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Everest Re bulks up new Kilimanjaro cat bond

Everest Re is set to close its largest cat bond issuance to date through the $625mn Kilimanjaro Re 2015 transaction, sister publication Trading Risk reported last week.

The deal will provide industry loss-linked cover on a per-occurrence basis for earthquake and named storm events across the US, Puerto Rico and Canada.

Everest Re more than doubled the target volume of the deal, which helped to maintain pricing in the middle of the initial forecast range.

Kilimanjaro Re will be among the higher risk-return cat bonds issued in 2015.

The higher-risk class D notes are expected to settle with an insurance-linked spread of 925 basis points (bps), or a 1.76x multiple of the 5.25 percent expected loss on this layer.

The lower-risk class E notes should offer investors a 675 bps insurance-linked spread, or a 2.25x multiple of the 3 percent expected loss.

Everest Re raised $950mn last year through two Kilimanjaro Re deals, one covering earthquakes and another split into aggregate and southern US wind exposure.

Meanwhile, insurance-linked securities stalwart USAA has launched its second Residential Re cat bond offering this year, targeting $100mn in per-occurrence indemnity cover for multiple perils across the US, Trading Risk understands.

The ResRe 2015-2 bond has a 3.65 percent sensitivity case expected loss, with initial pricing guidance set at 700-775 bps.

The insurer has $150mn of Residential Re notes rolling off risk at the end of this year from a 2011 issuance.

The Residential Re 2015-1 deal, issued in May, had two classes with a riskier layer than the latest deal.

The $100mn class 10 tranche had a 7.28 percent expected loss using sensitivity case modelling and priced at 1,100 bps.

The $50mn class 11 ResRe notes were the lower-risk of the two tranches with a 2.5 percent expected loss, with pricing on this layer settling at 600 bps.

If ResRe 2015-2 closes on target then total cat bond issuance for the year to date will amount to $6.33bn.

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