ZURICH—Swiss Re Capital Markets has structured and placed €180 million ($249.9 million) in notes issued by Calypso Capital Ltd. covering European windstorm events, the Swiss Reinsurance Co. unit announced Thursday.
This is the second issuance under the €1.5 billion ($2.08 billion) Calypso Capital program by the Dublin-based special-purpose company. The transaction's sponsor is AXA Global P&C, an internal AXA group reinsurance company that also oversees AXA S.A.'s global property/casualty operations.
The three-year notes are scheduled for redemption in January 2015.
The notes, which provide protection on an occurrence basis, utilize a PERILS A.G. index trigger weighted by CRESTA zone—or country-specific zones for uniform data reporting—and by line of business, Swiss Re Capital Markets said in a statement.
PERILS is a Zurich-based European catastrophe data provider.
This transaction follows the October 2010 placement of a €275 million ($381.8 million) of European windstorm bond, the first cat bond issuance to feature a PERILS trigger weighted by CRESTA and line of business.
Calypso was structured to provide AXA Global P&C with cover for European windstorms in Belgium, Denmark, Germany, Ireland, Luxembourg, The Netherlands, Norway, Sweden, Switzerland and the United Kingdom, along with France, excluding its overseas territories.