Mona Lisa Re Ltd. (Series 2021-1)

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Mona Lisa Re Ltd. (Series 2021-1) – At a glance:

  • Issuer: Mona Lisa Re Ltd.
  • Cedent / sponsor: Renaissance Re and DaVinci Re
  • Placement / structuring agent/s: Aon Securities and GC Securities are joint structuring agents & bookrunners. Willis Securities is co-manager.
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S., Puerto Rico, U.S. Virgin Islands, D.C. named storm and earthquakes, Canada earthquakes
  • Size: $250m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Jun 2021

Mona Lisa Re Ltd. (Series 2021-1) – Full details:

RenaissanceRe is seeking collateralized retrocessional reinsurance to cover itself and its DaVinci Re Ltd. vehicle, a third-party capital backed equity-based joint-venture reinsurer operated by RenRe, through its latest Mona Lisa Re catastrophe bond.

RenaissanceRe’s Bermuda domiciled special purpose insurer (SPI) Mona Lisa Re Ltd. will issue a single tranche of Series 2021-1 cat bond notes, that will be sold to investors and the proceeds used to collateralise underlying retro reinsurance agreements between the issuer and the beneficiaries of coverage.

The single tranche of notes, currently targeted at $150 million in size or greater, will provide RenaissanceRe, DaVinci Re and affiliates with a four year source of collateralized retro reinsurance protection against losses from U.S., Puerto Rico, U.S. Virgin Islands and D.C. named storms and earthquakes, as well as Canada earthquakes.

Coverage will be on an industry loss trigger and annual aggregate basis, we understand, with PCS loss index data used as the input and including personal, commercial and auto line losses.

We’re told the structure will feature a franchise deductible per-qualifying catastrophe loss event.

The $150 million of Series 2021-1 Class A notes to be issued by Mona Lisa Re will have an initial expected loss of 3.71% and are being offered to investors with coupon spread guidance of 7.5% to 8.25%.

Update 1:

RenaissanceRe is set to increase the size of its latest catastrophe bond by 67%, with the issuance now being marketed as $250 million in size.

At the same time, the reinsurer is set to benefit from keen pricing execution, with the marketed spread guidance revised down to 7% to 7.5%, which at the new mid-point would be a roughly 8% drop in pricing.

Update 2:

RenaissanceRe secured the upsized $250 million catastrophe bond with pricing fixed at the bottom of reduced guidance, at 7%, representing a roughly 11% drop in price from the initial guidance mid-point.

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