RenaissanceRe, the Bermuda based reinsurance company and third-party capital manager, has returned to the catastrophe bond market in search of $250 million or more in multi-peril retrocessional from a Mona Lisa Re Ltd. (Series 2025-1) issuance, to cover risks in its own portfolio and that of its flagship partner capital vehicle DaVinci Re.
This will probably be the sixth Mona Lisa Re Ltd. catastrophe bond from RenaissanceRe (RenRe).
The reinsurance company is trying to expand its cat bond coverage across the identical range of perils to its previous Mona Lisa Re deals, with two tranches of Series 2025-1 cat bond notes set to be issued and sold to investors by Bermuda-based Mona Lisa Re Ltd., Artemis has learned.
The proceeds of the sale of the notes will probably be used to collateralize retrocessional reinsurance agreements between the issuer Mona Lisa Re Ltd. and the ceding firms, RenRe itself and its third-party investor capitalised, equity-backed but balance-sheet sidecar-like company DaVinci Re.
As we reported the opposite day, DaVinci recently received a rankings upgrade from Moody’s.
This Mona Lisa Re 2025-1 catastrophe bond will provide the 2 ceding firms with retrocession across each three and 4 12 months terms, with the coverage for each tranches incepting at January 1st 2025, but one running to the tip of 2027 and the opposite to the tip of 2028, we understand.
The coverage will provide retrocessional protection against losses attributable to U.S., Puerto Rico, U.S. Virgin Islands, and D.C. named storm and earthquake events, in addition to protection for Canadian earthquakes.
The cat bond will feature an industry loss index trigger, with PCS the reporting agency across personal, business and auto line losses. The 2 tranches of notes will provide annual aggregate retro reinsurance to RenRe and DaVinciRe across the three and 4 12 months terms, while there will probably be a franchise deductible of industry loss index points enforced per-event.
The Class A tranche of notes are targeted to offer $125 million of protection and can offer 4 years of retrocession. They are going to have an initial attachment probability of 4.16%, an initial expected lack of 3.66% and are being offered to cat bond investors with price guidance in a variety from 8.5% to 9.25%, sources said.
The Class B tranche are somewhat riskier and in addition goal $125 million of protection for the sponsors, but for the three-year term this time. They are going to have an initial attachment probability of 5.63%, an initial expected lack of 4.84% and are being offered to cat bond investors with price guidance in a variety from 11% to 11.75%.
For comparison, the Mona Lisa Re Ltd. (Series 2024-1) catastrophe bond that was sponsored in June this 12 months was less dangerous, but had an initial expected lack of 2.22% at the bottom case and priced to pay investors a variety of 9.75%, so a multiple-at-market of 4.39 times EL.
While 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 lack of 2.25% and priced to pay investors 12.25%, so a multiple-at-market of 5.44 times the EL.
Because of this, it appears these two latest Series 2025-1 tranches of cat bond notes from Mona Lisa Re could pay a far lower multiple of expected loss to investors, with around 2.7 times EL indicated on the mid-point of guidance for the Class A notes and a pair of.35 times EL indicated on the mid-point for the Class B notes.
With investor appetite for brand spanking new catastrophe bonds elevated at the moment and cat bond funds keen to source latest and longer-duration paper, it’s going to be interesting to look at where this latest cat bond from RenaissanceRe settles.
You possibly can read all about this Mona Lisa Re Ltd. (Series 2025-1) catastrophe bond from RenaissanceRe and each other cat bond ever issued in our extensive Artemis Deal Directory.