Guy Carpenter & Co. and GC Securities said they have completed a deal worth €275 million ($385 million) Class A principal at-risk variable rate notes due January 10, 2014 from a newly created 144A catastrophe bond program called Calypso Capital.

Calypso is an Irish special purpose company created to provide protection to AXA Global P&C. The Series 2010-1 note offering, the largest euro-denominated issuance in the history of the catastrophe bond market, will provide protection against European windstorm events.

The Series 2010-1 Notes utilize a CRESTA zone and line of business weighted per occurrence PERILS index trigger structure based on insured losses reported by PERILS after the occurrence of a Europe Windstorm.

This marks the second transaction to utilize the PERILS Industry Loss Index and the first to utilize the PERILS Industry Exposure Database for the modeling analysis of the Series 2010-1 Notes.

This issuance provides AXA with €275 million of fully collateralized, multi-year protection against windstorm events throughout Europe, including Belgium, Denmark, France (excluding French overseas territories), Germany, Ireland, Luxembourg, the Netherlands, Switzerland and the U.K.

GC Securities was a joint structuring agent and joint bookrunner on this issuance.

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