Deal to protect insurer against European windstorms

AXA Global P&C, a division of French insurance group AXA, has launched a €275m catastrophe bond that protects the company against European windstorms for three years.

The bonds were issued by Calypso Capital, an Irish special-purpose vehicle, which will in turn reinsure AXA Global P&C against European windstorm risk. GC Securities, the capital markets division of reinsurance broker Guy Carpenter, was joint strructuring agent and joint bookrunner on the issuance.

The bond's trigger is structured around an industry loss index provided by catastrophe data provider PERILS. The bond pays out when insured losses from a European windstorm event reported to PERILS exceed a certain level. The Calypso bond is the first to use PERILS' industry loss index, and the first to use its industry exposure database for the risk modelling analysis.

The bonds issued under the deal mature on 10 January 2014 and are rated BB (sf) by rating agency Standard & Poor's.