Calypso Capital II bonds to give storm cover

Weather

AXA has obtained windstorm reinsurance coverage from capital markets investors by launching a catastrophe bond.

The bond provides the insurance group with €350m (£296.5m) of protection against windstorms in Belgium, Denmark, France, Germany, Ireland, Luxembourg, the Netherlands, Norway, Sweden, Switzerland, and the UK.

Under the deal, a special-purpose vehicle called Calypso Capital II will issue €350m-worth of bonds to investors, and use the proceeds to provide the cover to AXA if a windstorm of sufficient size triggers a pay-out.

The bond will pay AXA if industry-wide losses from a covered event hit a certain level. The loss levels used to determine a trigger will be weighted by business line and location.  

The bonds were issued in two tranches. The class A bonds, which make up €185m of the total, protect AXA until January 2017 and pay investors interest of 260 basis points.

The class A bonds cover AXA until January 2018 and pay investors a higher interest rate of 290 basis points.