Mona Lisa Re Ltd. (Series 2025-1)

RenaissanceRe is back in the catastrophe bond market to sponsor a $250 million or larger Mona Lisa Re Ltd. (Series 2025-1) cat bond, to provide retrocessional protection for catastrophe risks from its own portfolio and that of its flagship partner capital vehicle DaVinci Re.

This will be the sixth Mona Lisa Re Ltd. catastrophe bond from RenaissanceRe (RenRe).

The reinsurance company is looking to expand its cat bond coverage across the same 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 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 capitalised, equity-backed but balance-sheet sidecar-like company DaVinci Re.

This Mona Lisa Re 2025-1 catastrophe bond will provide the two ceding companies with retrocession across both three and four year terms, with the coverage for both tranches incepting at January 1st 2025, but one running to the end of 2027 and the other to the end of 2028, we understand.

The coverage will provide retrocessional protection against losses caused by U.S., Puerto Rico, U.S. Virgin Islands, and D.C. named storm and earthquake events, 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. The two tranches of notes will provide annual aggregate retro reinsurance to RenRe and DaVinciRe across the three and four year terms, while there will be a franchise deductible of industry loss index points enforced per-event.

The Class A tranche of notes are targeted to provide $125 million of protection and will offer four years of retrocession. They will have an initial attachment probability of 4.16%, an initial expected loss of 3.66% and are being offered to cat bond investors with price guidance in a range from 8.5% to 9.25%, sources said.

The Class B tranche are a little riskier and also target $125 million of protection for the sponsors, but for the three-year term this time. They will have an initial attachment probability of 5.63%, an initial expected loss of 4.84% and are being offered to cat bond investors with price guidance in a range from 11% to 11.75%.

Update 1:

We’re told by sources that RenaissanceRe’s target size for this Mona Lisa Re 2025-1 catastrophe bond issuance has increased, with now $300 million of retrocession being sought by the reinsurer.

The Class A notes are now targeted as $150 million in size and their price guidance has been updated at a lower level of 8% to 8.5%.

The Class B notes are also now targeted at $150 million in size, while their price guidance has also fallen to a new range of 10.5% to 11%.

Update 2:

The target size for RenaissanceRe’s latest Mona Lisa Re 2025-1 catastrophe bond has been increased for a second time, with $350 million of retrocessional reinsurance now targeted for the company.

The Class A notes are now targeted as $175 million in size and their price guidance has been updated and fixed at 8%, the bottom of the reduced range.

The Class B notes are also now targeted at $175 million in size, while their price guidance has also now been fixed at the bottom of their reduced guidance range, at 10.5%.

Update 3:

RenaissanceRe secured the upsized target of $350 million of retrocessional reinsurance with its latest Mona Lisa Re 2025-1 catastrophe bond sponsorship.

The Class A notes were finalised at the upsized $175 million while they priced to pay investors a spread of 8%.

The Class B notes were also upsized to $175 million while they priced to pay cat bond investors a spread of 10.5%.