Swiss Re Capital Markets places 350 million euro cat bond covering European windstorms

Swiss Re Capital markets has arranged the issuance of 350 million euros of insurance-linked securities for AXA Global P&C covering windstorm losses in Europe.

The transaction includes two classes of principal at-risk variable notes issued by Calypso Capital II Limited, an Irish private company incorporated with limited liability.

The 185 million euro Class A notes have a three year risk period and the 165 million euro Class B notes have a four-year risk period, according to Swiss Re.

The notes provide pre-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, Swiss Re said.

“We are pleased to provide continued support to AXA’s strategy in accessing capital markets,” Jean-Louis Monnier, director and head of ILS Europe at Swiss Re Capital Markets said in a statement.

“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 placement is AXA’s third Europe windstorm issuance using a PERILS index trigger since 2010, Swiss Re also noted.