Matterhorn Re Ltd. (Argon 2022-1)

This is the first catastrophe bond issued by global reinsurance firm Swiss Re’s Bermuda-domiciled special purpose insurer (SPI) Matterhorn Re Ltd. under a new segregated account named Argon.

Under the Matterhorn Re Ltd. special purpose insurer (SPI) in Bermuda, Swiss Re has also established a Principal At-Risk Variable Rate Notes Program for a segregated account of the vehicle named “Argon”.

The first issuance from that segregated account has now been completed, with a $150 million tranche of Class A Principal At-Risk Variable Rate Notes issued by Matterhorn Re on behalf of the Argon account.

The $150 million of Class A Argon notes, which have a due date of January 25 2027 and so are particularly long-dated for a catastrophe bond, covering roughly five full years and were privately placed with institutional ILS investors.

This privately placed ILS, or catastrophe bond, was issued as part of Swiss Re’s $1.15 billion capital markets stop-loss arrangement that was announced in April 2022.

The overall arrangement saw Swiss Re securing a $1 billion loan from J.P. Morgan alongside the issuance of this $150 million tranche of ILS notes. Both the loan and the notes were issued using the Argon segregated account of Matterhorn Re Ltd.

The $150 million of Class A Argon notes, which have a due date of January 25 2027 and so are particularly long-dated for a catastrophe bond, were privately placed with the group of institutional investors.

Swiss Re said the $1.15 billion stop-loss cover it benefits from with this transaction runs across the 2022 to 2026 underwriting years, which explains the final due date of the Argon ILS notes being in January 2027.

The reinsurer told Artemis that the underlying transaction is structured as a multi-year whole account stop-loss of its group wide underwriting results, with a trigger based on the economic result of each individual financial year, so the cat bond component is akin to an indemnity trigger.

Given the annualised coverage, we’d liken this to an aggregate transaction, as underwriting losses will accumulate over the course of each year towards the pre-defined financial trigger.