Mona Lisa Re Ltd. (Series 2026-1)

RenaissanceRe has returned to the catastrophe bond market to sponsor a $200 million or larger Mona Lisa Re Ltd. (Series 2026-1) cat bond, that is designed to source more capital markets backed retrocessional protection against catastrophe losses suffered by its own portfolio and that of its flagship partner capital vehicle DaVinci Re.

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

RenRe is seeking catastrophe retrocessional protection covering the same range of perils as its previous Mona Lisa Re cat bond deals.

We understand that Bermuda-based special purpose insurer (SPI) Mona Lisa Re Ltd. will offer two tranches of Series 2026-1 cat bond notes that will be issued and sold to investors.

The proceeds of the sale of the currently $200 million of Series 2026-1 notes will be used to collateralize retrocessional reinsurance agreements between the issuer Mona Lisa Re Ltd. and the ceding entities, which are RenaissanceRe itself and its third-party investor capitalised, equity-backed but balance-sheet sidecar-like company DaVinci Re.

RenRe is looking to extend out the coverage from its Mona Lisa Re catastrophe bonds with this latest issue, with one tranche of notes set to provide retrocession across a five year term, while the other will provide it fours years of coverage, we understand.

The cat bond notes will provide retrocessional reinsurance 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 as well.

Both of the Series 2026-1 tranches of notes Mona Lisa Re is offering will provide annual aggregate retro reinsurance on an industry-loss trigger basis to RenRe and DaVinciRe, while there will be a franchise deductible of industry loss index points enforced for a catastrophe event to qualify, we are told.

A currently $100 million Class A tranche of notes are targeted to provide five years of retrocession running to the end of 2030. They will have an initial attachment probability of 3.12%, an initial expected loss of 2.82% and are being offered to cat bond investors with price guidance in a range from 5.75% to 6.5%, sources said.

The Class B tranche are also currently $100 million in size, but riskier and so attach for a lower-level of aggregated industry losses, and their coverage will run across a four-year term to the end of 2029. They will have an initial attachment probability of 7.98%, an initial expected loss of 6.74% and are being offered to cat bond investors with price guidance in a range from 12.25% to 13%, according to the information we have.

Update 1:

We’re told that RenaissanceRe could as much as double the size of this new Mona Lisa Re Series 2026-1 catastrophe bond issuance.

The target is now for between $325 million and $400 million of catastrophe retro limit to be secured.

The Class A notes are now sized at between $175 million and $200 million in size, while their price guidance has been lowered to a revised range of 5.5% to 5.75%.

The Class B tranche are now offered at between $150 million and $200 million, while their price guidance has now also been lowered to a new range of 12% to 12.25%.

Update 2:

RenaissanceRe successfully doubled the size of this new Mona Lisa Re Series 2026-1 catastrophe bond to provide it the upsized target of $400 million of retrocession.

The Class A notes were priced to provide $200 million of retro over their five-year term and the spread was finalised at 5.5%.

The Class B notes were also priced to provide $200 million of retro over their four-year term, while their spread was finalised at 12%.