EXHIBIT 23.6
 
                                   CONSENT OF
              DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
 
     We hereby consent to (i) the inclusion of our opinion letter, dated  August
22,  1996, to the Special  Committee of the Board of  Directors and the Board of
Directors of Transnational Re  Corporation ('Transnational') as  Annex C to  the
Joint  Proxy  Statement/Prospectus  which  forms  a  part  of  the  Registration
Statement on Form  S-4 of  PXRE Corporation  ('PXRE') relating  to the  proposed
merger  of Transnational with and into PXRE  and (ii) all references made to our
firm and such opinion in such  Joint Proxy Statement/Prospectus. In giving  such
consent,  we do  not admit  that we  come within  the category  of persons whose
consent is required  under, and  we do  not admit and  we disclaim  that we  are
'experts' for purposes of, the Securities Act of 1933, as amended, and the rules
and regulations promulgated thereunder.
 
                                          DONALDSON, LUFKIN & JENRETTE
                                            SECURITIES CORPORATION
 
                                          By:      /s/ Jonathan D. Kelly
                                             ...................................
 
New York, New York
October 30, 1996