AXA Global P&C has successfully placed 350 million of catastrophe bonds to institutional investors, the largest issuance of catastrophe bonds in euros so far.
There are two classes of notes: the Class A notes, for an amount of 185 million maturing in January 2017, and the Class B notes, for an amount of 165 million maturing in January 2018, each class providing protection on different risk levels.
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Following the 2010 and 2011 issuances, this new transaction has been structured through a new Irish
Special Purpose Vehicle (Calypso Capital II Limited) providing AXA Global P&C with two fully collateralized, multiyear protections against extreme European windstorm risk in Belgium, Denmark, France (excluding French overseas territories), Germany, Ireland, Luxembourg, the Netherlands, Norway, Sweden, Switzerland and the United Kingdom.
The bonds use a PERILS index trigger structure based on insured industry losses reported by PERILS after the occurrence of a European windstorm event.
The spread to be paid by AXA Global P&C during the risk period has been set initially at 260 basis points per annum for the Class A notes, and at 290 basis points per annum for the Class B notes. A new ‘variable reset’ mechanism has been included allowing AXA Global P&C, for each new risk period, to adjust the protection levels within predefined ranges with the spread being revised accordingly as predetermined at issuance.
Philippe Derieux, group reinsurance officer and deputy CEO of AXA Global P&C, said: "This issuance confirms AXA’s strategy to diversify the Group’s cover against natural catastrophes, by both traditional reinsurance and alternative risk transfer such as catastrophe bonds. With the development of the cat bonds market, it is now possible to issue more flexible instruments addressing more efficiently the protection needs of the Group."
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