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Kendall Re Ltd. (Series 2021-1)

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Kendall Re Ltd. (Series 2021-1) – At a glance:

  • Issuer: Kendall Re Ltd.
  • Cedent / sponsor: Aspen
  • Placement / structuring agent/s: GC Securities is sole structuring agent and bookrunner
  • Risk modelling / calculation agents etc: RMS
  • Risks / perils covered: U.S. named storm, U.S. & Canada earthquake, European windstorm
  • Size: $300m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Apr 2021

Kendall Re Ltd. (Series 2021-1) – Full details:

Aspen Insurance Holdings Limited has returned to the catastrophe bond market for a renewal of its Kendall Re international multi-peril transaction, seeking collateralized reinsurance capacity from the capital markets to support its global underwriting units.

There are a few changes to the 2021 Kendall Re cat bond deal, as Aspen has updated the covered perils, changed the risk modeller and expanded the coverage across more of its global underwriting entities, we understand from sources.

For this renewal issuance, Aspen is also seeing $225 million, perhaps more, of retrocessional reinsurance protection from two tranches of Series 2021-1 notes that Kendall Re Ltd. will issue.

The retro reinsurance protection will cover losses under Aspen’s Bermuda unit, as well as its Lloyd’s syndicate, UK company and US underwriting units, so covers losses across the entire group this time around.

Both tranches will be exposed to losses from US named storms, including Puerto Rico, the US Virgin Islands and DC, as well as US and Canada earthquake, plus European windstorms on a weighted (state/county/Cresta) industry loss and annual aggregate basis over a three year term.

So the range of covered perils has been reduced somewhat, while at the same time the new Kendall Re cat bond renewal will feature RMS as the risk modeller, instead of AIR.

The issuance currently features a $125 million tranche of Series 2021-1 Class A notes that have an initial expected loss of 1.62%, would attach at $475m of losses after a franchise deductible of $30m per event, and are being offered to cat bond investors with price guidance in a range from 4.5% to 5%, our sources said.

It also features a $100 million tranche of Class B notes, which have an initial expected loss of 3.32% and would attach at $325m, again after the same $30m franchise deductible per event, and are offered with coupon price guidance of 7% to 7.75%, we understand.

Update 1:

Aspen’s target for this Kendall Re 2021-1 catastrophe bond has increased, with the deal now hoped to settle at $300 million in size.

That’s the maximum coverage Aspen is seeking from this cat bond and it looks like the company will settle for the most optimal execution mix, across the two offered tranches of notes.

At the same time the price guidance for both tranches of notes have been lowered, with Aspen set to be the latest cat bond sponsor to benefit from strong appetite for cat bond investments.

The Class A tranche is now targeted at anywhere from $125 million to $200 million of protection, but with updated price guidance now much lower at 4% to 4.5%.

The Class B tranche is now targeted at anywhere from $100 million to $175 million of protection for Aspen, we understand, while the price guidance has also been updated at a lower level of 6.25% to 7%.

The caveat is that Aspen is said to only be seeking $300 million from this issuance and it looks like it will settle for that in whatever mix the market appetite makes most efficient for the company, as long as each tranche meets those minimum sizes.

Update 2:

At pricing, Aspen secured the full $300 million of capacity sought, equally split across the two tranches of this Kendall Re catastrophe bond.

The Class A tranche is $150m in size and the pricing settled at the low-end of reduced guidance, at 4%, which represents a roughly 16% decline in pricing from the initial guidance mid-point.

The Class B tranche is also $150m in size and the pricing also settled at the low-end of reduced guidance, at 6.25%, which represents a roughly 15% decline in pricing from the initial mid-point.

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