, Director and Head of ILS Europe at Swiss Re Capital Markets, comments: "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."
The transaction utilizes a putable note, issued by the European Bank for Reconstruction and Development and underwritten by Swiss Re Capital Markets, as collateral for each Class.
This placement is AXA's third Europe Windstorm issuance using a PERILS index trigger since 2010.
Swiss Re Capital Markets acted as lead structuring agent and joint bookrunner.
Standard & Poor's has published a BB-(sf) rating for the Class A Calypso Capital II Limited Principal At-Risk Variable Rate Notes and B+(sf) for the Class B Calypso Capital II Limited Principal At-Risk Variable Rate Notes.
The Calypso II notes were sold pursuant to Rule 144A of the U.S. Securities Act of 1933, as amended (the “Securities Act”) and have not been 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 Capital Markets
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The Swiss Re Group is a leading wholesale provider of reinsurance, insurance and other insurance-based forms of risk transfer. Dealing direct and working through brokers, its global client base consists of insurance companies, mid-to-large-sized corporations and public sector clients. From standard products to tailor-made coverage across all lines of business, Swiss Re deploys its capital strength, expertise and innovation power to enable the risk-taking upon which enterprise and progress in society depend. Founded in Zurich, Switzerland, in 1863, Swiss Re serves clients through a network of over 60 offices globally and is rated "AA-" by Standard & Poor's, "A1" by Moody's and "A+" by A.M. Best. Registered shares in the Swiss Re Group holding company, Swiss Re Ltd, are listed on the SIX Swiss Exchange and trade under the symbol SREN. For more information about Swiss Re Group, please visit: www.swissre.com or follow us on Twitter @SwissRe.
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