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Mona Lisa Re Ltd. (Series 2023-1)

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Mona Lisa Re Ltd. (Series 2023-1) – 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
  • 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: $185m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Jan 2023

Mona Lisa Re Ltd. (Series 2023-1) – Full details:

RenaissanceRe has returned to the catastrophe bond market to sponsor a $150 million or greater Mona Lisa Re Ltd. (Series 2023-1) cat bond, to cover catastrophe risks in its own portfolio and that of its flagship partner capital vehicle DaVinci Re.

This will be the fourth Mona Lisa Re Ltd. catastrophe bond from RenaissanceRe (RenRe) and its first since mid-2021.

We’re told this Mona Lisa Re 2023-1 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.

The cat bond will feature an industry loss index trigger, with PCS the reporting agency across personal, commercial and auto line losses, and one tranche of notes will provide per-occurrence protection, with the other providing annual aggregate reinsurance, we understand.

Bermuda-based Mona Lisa Re Ltd. will issue a $75 million tranche of Class A notes that will provide RenRe and DaVinci Re with annual aggregate reinsurance protection and come with an initial attachment probability of 2.76%, an initial base expected loss of 2.25% and are being offered to investors with price guidance in a range from 11.5% to 12.5%.

Qualifying events for the aggregate tranche of coverage must breach a franchise deductible level on the industry loss index, we’re told.

A similarly $75 million Class B tranche of notes will provide the cedents with per-occurrence reinsurance protection and come with an initial attachment probability of 3.63%, an initial base expected loss of 3.2% and are being offered to investors with price guidance in a range from 12% to 13%.

Update 1:

RenRe’s target for this new Mona Lisa Re 2023-1 catastrophe bond has been lifted to $200 million.

The target size for each of the two tranches of notes on offer is now from $75 million to $100 million each, we understand.

We’re now told that the price guidance for the Class A aggregate notes has been adjusted to between 12% and 12.5%, so narrowing the range towards the upper-half, while the Class B tranche of per-occurrence notes price guidance has also been adjusted, again towards the upper-half with a new range of 12.5% to 13% marketed.

Update 2:

At pricing, RenaissanceRe secured $185 million of retro reinsurance protection from its new Mona Lisa Re 2023-1 catastrophe bond.

The Class A annual aggregate notes grew to $85 million in size and priced to pay investors a 12.25% coupon, while the Class B per-occurrence notes grew to $100 million and priced to pay investors a 12.5% coupon, making this a rare cat bond (in recent months) that has priced within its guidance.

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