RenRe returns with $100m Mona Lisa Re cat bond target for itself and DaVinci

RenaissanceRe, the Bermuda based reinsurance company and third-party capital manager, is back in the catastrophe bond market seeking $100 million or more in retrocessional protection from a Mona Lisa Re Ltd. (Series 2024-1) deal, for risks in its own portfolio and that of its flagship partner capital vehicle DaVinci Re.

This will be the fifth Mona Lisa Re Ltd. catastrophe bond from RenaissanceRe (RenRe).

The reinsurance company is seeking coverage across a similar range of perils to its previous cat bonds, with a single tranche of Series 2024-1 cat bond notes set to be issued and sold to investors by Mona Lisa Re Ltd., Artemis has learned.

The proceeds of the sale of the notes will be used to collateralize retrocessional reinsurance agreements between the issuer Mona Lisa Re Ltd. and the ceding companies, RenRe itself and its third-party investor equity-backed but balance-sheet sidecar-like vehicle DaVinci Re.

This Mona Lisa Re 2024-1 catastrophe bond will provide the ceding companies with a three-year source of U.S., Puerto Rico, U.S. Virgin Islands, and D.C. named storm and earthquake protection, as well as protection for Canadian earthquakes, we are told.

The cat bond will feature an industry loss index trigger, with PCS the reporting agency across personal, commercial and auto line losses, and the single tranche of notes will provide annual aggregate retro reinsurance to RenRe and DaVinciRe across the three-year term, we understand.

Bermuda-based Mona Lisa Re Ltd. is aiming to issue a $100 million tranche of Series 2024-1 Class A catastrophe bond notes that will provide RenRe and DaVinci Re with annual aggregate reinsurance protection.

The notes come with an initial attachment probability of 2.6%, an initial base expected loss of 2.22% and are being offered to investors with price guidance in a range from 10.5% to 11.5%.

Qualifying events for the aggregate coverage must breach a franchise deductible level on the industry loss index, we understand.

For comparison, the Mona Lisa Re Ltd. (Series 2023-1) catastrophe bond featured a Class A tranche of notes that provided aggregate coverage and had an initial expected loss of 2.25% and priced to pay investors 12.25%.

So, given how market dynamics are, in terms of pricing for industry-loss trigger cat bonds, and the fact this is also annual aggregate in nature, it is hard to see this new issuance from Mona Lisa Re not pricing towards the upper-end of its guidance, or even above, based on where last year’s notes settled

But, it’s good to see RenaissanceRe returning to catastrophe bonds and continuing to demonstrate its ability to tap reinsurance capital in all its forms and from all sources.

You can read all about this Mona Lisa Re Ltd. (Series 2024-1) catastrophe bond from RenaissanceRe and every other cat bond ever issued in our extensive Artemis Deal Directory.