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Everglades Re II Ltd. (Series 2017-1)

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Everglades Re II Ltd. (Series 2017-1) – At a glance:

  • Issuer: Everglades Re II Ltd. (Series 2017-1)
  • Cedent / sponsor: Citizens Property Insurance
  • Placement / structuring agent/s: Citigroup is sole structuring agent and bookrunner. BofA Merrill Lynch is joint bookrunner.
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: Florida named storms
  • Size: $300m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: May 2017

Everglades Re II Ltd. (Series 2017-1) – Full details:

Florida Citizens fifth catastrophe bond in the Everglades Re series of transactions. This Everglades Re II 2017-1 cat bond targets $250m or greater of Florida named storm reinsurance protection.

The Everglades Re II transaction being marketed to investors will offer a single $250 million Series 2017-1 tranche of Class A notes, we understand, with exposure linked to Florida named storm risks across a three-year term.

The notes will provide Florida Citizens with a fully collateralized source of annual aggregate reinsurance protection against losses from named storms (so the impacts of tropical storms and hurricanes) hitting Florida, with the cat bond featuring an indemnity trigger.

Subject business is all from the Citizens coastal account, and consists of both personal and commercial residential property exposures.

We’re told that the notes will attach at $2.151 billion and cover a percentage of losses up to $3.031 billion, which does leave ample room for the transaction to upsize should Citizens choose to.

The resulting initial attachment probability is 2.49% and the expected loss 1.95% for the Everglades Re II 2017-1 notes. The currently $250 million of notes are being offered to investors with coupon price guidance in a range of 5% to 5.75%.

Update 1:

The single, $250 million tranche of Class A notes being issued by Everglades Re II 2017-1 were initially offered to ILS and cat bond investors with coupon price guidance in a range from 5% to 5.75%.

Now, we understand, that this guidance has been reduced, with the latest information being that the notes are now offered to investors with pricing guidance in a reduced and narrowed range from 5% to 5.25%.

Update 2:

We’re told that this cat bond has increased in size at pricing to reach $300 million. At the same time the pricing fell to the bottom of guidance to settle at a 5% coupon.

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