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: $225m
  • 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.

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.

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