Kilimanjaro II Re Ltd. (Series 2017-2)

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Kilimanjaro II Re Ltd. (Series 2017-2) - At a glance:

  • Issuer / SPV: Kilimanjaro II Re Ltd. (Series 2017-2)
  • 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: $300m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Apr 2017

Kilimanjaro II Re Ltd. (Series 2017-2) - 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.

Update 1:

The Series 2017-2 issuance remained at $300 million in size, although there was some adjustment in tranche sizes. The pricing for all three tranches of notes dropped to below the middle of guidance and in some cases at the bottom.

The Class A-2 notes are now $50 million, so lower than the mid of the Class A’s $150 million target, while the pricing has been set at 10%. The Class B-2 notes sit at $75 million, so have also shrunk from the initial middle of the Class B’s target of $300 million, pricing has been set at 7.5%. Finally the Class C-2’s are at $175 million, which is above the middle of the target size for the two Class C tranches and the pricing is fixed at 6%.




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