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Swiss Re issues $474 million cat bond to cover European windstorms

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Swiss Re issues $474 million cat bond to cover European windstorms

Swiss Re Capital Markets has successfully arranged the issuance of €350 million ($474 million) of insurance-linked securities by Calypso Capital II Ltd. on behalf of AXA Global P&C to cover European windstorms, Swiss Re announced Tuesday.

Swiss Re Capital Markets underwrote the transaction, which covers European windstorm losses via two classes of principal at-risk variable rate notes issued by Calypso Capital II. The €185 million ($250.5 million) Class A notes have a three-year risk period and the €165 million ($223.5 million) Class B notes have a four-year risk period.

According to Swiss Re, the proceeds of the notes each collateralize a counterparty contract with AXA. They provide 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 A.G. index basis. PERILS is a Zurich-based insurance industry initiative designed to improve the availability of catastrophe insurance data.

"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,” said Jean-Louis Monnier, director and head of ILS Europe at Swiss Re Capital Markets in a statement announcing the transaction. “As the largest Euro-denominated transaction to date, Calypso Capital II underlines the current strength of the ILS market."

Calypso Capital II an Irish private company incorporated with limited liability.