Axa close its European windstorm bond

London Oct 20 (Reuters) - Axa , Europe's second biggest insurer, has sold a new catastrophe bond through its Calypso Capital vehicle to protect it from insured losses from European windstorm.

The second bond in the Calypso Capital series totaled 180 million euros, having been upsized from 100 million during the marketing process, Swiss Re , the bond's structuring agent said on Thursday.

Insurers and reinsurers use catastrophe bonds to transfer major risks on their books, such as for storms and earthquakes, to capital markets investors, thus freeing up capital to underwrite new insurance business.

S&P assigned a BB- rating to class A notes issued by Irish-based Calypso Capital Ltd, which will provide Axa with a "source of industry loss-based cover for windstorms in Europe over a three-year period," the rating agency said.

Axa closed the three-year Class A notes at 180 million euros, while the proceeds of the sale will be invested in European Bank for Reconstruction and Development floating rate puttable notes.

The bond will mature in January 2015.

Axa used its Calypso Capital Ltd special purpose vehicle to issue a 275 million euro bond in November 2010 to cover itself against potential windstorm claims in nine western European countries between Jan. 1 next year and Jan. 1, 2014.

The bond was the first to use European-aggregator PERILS European windstorm index and a trigger weighted by CRESTA and line of business, Swiss Re said in a statement.

Swiss Re Capital Markets acted as sole structuring agent and joint bookrunner for the offering.

Independent third-party risk analysis for the notes was provided by EQECAT, Inc.

The deal is the fifteenth catastrophe bond to close so far this year, bringing total issuance up to $2.6 billion.

(To join the Thomson Reuters Insurance Linked Securities Community for more news and analysis, click here) (Reporting by Sarah Mortimer)