Everest seeks $150m of retrocession with Kilimanjaro II Re 2024-1 cat bond

Everest Re, the global reinsurance arm of Everest Group, has returned to the catastrophe bond market in search of $150 million or more in multi-peril per-occurrence retrocession, through a Kilimanjaro II Re Ltd. (Series 2024-1) issuance, Artemis has learned.

This latest Kilimanjaro Re catastrophe bond will become the thirteenth from Everest Re that we have tracked and listed in our Deal Directory, since its first in 2014.

Details of every catastrophe bond sponsored by Everest Re can be found here.

The company last sponsored a cat bond in 2022, when it secured aggregate coverage from a $300 million Kilimanjaro III Re 2022-1 deal.

For this new issuance in 2024, Everest Re has reverted to use a Bermuda based issuer named Kilimanjaro II Re Ltd., which it last utilised for a catastrophe bond in 2017, we understand.

It’s worth remembering here that Everest still has two Kilimanjaro III Re cat bond tranches that are exposed to potential losses, so this could have driven the reason to revert back to an older special purpose insurer for this 2024 issuance.

Kilimanjaro II Re Ltd. is aiming to issue two tranches of Series 2024-1 notes, that will 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 retrocessional reinsurance protection will be on a regionally weighted industry-loss trigger basis and the cat bond notes are structured to provide Everest Re with a source of per-occurrence protection.

The $150 million or more of notes on offer will provide four years of protection to Everest, running to July 10th 2028, we are told.

The Class A tranche of notes are currently $50 million in size, come with an initial attachment probability of 1.84%, an initial base expected loss of 1.67% and are being offered to cat bond investors with price guidance in a range from 7.25% to 8.25%.

The Class B tranche of notes are currently $100 million in size and riskier, sitting lower down, with an initial attachment probability of 2.29%, an initial base expected loss of 2.03% and are being offered to cat bond investors with price guidance in a range from 8.25% to 9.25%, our sources said.

Given the payout factors involved, the attachment points of $5.1 billion for the Class B notes and $5.7 billion for the Class A’s are less meaningful.

But, we are told these notes are relatively remote in terms of risk, with risk modelling suggesting that even a repeat of the Great Miami hurricane not attaching the coverage, although a repeat of the 1906 San Francisco earthquake models out to cause a total loss of principal, we understand.

It’s good to see Everest return to the catastrophe bond market in 2024.

Last year, the firm’s CFO said that utilising Everest’s own third-party capital platform Mt. Logan Re is deemed preferable to sponsoring cat bonds.

So, the fact Everest has returned perhaps speaks to the state of the retrocession market and the fact the company believes higher-layer retro can be efficiently secured in the cat bond market at this time.

You can read all about this Kilimanjaro II Re Ltd. (Series 2024-1) catastrophe bond from Everest Re and every cat bond transaction ever issued in the extensive Artemis Deal Directory.