Kendall Re Ltd. (Series 2024-1)

Aspen Insurance Holdings Limited is back in the catastrophe bond market for a second renewal of its Kendall Re international multi-peril transaction.

It will be the third catastrophe bond issuance under the Kendall Re name and the fourth we have listed in our Deal Directory from Aspen, with the first having been a 2007 California earthquake cat bond named Ajax Re Ltd., which had defaulted in 2009 due to the Lehman Brothers collapse.

For this 2024-1 renewal from Kendall Re, Aspen is seeking industry-loss based collateralized retrocessional reinsurance capacity from the capital markets to support its global underwriting units.

Bermuda-based issuer Kendall Re Ltd. will look to sell two tranches of Series 2024-1 cat bond notes to investors, with the proceeds set to collateralize reinsurance agreements to protect the company.

The targeted at least $150 million of protection is split over the two tranches of notes and will provide retro reinsurance to Aspen’s Bermuda unit, as well as its Lloyd’s syndicate 4711, UK company and two US underwriting units, so covers losses across the entire group as its last cat bond did.

The two tranches of Series 2024-1 notes that Kendall Re is going to issue 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, we are told.

PCS is providing the industry loss data for the US and Canadian named storm and earthquake risks, while PERILS AG is the data provider for European windstorm events.

We understand that there will be a franchise deductible of $30 million to take into account per-event, before a loss can count towards the annual aggregate total.

The coverage from both tranches of notes will run across a three-year term, until early May 2027 we’re told.

Kendall Re Ltd. is aiming to issue a $75 million tranche of Class A notes that will come with an initial attachment probability of 1.59%, an initial expected loss of 1.04% and are being offered with price guidance in a range from 4.5% to 5.25%.

While an also $75 million Class B tranche of notes are riskier and come with an initial attachment probability of 3.87%, an initial expected loss of 2.54% and are being offered with price guidance in a range from 6% to 6.75%, sources said.

Update 1:

We understand that Aspen’s target for the size of this Kendall Re 2024-1 retro cat bond issuance has increased significantly, with now up to $300 million of cover sought across the two tranches of notes. That is being stated as the maximum size, although the tranches suggest it could have been larger, has Aspen wanted.

The Class A notes are now targeted at between $150m and $225m in size, while the Class B notes are targeted at between $75m and $150m.

At the same time though, the price guidance has risen relatively significantly, with the Class A notes now offered with spread guidance of 5.75% to 6.5%, while the Class B notes are offered with spread guidance of between 7.75% and 8.5%.

Update 2:

We’re told that Aspen secured the doubling of its latest cat bond issuance, to provide it $300 million of retrocession.

The Class A notes tripled to $225 million in size and priced at 6.25%, while the Class B notes remained $75 million in size and priced at 7.75%.