Matterhorn Re Ltd. (Series 2023-1)

This is the first cyber catastrophe bond to feature an industry loss trigger and it is also the first to have reinsurance firm Swiss Re as the ceding company.

Using its Bermuda based Matterhorn Re Ltd. vehicle, Swiss Re is targeting $50 million of industry-loss based retro risk transfer with this first cyber cat bond from the company.

Matterhorn Re will issue a $50 million or larger tranche of Series 2023-1 notes, which we’re told are denoted as Class CYB-A notes.

Those notes will be sold to investors and the proceeds used to fund a retrocession agreement between the issuing vehicle and Swiss Re. The retrocession will run from the date of completion of this issuance, to the end of 2026 we’re told, so a two year or slightly over run.

The notes will be exposed to cyber industry insured losses from the United States, on a per-occurrence basis, as reported by PERILS AG, we understand. The industry-loss trigger uses data from CyberAcuView, with PERILS acting as the third-party reporting agency

We’re also told that the notes would attach at a US cyber industry loss of $9 billion or greater, with coverage exhausting at $11.5 billion.

The currently $50 million of Matterhorn Re 2023-1 Class CYB-A cyber cat bond notes come with an initial attachment probability of 2.228%, an initial expected loss of 1.721% and are being offered to investors with price guidance in a range from 10% to 11%, we understand.

Update 1:

We’re told that while the size target for this first industry-loss triggered cyber catastrophe bond remains at $50 million, the price guidance has been raised to 12%, so above the initially marketed range.

Update 2:

At pricing there was no change and the Matterhorn Re 2023-1 Class CYB-A cyber cat bond notes issuance was $50 million in size, while the spread was finalised at the raised level of 12%.