Bermuda-headquartered global reinsurer RenaissanceRe is back in the catastrophe bond market to add to its collateralized retrocession from ILS investors, with a new Mona Lisa Re Ltd. (Series 2021-1) transaction seeking $150 million or more of multi-peril protection.
RenaissanceRe (RenRe) returned to the 144A catastrophe bond market in early 2020, sponsoring its first issuance since 2013, an eventually $400 million Mona Lisa Re Ltd. (Series 2020-1) transaction.
At the time, we explained that this was a clear sign that retro market conditions were making cat bond coverage more attractive to sponsors.
Now, in 2021, after cat bond prices have softened year-on-year for many issuances, conditions may be even more attractive for sponsors, so it’s not surprising to see RenRe back again.
Like the 2020 cat bond, RenRe 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, we’re told.
RenRe’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 RenRe, 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%, sources explained.
It’s good to see to see RenaissanceRe back in the catastrophe bond market again, clearly reflecting the attractive execution conditions that sponsors are seeing in the market at this time.
While the retro market continued to be a little constrained for capacity around the mid-year renewals, with rates firming further, the catastrophe bond market continues to offer an attractive and well-priced alternative.
This is tempting more sponsors to the market at this time, as evidenced by the flurry of activity in recent weeks and could drive 2021 to more catastrophe bond issuance records if it continues through the rest of the year.
We’ve added this latest catastrophe bond transaction from RenaissanceRe to our comprehensive Deal Directory.
We’ll update you as and when any further information on this Mona Lisa Re Ltd. (Series 2021-1) cat bond comes to light.