Swiss Re Insurance-Linked Fund Management

PCS - Emerging Risks, New Opportunities

Mona Lisa Re Ltd. (Series 2013-2)

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Mona Lisa Re Ltd. (Series 2013-2) – At a glance:

  • Issuer: Mona Lisa Re Ltd. (Series 2013-2)
  • Cedent / sponsor: Renaissance Re and DaVinci Re
  • Placement / structuring agent/s: Aon Benfield Securities and Goldman Sachs are structuring agents and bookrunners
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S. and Puerto Rico named storms. U.S. earthquakes
  • Size: $150m
  • Trigger type: Industry loss index
  • Ratings: S&P: 'BB-'
  • Date of issue: Jul 2013
  • news coverage: Articles discussing Mona Lisa Re Ltd. (Series 2013-2) from

Mona Lisa Re Ltd. (Series 2013-2) – Full details:

In this cat bond Mona Lisa Re Ltd., a Bermuda domiciled SPI, will issue a single tranche of Series 2013-2 notes with the aim of collateralizing a reinsurance agreement with two sponsors, RenaissanceRe and DaVinci Re. The tranche of Class A notes have a preliminary size of $125m we understand.

The two sponsoring entities will benefit from this cat bond by securing a fully-collateralized source of named storm (tropical storm and hurricane) coverage for the U.S. and Puerto Rico as well as earthquake coverage for the U.S.

Protection from the cat bond will be afforded by a PCS based industry loss trigger which will be state weighted and coverage is on an annual aggregate basis, we understand. The cat bond will provide the sponsors with a source of collateralized retrocessional reinsurance over a four-year risk period.

The underlying reinsurance features a franchise deductible of $50m, meaning that qualifying events need to create losses above this level to aggregate towards the attachment point.

The attachment point is said to be $875m while the exhaustion is said to be $1.125 billion. This equates to an attachment probability of 2.3%, an exhaustion probability of 1.52% and gives the deal an expected loss of 1.88%.

The deal is being marketed with an interest guide range of 7% to 7.6%.

The deal will cover personal and commercial property lines losses and also auto business losses. As an annual aggregate deal, events can qualify and losses will be aggregated during each annual period. If the total aggregated losses have not reached the attachment point by the end of the annual risk period then it will be reset, and losses start from zero again the next year.

We understand that investors were pleased to see a RenaissanceRe sponsored cat bond being marketed more widely and the deal received strong support from a broad range of investors.

The mix of investors the deal was placed with includes; dedicated ILS and catastrophe funds making up 61% of the cat bonds placement, hedge funds at 27%, larger institutional investors such as pension funds and endowments at 6%, other asset managers at 6% and reinsurers at 1%. The investors were, we understand largely U.S. based with 82% of those participating in the cat bond transaction based there. 16% of the investors were European and another 3% were based in Asia.

Update: This cat bond upsized by 20% to $150m before close and the pricing was fixed at the original mid-point of 7.3%.

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