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 four 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%.

Update 1:

We’re told that two tranches of notes have been withdrawn from the offering, the three-year aggregate Class A1 notes and the four-year occurrence Class C2 notes.

But, across the remaining four tranches being offered the overall target for retrocession has now increased, from the initial at least $530 million to now as much as $675 million.

The remaining four-year Series 2026-2 Class A-2 annual aggregate notes are now targeted at $50 million in size (previously that was the amount targeted across both series of A’s, remember the A1’s have been withdrawn), while the guidance has been lowered to from 7.25% to 8%.

The annual aggregate three year Series 2026-1 Class B-1 and four year Series 2026-2 Class B-2 notes now have a target for between the original $100 million and $130 million of retro. The price guidance has fallen to between 11.75% and 12.25%, we are told.

The remaining C1 tranche of three-year occurrence notes (the four-year C2’s were withdrawn) are now targeted at between the original $50 million (which was across both C tranches) and now as much as $75 million. Their guidance has fallen as well, to now between 8.25% and 9%.

The three year Series 2026-1 Class D-1 and four year Series 2026-2 Class D-2 per-occurrence notes are now targeted at between their initial sizing of $330 million and as much as $420 million across the two tranches. The price guidance has also been lowered, to a revised single figure of 12%.

Update 2:

The remaining four-year Series 2026-2 Class A-2 annual aggregate notes are still targeted at $50 million in size. The guidance has fallen again to 6.75% to 7.25%, we are told.

The annual aggregate three year Series 2026-1 Class B-1 and four year Series 2026-2 Class B-2 notes now see the B-1’s targeted to be $70 million in size and B-2’s $60 million. The guidance has fallen further to 11.5% to 11.75%

The remaining Series 2026-1 C1 tranche of three-year occurrence notes (the four-year C2’s were withdrawn) now look set to be $60 million. Their pricing has fallen again to 7.75% to 8.25%.

For the three year Series 2026-1 Class D-1 and four year Series 2026-2 Class D-2 per-occurrence notes, we’re now told the D-1’s target $220 million, while the D-2’s target $170 million. The guidance has opened out to a range again, at a lower 11.75% to 12%.

Update 3:

Everest Group secured the targeted $630 million of retrocession across the two series issuance of Kilimanjaro III Re Ltd. catastrophe bond notes. The final sizes of each tranche and their pricing can be seen below.

Kilimanjaro III Re Ltd. Series 2026-1 – $350 million:

Class B-1 (three year, annual aggregate) – $70 million, priced at 11.5%

Class C-1 (three year, per-occurrence) – $60 million, priced at 7.75%

Class D-1 (three year, per-occurrence) – $220 million, priced at 11.75%

Kilimanjaro III Re Ltd. Series 2026-2 – $280 million:

Class A-2 (four year, annual aggregate) – $50 million, priced at 6.75%

Class B-2 (four year, annual aggregate) – $60 million, priced at 11.5%

Class D-2 (four year, per-occurrence) – $170 million, priced at 11.75%