Kilimanjaro Re Ltd. (Series 2018-2)

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Kilimanjaro Re Ltd. (Series 2018-2) - At a glance:

  • Issuer / SPV: Kilimanjaro Re Ltd. (Series 2018-2)
  • 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., Puerto Rico, U.S. Virgin Islands, D.C., Canada named storm and earthquake
  • Size: $262.5m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Apr 2018

Kilimanjaro Re Ltd. (Series 2018-2) - Full details

Everest Re has returrned to the catastrophe bond market with twin issues of a Kilimanjaro Re Ltd. (Series 2018-1) and a Kilimanjaro Re Ltd. (Series 2018-2) transactions at the same time.

Each transaction will feature two tranches of notes, Series 2018-1 Class A-1 and Class B-1, and Series 2018-2 Class A-2 and Class B-2

The difference between the two series is solely the length of the coverage, with the 2018-1 series notes issued by Kilimanjaro Re set to provide their reinsurance protection across a four-year term, while the 2018-2 series notes will have a five-year term.

In this twin issuance Everest Re is seeking at least $300 million of protection across the two series and the four tranches of notes, with all of the issuance set to provide it with fully-collateralized reinsurance and retro protection against losses from named storms and earthquakes across the U.S., Puerto Rico, U.S. Virgin Islands, District of Colombia and Canada.

The reinsurance protection will be provided using a weighted industry loss index trigger, based on data reported by PCS, and the coverage will be on an annual aggregate basis across the four and five-year terms of the notes.

Each series has one higher risk and one lower risk tranche of notes and aside from the term of the coverage every else remains the same.

The Series 2018-1 Class A-1 and Series 2018-2 Class A-2 notes, which are the higher risk layers, will target at least $50 million of cover across the pair and have an initial attachment probability of 8.97%, an initial expected loss of 8.5% and will be offered to investors with price guidance in a range from 13.25% to 14.25%.

The Series 2018-1 Class B-1 and Series 2018-2 Class B-2 notes, which are the lower risk layers, will target at least $250 million of coverage across the pair of tranches and have an initial attachment probability of 2.29%, an initial expected loss of 2.08% and will be offered to investors with price guidance in a range from 5% to 5.5%%.

Update 1:

This catastrophe bond issuance looks set to increase in size for Everest Re, with each series now targeting $262.5 million of coverage across the two tranches of notes.

The Series 2018-1 Class A-1 and Series 2018-2 Class A-2 notes, which are both the higher risk layers with an initial expected loss of 8.5%, were targeting at least $50 million of coverage across the pair and were offered to investors with price guidance in a range from 13.25% to 14.25%.

Both of these Class A tranches (four-year and five-year) are now set to secure Everest Re $62.5 million of protection each and the price guidance has plummeted to below the initial guidance, now looking set to be fixed at 12.5%, so representing very efficient execution.

Meanwhile, the Series 2018-1 Class B-1 and Series 2018-2 Class B-2 notes, which are the lower risk layers, with their initial expected loss of 2.08%, launched targeting at least $250 million of coverage across the pair and were offered to ILS investors with price guidance in a range from 5% to 5.5%.

Now, the two Class B tranches (four-year and five-year) are going to secure $200 million each of reinsurance protection for Everest Re, we understand, while the pricing has again dropped significantly down to 4.65%, so below the initial guidance.




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