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Report: RenaissanceRe sponsoring $250M cat bond

RenaissanceRe Holdings Ltd. is looking for $250 million or more of retrocession through a Mona Lisa Re Ltd. (Series 2020-1) transaction, its first catastrophe bond since 2013, Artemis reported.

RenRe is seeking coverage for itself and its DaVinci Re Ltd. vehicle for U.S., Puerto Rico, U.S. Virgin Islands and D.C. named storms and earthquakes, as well as Canada earthquakes. Specifically, the catastrophe bond will cover losses from personal, commercial and auto lines of business underwritten by the ceding reinsurers.

Two tranches of notes both aiming for $125 million of protection are expected to be issued. The class A notes would give RenRe annual aggregate protection and also feature a franchise deductible, meaning that loss events must be bigger than a certain size, according to the report.

The initial expected loss of the securities is reportedly 2.52% at the base case. The notes are being marketed with price guidance of between 7.5% and 8.25%.

RenRe would get per-occurrence protection from the class B notes, which have an initial expected loss of 3.46% at the base case, the report stated. The securities are being offered with coupon pricing guidance between 8% and 8.75%.

Aon Securities and GC Securities are serving as joint structuring agents and book runners for the transaction, while Willis Securities is acting as co-manager.