Matterhorn Re Ltd. (Series 2025-1)

Global reinsurance firm Swiss Re has returned to the cat bond market for what will be its twelfth takedown under the Matterhorn Re catastrophe bond program.

It’s the first natural catastrophe bond under the Matterhorn Re program since 2022, Swiss Re’s last deal having been a cyber cat bond in 2023.

For this Series 2025-1 catastrophe bond, Swiss Re is seeking $150 million of retrocessional reinsurance protection for North American earthquake and named storm risks, we understand.

For this latest issuance, Matterhorn Re Ltd. will look to issue two tranches of Series 2025-1 cat bond notes that will be sold to investors and the proceeds used to collateralize a retrocessional reinsurance agreement between the special purpose vehicle and Swiss Re, Artemis has learned.

These retrocession agreements are designed to provide Swiss Re with $150 million or more in protection against losses from North American earthquakes and named storms, each on an annual aggregate and weighted industry loss index trigger basis.

The Matterhorn Re 2025-1 cat bond notes will provide Swiss Re with cover across three annual risk periods from the date of issuance, we are told.

A $75 million Class A tranche of notes will provide Swiss Re with aggregate retro protection for US, DC and Canada earthquakes, and named storm losses affecting northeast US states and Canada. There is a $5bn franchise deductible in place and attachment is at $29bn of aggregate industry losses, with exhaustion at $48bn.

The Class A notes will come with an initial attachment point of 4.99%, an initial expected loss of 3.87% and are being offered to investors with price guidance in a range from 7.5% to 8.25%, we understand.

A $75 million Class B tranche of notes provide coverage across a slightly different area, being US, DC and Canada earthquakes, but then named storm losses affecting all 50 states of the US, DC and Canada. There is a $10bn franchise deductible in place and attachment is at $80bn of aggregate industry losses, with exhaustion at $120bn.

The Class B notes have an initial attachment point of 8.17%, an initial expected loss of 6% and are being offered to investors with price guidance in a range from 12.75% to 13.75%, sources said.

Update 1:

We’re told that the target size for this Matterhorn Re 2025-1 catastrophe bond issuance has been raised, while at the same time the price guidance has been lowered.

Across both tranches, Swiss Re is now seeking from $175 million to as much as $225 million of retrocessional reinsurance from this cat bond.

The Class A notes are now between $75 million and $100 million in size, while their price guidance has fallen to a range of 7% to 7.5%.

The Class B notes are now between $100 million and $125 million in size, while their price guidance has fallen to a range of 12.25% to 12.75%.

Update 2:

Swiss Re settled for $210 million of retrocessional reinsurance protection from this new Matterhorn Re Ltd. 2025-1 catastrophe bond, with both tranches of notes being priced at the low-end of reduced guidance for the reinsurer.

The Class A notes priced to provide $87.5 million of protection, at a risk interest spread of 7%.

The Class B notes priced to provide $122.5 million of protection, at a risk interest spread of 12.25%.