Swiss Re places EUR 275 million of European windstorm risk

Swiss Re places EUR 275 million of European windstorm risk on behalf of AXA Global P&C through Calypso Capital Ltd.; transaction to use enhanced PERILS trigger to minimize basis risk

Zurich, 2 November 2010 – Swiss Re Capital Markets has successfully structured and placed EUR 275 million of notes issued by Calypso Capital Ltd. (“Calypso”) covering European
windstorm events. Calypso is a special-purpose company incorporated in Dublin, Ireland. The transaction sponsor is AXA Global P&C.

The notes, which provide protection on an occurrence basis, are the first to utilise a PERILS index trigger weighted by CRESTA zone (country-specific zones for uniform data reporting) and by line of business.

|Calypso's single tranche series 2010-1 notes are the first issuance under a EUR 1.5bn principal-at-risk variable-rate note shelf programme. The three-year notes are rated “BB (sf)” by
Standard & Poor’s and are scheduled for redemption in January 2014. Collateral for this issuance consists of a global master repurchase agreement with BNP Paribas.

Calypso was structured to provide AXA Global P&C with cover for European windstorms in Belgium, Denmark, France (excluding overseas territories), Germany, Ireland, Luxembourg, The
Netherlands, Switzerland, and the U.K

“We are pleased to support AXA's risk management objectives with a transaction that is the largest single European wind exposed ILS issuance to date. It marks further strategic leverage
of the data supplied by PERILS,” said Jean-Louis Monnier, Swiss Re's Head of ILS Europe. “The ILS market continues to benefit from the enhanced transparency that PERILS brings to the
European insurance sector."

Swiss Re Capital Markets acted as a structuring agent and joint bookrunner for the offering.
Independent third-party risk analysis for the notes was provided by EQECAT, Inc.
The Calypso notes were sold in a private placement pursuant to Rule 144A of the U.S. Securities Act of 1933, as amended, (the “Securities Act”) and have not been registered under the Securities Act or any state securities laws; they may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the
registration requirements of the Securities Act and applicable state securities laws.