Kilimanjaro III Re Ltd. (Series 2022-1)

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Kilimanjaro III Re Ltd. (Series 2022-1) – At a glance:

  • Issuer: Kilimanjaro III Re Ltd.
  • Cedent / sponsor: Everest Re
  • Placement / structuring agent/s: Aon Securities is sole structuring agent and bookrunner
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S., Puerto Rico, U.S. Virgin Islands, D.C., Canada named storm and earthquake
  • Size: $300m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Jun 2022

Kilimanjaro III Re Ltd. (Series 2022-1) – Full details:

This is Everest Re’s first visit to the catastrophe bond market since April 2021.

Kilimanjaro III Re Ltd., Everest Re’s most recent catastrophe bond issuing Bermuda SPI, will issue a single tranche of Series 2022-1 notes, that will be sold to cat bond investors and the proceeds used to collateralize a retrocessional reinsurance agreement between the SPI and Everest Re.

This new Kilimanjaro cat bond will provide Everest Re with coverage against certain losses from named storms and earthquakes that impact the United States, Puerto Rico, U.S. Virgin Islands, D.C., and Canada.

The retrocessional reinsurance protection will be on an industry-loss trigger basis and the cat bonds are structured to provide Everest Re with a source of annual aggregate retro reinsurance protection.

The $250 million or more of notes will provide three years of protection, which is a little less ambitious than previous cat bonds that have provided Everest Re with four and five year term cover.

We’re told that the cat bond’s expected loss is weighted roughly one-third quake, to two-thirds wind.

Of the earthquake component California is the dominant source of risk, at 60%. While on the wind risk side, Florida is approximately 35% of the exposure, we understand.

The notes will have an initial attachment point of a $6 billion industry loss, exhausting at $8.782 billion, after an $800 million franchise deductible is applied. That gives an initial attachment probability of 1.43% and an initial expected loss of 0.9%.

The notes are being offered to cat bond investors with initial price guidance of 5% to 5.5%, we’re told.

Update 1:

Everest Re’s target for this new Kilimanjaro III Re 2022-1 catastrophe bond has now been lifted to $300 million.

At the same time the pricing has been fixed at 5.25%, so at the mid-point of the initial guidance range.

Update 2:

Everest Re’s new cat bond was eventually finalised at the upsized $300m in size, with the coupon fixed at the mid-point of 5.25%.

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