Kilimanjaro II Re Ltd. (Series 2017-1)
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Kilimanjaro II Re Ltd. (Series 2017-1) - At a glance:
- Issuer / SPV: Kilimanjaro II Re Ltd. (Series 2017-1)
- Cedent / Sponsor: Everest Re
- Placement / structuring agent/s: Aon Securities is sole structuring agent and bookrunner
- Risk modelling / calculation agents etc: AIR Worldwide
- Risks / Perils covered: U.S., Canada, Puerto Rico, D.C. named storm and earthquake
- Size: $950m
- Trigger type: Industry loss index
- Ratings: NR
- Date of issue: Apr 2017
Kilimanjaro II Re Ltd. (Series 2017-1) - Full details
Everest Re has come to market with both the Kilimanjaro II Re Ltd. (Series 2017-1) and Kilimanjaro II Re Ltd. (Series 2017-2) transactions at the same time.
The difference between the two series is said to be purely the length of the coverage, with the 2017-1 series issued by Kilimanjaro II Re set to provide their reinsurance protection across a four-year term, while the 2017-2 series will have a five-year term.
We’re told that both series of Kilimanjaro II Re cat bond notes will be split into three tranches, with each providing annual aggregate cover against losses from named storms and earthquakes across the U.S. (including Puerto Rico) and Canada, on an industry loss basis and featuring a PCS trigger.
Each of the six tranches of notes to be issued in the two series will feature a $100 million franchise deductible, we understand, and the industry loss index will be territory weighted.
The 2017-1 tranches cover precisely the same risk layers as the 2017-2, with just the length of the term of reinsurance coverage the difference.
The Kilimanjaro II Re 2017-1 Class A-1 notes and Kilimanjaro II Re 2017-2 Class A-2 notes cover losses from an attachment point of $2.156 billion up to an exhaustion point of $2.597 billion, have an initial attachment probability of 6.53% and an expected loss of 5.74%.
Everest Re is targeting $150 million of cover across the 2017-1 Class A-1 notes and 2017-2 Class A-2 notes, we understand, and both are offered to investors with broad price guidance of 9.75% to 10.5%.
The Kilimanjaro II Re 2017-1 Class B-1 notes and Kilimanjaro II Re 2017-2 Class B-2 notes will cover losses from their attachment point of $2.597 billion up to an exhaustion point of $3.663 billion, have an initial attachment probability of 4.97% and an expected loss of 3.85%.
Everest Re is targeting $300 million of cover across these two tranches, the 2017-1 Class B-1 notes and 2017-2 Class B-2 notes, with them both offered to investors with price guidance of 7.25% to 8%.
Finally, the Kilimanjaro II Re 2017-1 Class C-1 notes and Kilimanjaro II Re 2017-2 Class C-2 notes will cover losses from attachment at $3.663 billion up to an exhaustion point of $4.235 billion, have an initial attachment probability of 2.92% and an expected loss of 2,23%.
Everest Re is targeting $150 million of cover split across these two tranches, the 2017-1 Class C-1 notes and 2017-2 Class C-2 notes, with them both offered to investors with price guidance of 6% to 6.75%.
If the five-year terms Series 2017-2 tranches of notes see sufficient demand from investors it would not be surprising to see those three tranches complete at a much larger size than their four-year 2017-1 versions, or even for the 2017-1 series to not be issued at all if investors are happy to fully support the five-year term.
This Series 2017-1 issuance upsized dramatically to reach $950 million across its three tranches. At the same time the pricing guidance shifted and was fixed towards or at the lower end of initial guidance for all trannches
The Class A-1 notes are now $225 million in size, up from the $75 million mid-point of the Class A target, with pricing now fixed at 10%, so towards the lower end of the initial 9.75% to 10.5% price guidance. The Class B-1 notes are now $400 million, up from the $150 million mid-point target size for the Class B’s, while their pricing has been fixed at 7.5%, which is again nearer to lower end of the launch 7.25% to 8% range. Finally the Class C-1 notes are now at $325 million, up from the $75 million mid-point target size, with pricing at 6% which is the bottom of the launch 6% to 6.75% spread guidance.
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