Kilimanjaro Re, first catastrophe bond from Everest Re, launches

by Artemis on April 8, 2014

Another first time catastrophe bond sponsor is coming to market, this time in the shape of Everest Reinsurance Company, with Kilimanjaro Re Ltd. (Series 2014-1), seeking retrocessional protection for U.S. named storms and earthquakes.

Everest Re is looking to secure a four-year source of fully-collateralized retrocessional reinsurance protection through the issuance of two tranches of cat bond notes from Bermuda-based special purpose reinsurer Kilimanjaro Re Limited. At launch the cat bond is being marketed as a $250m transaction split evenly between the two tranches of notes, Artemis understands.

This 2014-1 cat bond from Kilimanjaro Re will provide Everest Re with per-occurrence and annual aggregate U.S. named storm protection and aggregate U.S. earthquake protection as well. Protection will be afforded on an industry loss basis, using a PCS index weighted by territory for both the per-occurrence and aggregate for each peril.

The $125m Class A tranche of notes is targeting per-occurrence coverage for U.S. named storms in the states of Alabama, Florida, Georgia, Louisiana, Mississippi, North Carolina and South Carolina, using a weighted PCS industry loss trigger. This tranche of notes has an attachment probability of 2.24%, an exhaustion probability of 1.14% and an expected loss of 1.6%, we understand. The attachment point for the Class A notes is at an industry index level of $1.4 billion while the exhaustion is at an industry index level of $2.15 billion.

The $125m Class B notes target annual aggregate protection for U.S. named storms across a wider area of all U.S. Gulf and East coast states as well as aggregate earthquake protection across all the most exposed states in the U.S. This tranche has an attachment probability of 2.18%, an exhaustion probability of 0.94% and an expected loss of 1.46%. The attachment point is set at an industry index level of $2.15 billion while this tranche exhausts at an index level of $2.9 billion. It is understood that the Class B tranche features a franchise deductible of $110m per event.

In terms of price guidance, the Class A per-occurrence notes are being offered to investors with an interest spread coupon of 5.25% to 5.75%. The Class B aggregate notes are being offered with an interest spread coupon of 5% to 5.5%.

Everest Re’s first catastrophe bond is being brought to market by Aon Benfield Securities which is acting as structuring agent and bookrunner for the reinsurer. AIR Worldwide is risk modeller for this cat bond.

That’s all the information we have on this first Kilimanjaro Re Ltd. (Series 2014-1) transaction from Everest Re.

We will update you as it progresses to market and you can find full details on this and every other catastrophe bond in the Artemis Deal Directory.

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