Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Matterhorn Re Ltd. (Series 2022-1)

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Matterhorn Re Ltd. (Series 2022-1) – 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: $325m
  • Trigger type: Industry loss index
  • Ratings: NR
  • Date of issue: Mar 2022

Matterhorn Re Ltd. (Series 2022-1) – Full details:

This is the first catastrophe bond to be sponsored by global reinsurance giant Swiss Re in 2022.

It is also Swiss Re’s first Matterhorn Re Ltd. catastrophe bond issuance of 2022, but its eighth issuance under the Matterhorn Re cat bond program since it was launched in 2019 and the second in quick succession, following a $150m Matterhorn Re 2021-1 that the reinsurer sponsored in December 2021.

This is the first annual aggregate Matterhorn Re cat bond from Swiss Re.

We understand that Matterhorn Re Ltd., Swiss Re’s Bermuda based special purpose insurer, is seeking to issue $200 million or more of notes across two tranches of Series 2022-1 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.

With the protection from both tranches structured using an industry loss index trigger and on an annual aggregate basis, Swiss Re is aiming to secure at least the $200 million of collateralized retrocessional reinsurance to protect it against certain U.S. named storm and U.S. and Canadian earthquake losses with this Matterhorn Re 2022-1 cat bond deal, we’re told.

The two tranches of notes will provide Swiss Re with collateralized retrocession across a term that will run until late March 2025, we understand, so the new cat bond will provide three years of annual aggregate protection.

Both tranches of notes are currently sized at $100 million each, we understand.

The Class A tranche of notes is the less risky of the two, having an initial attachment probability of 2.7%, an expected loss of 2.11% and being offered to cat bond investors with coupon pricing guidance in a range from 5.25% to 5.75%.

The Class B tranche, which is the riskier layer of notes, comes with an initial attachment probability of 5.25%, an expected loss of 3.79% and being offered to cat bond investors with coupon pricing guidance in a range from 7.75% to 8.5%.

Update 1:

Swiss Re successfully upsized its first catastrophe bond of 2022 by 63%, with this issuance reaching $325 million in size.

Both tranches of notes upsized and priced at the bottom-ends of guidance.

The Class A notes upsized to $175 million and priced with a coupon of 5.25%.

The Class B notes upsized to $150 million and priced with a coupon of 7.75%.

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