Kilimanjaro III Re Ltd. (Series 2026-1)

Everest Group has returned to the catastrophe bond market seeking more retrocessional reinsurance to protect its Everest Re entity, with two series of Kilimanjaro III Re Ltd. notes in the market at the same time, one seeking three years and one four years of protection.

Across the two series, Everest is initially targeting at least $530 million of retrocession. Currently we’ve split that evenly across two Deal Directory entries, one for each series that is being offered.

This Deal Directory entry features the Kilimanjaro III Re Ltd. Series 2026-1 issuance, through which Everest Re is seeking three years of retro protection. However the text below covers both 2026-1 and 2026-2 series, as they were offered at the same time.

We are told that Bermuda-based special purpose insurer (SPI) Kilimanjaro III Re Ltd. is offering four tranches of Series 2026-1 notes and four tranches of Series 2026-2 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 collateralize 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 with all of its recent cat bond deals.

This retrocessional reinsurance protection will be structured on a regionally weighted industry-loss trigger basis for all four tranches of notes for each series, we are told.

Like last year’s deal, we understand that each series of notes will feature two tranches to 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 are issued and settled).

The four tranches of notes under Series 2026-1 will provide Everest Re with coverage for three years to the end of June 2029, while the Series 2026-2 four tranches of notes will provide four years of protection running to the end of June 2030, which aligns their maturities closely with the two series issued a year ago.

Everest Re has adopted this strategy with catastrophe bond sponsorships in the past, targeting different durations of coverage. Typically, this is considered a way to assist a sponsor with the staggering of maturities while layering coverage over longer term. In this case it does bring more maturities together, but remember they are still staggered over a year for Everest.

The new Kilimanjaro III Re Series 2026-1 notes will provide Everest Re with three years of coverage across A-1, B-1, C-1, and D-1 tranches, while the Kilimanjaro III Re Series 2026-2 notes will provide five years of coverage across A-2, B-2, C-2, and D-2 tranches.

While individual tranches do not have target sizes at this stage, like last year Everest is targeting a total amount of retro limit, which is currently the $530 million, across the two series and eight tranches, while there are specific size targets for the matching pairs of note classes with different durations.

The offering has a target of $50 million across the three year Series 2026-1 Class A-1 and four year Series 2026-2 Class A-2 notes. These notes are annual aggregate in their coverage structure, with a $700 million franchise deductible and attach at $3 billion. They come with an initial attachment probability of 5.15%, an initial base expected loss of 4.35% and they are being offered with price guidance in a range from 8% to 8.5%.

There is a $100 million target across the three year Series 2026-1 Class B-1 and four year Series 2026-2 Class B-2 notes. These notes are also annual aggregate in their coverage structure, with a $700 million franchise deductible but attach lower down at $1.9 billion. They come with an initial attachment probability of 9.29%, an initial base expected loss of 6.97% and they are being offered with price guidance in a range from 12.25% to 12.75%.

There is a $50 million target across the three year Series 2026-1 Class C-1 and four year Series 2026-2 Class C-2 notes. These notes will provide per-occurrence protection and attach at $2.365 billion. They come with an initial attachment probability of 6.19%, an initial base expected loss of 5.53% and they are being offered with price guidance in a range from 9% to 9.5%.

Finally, there is a $330 million target across the three year Series 2026-1 Class D-1 and four year Series 2026-2 Class D-2 notes. These notes will also provide per-occurrence protection, but attach lower down at $1.795 billion. They come with an initial attachment probability of 8.7%, an initial base expected loss of 7.38% and they are being offered with price guidance in a range from 12% to 12.5%.