RenRe revealed as Fibonacci Re sponsor
RenaissanceRe has confirmed it set up the $140mn Fibonacci Re vehicle, which was established in Bermuda in late December, to provide it with more property catastrophe capacity.
Fibonacci's capital was raised from third-party investors and the company's own $169mn Medici cat bond fund.
The carrier already runs a number of other third-party capital vehicles, but the existing facilities are all market facing - in other words, they write business in their own names. In contrast, Fibonacci's capacity will stand behind RenRe.
RenRe typically invests significant capital in its own reinsurance sidecars, but using its cat bond portfolio as collateral is a new step for the firm, although the Medici portfolio also includes third-party capital.
It is understood Fibonacci's risk profile was seen as a good fit for the Medici collateral.
As of its last reporting date, RenRe's other third-party business included $189mn managed through the collateralised reinsurance and retro Upsilon funds.
It also cedes business to the rated sidecars DaVinci Re and Top Layer Re, both of which also provide property cat capacity, although the latter focuses on - as its name suggests - remote or top layer reinsurance risk.
Third-party assets in RenRe's Medici cat bond fund surpassed the capital base of its Upsilon funds in the third quarter of 2016.
The Medici cat bond fund's third-party assets reached $180.8mn by the end of Q3 after it received a net $6.5mn of new subscriptions in the period.
This was up from $115.0mn at the end of 2015 and $169.0mn at mid-year 2016.
RenRe held a 36.4 percent economic ownership of the fund, worth around $103mn, down from 46.1 percent at the end of last year.
Third-party investors in the Medici fund earned $4.9mn of net income in the quarter, up from $3.4mn in Q3 2015.
The one-year Fibonacci Re debt was listed on the Bermuda Stock Exchange (BSX), which would allow RenRe to attract investors with a preference for tradeable securities.
The vehicle was one of three new sidecars set up in 2016, alongside Liberty Mutual's $160mn Limestone Re and the $200mn Leo Re. The sponsor of the latter is still unknown.
The Leo Re securities were listed on the BSX shortly before Christmas. A number of reinsurers list sidecar debt notes on the BSX to suit investors with a preference for tradeable securities.
Another new sidecar for 2017 is the $160mn Limestone Re set up by Liberty Mutual.
Only $85mn of Limestone Re's capital was listed on the BSX, however.
The new vehicle will support Liberty Mutual's US property catastrophe, homeowners' and London market specialty insurance portfolios.