Swiss Re Insurance-Linked Fund Management

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Kendall Re Ltd. (Series 2018-1)

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Kendall Re Ltd. (Series 2018-1) – At a glance:

  • Issuer: Kendall Re Ltd. (Series 2018-1)
  • Cedent / sponsor: Aspen Bermuda Limited
  • Placement / structuring agent/s: GC Securities is sole structuring agent and bookrunner
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S. named storm, U.S. & Canada earthquake, U.S. severe thunderstorm, U.S. wildfire, U.S. winter storm, European windstorm
  • Size: $225m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Apr 2018

Kendall Re Ltd. (Series 2018-1) – Full details:

Aspen Insurance Holdings Limited has returned to the catastrophe bond market for the first time in more than a decade with a new international multi-peril transaction, Kendall Re Ltd. (Series 2018-1) that seeks at least $150 million of retrocessional reinsurance for the firms Bermuda property catastrophe reinsurance book.

Kendall Re Ltd. is a newly formed Bermudian special purpose insurer (SPI) established for issuing catastrophe bond notes for Aspen.

In this first issuance, Kendall Re Ltd. will issue a single currently $150 million Class A tranche of Series 2018-1 notes, which will be sold to investors and the proceeds used to collateralized reinsurance agreements between the issuance vehicle and the sponsor beneficiary.

That beneficiary of the cover will actually be Aspen Bermuda Ltd., we understand, which is the entity through which Aspen does much of its property catastrophe reinsurance underwriting.

The $150 million of Kendall Re 2018-1 notes will provide Aspen Bermuda with fully-collateralized retrocessional reinsurance protection against losses from a range of international perils, which include; U.S. named storm risks including Puerto Rico and the U.S. Virgin Islands, U.S. & Canada earthquake risks, U.S. severe thunderstorms, U.S. wildfires, U.S. winter storms, and European windstorms.

The coverage Aspen receives from this Kendall Re cat bond will be across a three-year term, on an annual aggregate basis and using weighted industry loss index triggers, with PCS providing all the trigger data aside from for European windstorm risks which is provided by PERILS AG.

We’re told the $150 million of Kendall Re 2018-1 notes will have an initial attachment probability of 3.02% and an initial expected loss of 2.4%. The notes are being offered to cat bond investors with coupon price guidance in a range from 5.5% to 6%.

Update 1:

Aspen’s new Kendall Re Ltd. catastrophe bond appears to have been well-received by investors, upsizing while marketing to $225 million thanks to demand for the notes.

At the same time, the price guidance has narrowed and looks set to fall to the bottom or below the initial range, with a new range of 5.25% to 5.5% now marketed.

Update 2:

The notes were priced at the low-end of the reduced guidance range, at 5.25%.

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