Swiss Re Insurance-Linked Fund Management

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Matterhorn Re Ltd. (Series 2021-1)

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Matterhorn Re Ltd. (Series 2021-1) – At a glance:

  • Issuer: Matterhorn Re Ltd.
  • Cedent / sponsor: Swiss Re
  • Placement / structuring agent/s: Swiss Re Capital Markets is sole structuring agent and bookrunner
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S. named storm, U.S. and Canada earthquake
  • Size: $150m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Dec 2021

Matterhorn Re Ltd. (Series 2021-1) – Full details:

This is global reinsurance company Swiss Re’s first Matterhorn Re Ltd. catastrophe bond issuance of 2021, but its seventh issuance under the Matterhorn Re cat bond program since it was launched in 2019.

For this latest and seventh Matterhorn Re cat bond, Swiss Re is looking for a multi-year source of collateralized multi-peril retrocessional reinsurance protection, to protect it against losses from these perils on an industry loss basis.

We’re told that Matterhorn Re Ltd., a Bermuda based special purpose insurer, will look to issue a single $150 million or larger tranche of Series 2021-1 Class A cat bond notes, which will be sold to investors and the proceeds used to collateralise retrocessional reinsurance agreements between the SPI and sponsor Swiss Re.

In total, Swiss Re is seeking at least $150 million of collateralized retrocessional reinsurance against certain U.S. named storm and U.S. and Canadian earthquake losses with this Matterhorn Re 2021-1 cat bond deal. We’re told the U.S. named storm protection runs all the way from Texas around to the Northeast

The protection from the 2021-1 cat bond notes issued by Matterhorn Re will run across a roughly four year period, to early December 2025, so covers four U.S. hurricane seasons. The protection will be triggered on a per-occurrence basis, using weighted industry loss index triggers from PCS, we understand.

The $150 million of Series 2021-1 Class A notes come with an initial attachment probability of 4.29%, a combined expected loss of 3.32% and are being offered to cat bond investors with pricing in a range from 5.25% to 5.75%, sources said.

Named storm risk seems to be the larger peril contributor to the overall expected loss of these cat bond notes, we’re told.

Update 1:

Swiss Re’s target size for this catastrophe bond issuance has not increased, remaining at $150 million we’re told.

However, the pricing has moved to the upper-end of guidance, with the notes now offering a 5.75% coupon to investors.

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