Kilimanjaro II Re Ltd. (Series 2025-2)

Everest Group is back in the catastrophe bond market seeking more retrocessional reinsurance to protect its Everest Re entity, with two series of notes in the market at the same time, one seeking four years and one five years of protection.

This Deal Directory entry features the Kilimanjaro II Re Series 2025-2 issuance, through which Everest Re is seeking five years of protection. However the text below covers both 2025-1 and 2025-2 series, as they were offered at the same time.

We understand that Bermuda-based special purpose insurer (SPI) Kilimanjaro II Re Ltd. is aiming to issue four tranches of Series 2025-1 notes and four tranches of Series 2025-2 notes, that will all be sold to investors and the proceeds used to collateralize retrocessional reinsurance agreements with Everest Re.

The cat bond notes will fund coverage for Everest Re against certain losses from named storms and earthquakes that impact the United States, Puerto Rico, U.S. Virgin Islands, D.C., and Canada, the same perils as each of its recent cat bond deals.

The retrocessional reinsurance protection will be on a regionally weighted industry-loss trigger basis for all four tranches of notes.

But we understand that each series will feature two tranches that will provide annual aggregate protection and two tranches that are structured to provide Everest Re with a source of per-occurrence protection, so four aggregate and four occurrence tranches in all (if both series issuances are completed).

The four tranches of Series 2025-1 notes are designed to provide Everest Re with coverage for four years to the end of June 2029, while the four tranches of Series 2025-2 notes will provide five years of protection through to the end of June 2030, we are told.

Everest Re has adopted this strategy with catastrophe bond sponsorships in the past, seeking different durations of coverage which helps in staggering maturities while layering coverage over longer terms.

The Series 2025-1 notes will provide four years of coverage across A-1, B-1, C-1, and D-1 tranches, while the Series 2025-2 notes will provide five years of coverage across A-2, B-2, C-2, and D-2 tranches.

No individual size targets are set for every tranche, but we’re told there are size targets across the matching pairs of note classes with different durations. Details we know so far are below.

There is a target of $125 million across the four year A-1 and five year A-2 notes. These notes are annual aggregate in their coverage structure and come with an initial attachment probability of 1.61%, an initial base expected loss of 1.1% and they are being offered with price guidance in a range from 4% to 4.75%.

There is a target of $100 million across the four year B-1 and five year B-2 notes. These notes are also annual aggregate in structure and come with an initial attachment probability of 3.72%, an initial base expected loss of 2.84% and they are being offered with price guidance in a range from 6.5% to 7.25%.

The aggregate note tranches feature a franchise deductible per-industry loss event, in order for an event to qualify under their terms, we have learned.

Additionally, there is a target of $125 million across the four year C-1 and five year C-2 notes. These notes are per-occurrence in terms of coverage structure and come with an initial attachment probability of 2.3%, an initial base expected loss of 1.52% and they are being offered with price guidance in a range from 4.25% to 5%.

Finally, there is a target of $100 million across the four year D-1 and five year D-2 notes. These notes are also per-occurrence in terms of structure and come with an initial attachment probability of 5.49%, an initial base expected loss of 3.55% and they are being offered with price guidance in a range from 6.75% to 7.5%.

Update 1:

Everest Re lifted its target for the two series of Kilimanjaro II Re Ltd. catastrophe bond notes by 100%, targeting $900 million across the pair.

At this stage we do not know the individual tranche sizes, but understand they will be a minimum of $50 million each, while targets have been set across each pair of four and five year notes.

The four year A-1 and five year A-2 notes target $200 million between them, are annual aggregate in their coverage structure, come with an initial base expected loss of 1.1% and were first offered with price guidance in a range from 4% to 4.75%. We’re now told the price guidance for these notes sits at 4% after a first update.

The four year B-1 and five year B-2 notes target $200 million between them, are also annual aggregate in structure, come with, an initial base expected loss of 2.84% and were first offered with price guidance in a range from 6.5% to 7.25%. We’re now told the price guidance for these notes sits at 6.25% after a first update.

The four year C-1 and five year C-2 notes target $300 million between them, are per-occurrence in terms of coverage structure, come with an initial base expected loss of 1.52% and were first offered with price guidance in a range from 4.25% to 5%. We’re now told the price guidance for these notes sits at 4.25% after a first update.

Finally, the four year D-1 and five year D-2 notes target $200 million between them, are also per-occurrence in terms of structure, come with an initial base expected loss of 3.55% and were initially offered with price guidance in a range from 6.75% to 7.5%. We’re now told the price guidance for these notes sits at 6.5% after a first update.

Update 2:

Everest lifted the size target for the overall two series Kilimanjaro II Re Ltd. catastrophe bond issuance to between $900 million and $1 billion, while also lowering the price guidance and putting that back into ranges as well. The latest details are below.

The four year A-1 and five year A-2 notes are now targeted at $100 million to $105 million each. These are annual aggregate in their coverage structure and come with an initial base expected loss of 1.1%. They were first offered with price guidance in a range from 4% to 4.75%, which was updated to 4% after a first update, but we’re now told are back in a lower range from 3.75% to 4%.

The four year B-1 and five year B-2 notes now target between $100 million and $120 million each. These are also annual aggregate in structure and come with an initial base expected loss of 2.84%. They were first offered with price guidance in a range from 6.5% to 7.25%, which was then fixed at 6.25% after a first update, but are now also back in a lower range from 6% to 6.25%.

The four year C-1 and five year C-2 notes now target from $150 million to $170 million each. These are per-occurrence in terms of coverage structure and come with an initial base expected loss of 1.52%. They were first offered with price guidance in a range from 4.25% to 5%, which was then fixed at 4.25% after a first update, but are now also opened into a lower range of 4% to 4.25%.

Finally, the four year D-1 and five year D-2 notes now target $100 million to $105 million each. These are also per-occurrence in terms of structure and come with an initial base expected loss of 3.55%. They were initially offered with price guidance in a range from 6.75% to 7.5%, which was then fixed at 6.5% after a first update, but are now also opened into a reduced range of 6.25% to 6.5%.

Update 3:

Everest secured its top-target for $500 million of protection from each of the Series 2025-1 and Series 2025-2 notes with this dual-series Kilimanjaro II Re catastrophe bond sponsorship, for $1 billion of limit in total.

The four year A-1 and five year A-2 notes are finalised at their largest sizes of $105 million each. These are annual aggregate in their coverage structure and come with an initial base expected loss of 1.1%. They were first offered with price guidance in a range from 4% to 4.75%, which was updated to 4% after a first update, but then reverted back to a lower range from 3.75% to 4%. These tranches have now priced for a spread of 3.75%, so the lowest-end.

The four year B-1 and five year B-2 notes now target are finalised at their largest sizes of $120 million each. These are also annual aggregate in structure and come with an initial base expected loss of 2.84%. They were first offered with price guidance in a range from 6.5% to 7.25%, which was then fixed at 6.25% after a first update, but were reverted back to a lower range from 6% to 6.25%.  These tranches have now been priced for a spread of 6.25%, so still below the initial guidance that was offered.

The four year C-1 and five year C-2 notes are finalised at their largest sizes of $170 million each. These are per-occurrence in terms of coverage structure and come with an initial base expected loss of 1.52%. They were first offered with price guidance in a range from 4.25% to 5%, which was then fixed at 4.25% after a first update, but also reverted back to a lower range of 4% to 4.25%. These tranches have now priced at 4%, so the lowest level.

Finally, the four year D-1 and five year D-2 notes are finalised at their largest sizes of $105 million each. These are also per-occurrence in terms of structure and come with an initial base expected loss of 3.55%. They were initially offered with price guidance in a range from 6.75% to 7.5%, which was then fixed at 6.5% after a first update, but also opened back to a reduced range of 6.25% to 6.5%. These tranches have now been priced at 6.5%, so still below the initial guidance.

This gives the company $450 million of protection across the four aggregate tranches of notes and $550 million across the four per-occurrence tranches that were issued.