NU Online News Service, Oct. 20, 3:08 p.m. EDT
Swiss Re Capital Markets says it has placed a €180 million ($247 million U.S. at the current exchange rate) catastrophe bond for European windstorm risks.
The placement was issued by Calypso Capital Ltd. a special-purpose company incorporated in Dublin, Ireland.
Swiss Re says this is the second issuance under the €1.5 billion ($2.05 billion) Calypso Capital program.
The transaction sponsor is AXA Global P&C, an internal AXA group reinsurance company that also oversees AXA's global property and casualty operations.
The notes, which provide protection on an occurrence basis, utilize a PERILS index trigger weighted by CRESTA zone (country-specific zones for uniform data reporting) and by line of business. PERILS is a European loss-index model.
The transaction follows the October 2010 placement of €275 million ($377 million) of European windstorm risk, which was the first cat bond issuance to feature a PERILS trigger weighted by CRESTA and line of business.
The three-year notes are scheduled for redemption in January 2015.
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,” says Jean-Louis Monnier, Swiss Re Capital Markets' European Head of ILS. “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. The ILS market continues to benefit from the enhanced transparency that PERILS brings to the European insurance sector.”
According to a report from Aon, there was $4.4 billion in annual-issuance volume as of June 30 in the industry. Outstanding catastrophe-bond volume dropped $1.7 billion to $11.5 billion this year.
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