Matterhorn Re Ltd. (Series 2025-2)

Global reinsurance company Swiss Re is back in the catastrophe bond market for what will be the thirteenth takedown under its Matterhorn Re catastrophe bond program.

This is the second catastrophe bond to come from the Matterhorn Re vehicle in 2025 so far.

With this new cat bond, Matterhorn Re Ltd. is offering a single tranche of Series 2025-2 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 understands.

This retrocession agreement will provide Swiss Re with a currently targeted $65 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 2025-2 catastrophe bond notes will provide the reinsurance company with protection across three annual risk periods from the date of issuance, we are told, running to maturity in July 2028.

The currently $65 million tranche of Series 2025-2 Class A notes that Matterhorn Re is offering are set to provide Swiss Re with aggregate retrocessional coverage for US, DC and Canada earthquakes, and named storm losses.

We’re told the coverage would attach at an aggregate loss total of $75 billion and cover a share up to $113.5 billion, while a $10 billion franchise deductible will be enforced for both perils.

The Class A notes will come with an initial attachment point of 8.84%, an initial expected loss of 6.57% and are being offered to investors with price guidance in a range from 12.25% to 13.25%, we understand.

Update 1:

We’re told that Swiss Re’s target for this Matterhorn Re 2025-2 catastrophe bond issuance remains to secure $65 million of retrocession from the capital markets at this time.

But the price guidance has now been lowered to the bottom of the initially offered range of spreads, at 12.25%.