Mona Lisa Re Ltd. (Series 2024-1)

Bermuda based reinsurance company RenaissanceRe has returned to the catastrophe bond market to sponsor a $100 million or larger Mona Lisa Re Ltd. (Series 2024-1) cat bond, to cover catastrophe risks in its own portfolio and that of its flagship partner capital vehicle DaVinci Re.

This will be the 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.

Update 1:

RenaissanceRe’s target for this new Mona Lisa Re 2024-1 catastrophe bond has been lifted to $125 million, while at the same time the price guidance has been lowered to a new range of 9.75% to 10.5%.

Update 2:

Benefiting from a stabilisation of conditions in the catastrophe bond market, RenRe has now lifted the size of its Mona Lisa Re cat bond for a second time, with now $150 million of retro protection sought.

At the same time, the Series 2024-1 Class A notes have seen their price fixed at 9.75%, so the bottom end of the reduced guidance range, indicating a roughly 11% drop from the mid-point of the initial price guidance range.