Matterhorn Re Ltd. (Series 2025-3)

Global reinsurance company Swiss Re has returned to the catastrophe bond market for what will be the fourteenth takedown under its Bermuda-based Matterhorn Re catastrophe bond program.

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

With this latest cat bond, Matterhorn Re Ltd. is offering two tranches of Series 2025-3 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 latest cat bond sees Matterhorn Re Ltd. offering two tranches of Series 2025-3 cat bond notes that will be sold to investors and the proceeds used to collateralize retrocessional reinsurance agreements between the special purpose vehicle and Swiss Re, Artemis understands.

The retrocession agreements will provide Swiss Re with a currently targeted $75 million or more in retro protection against losses from North American earthquakes, on an annual aggregate and weighted PCS industry loss index trigger basis, we are told by sources.

Specifically, the additional earthquake coverage Swiss Re is seeking is for the United States (excluding Hawaii), DC and Canada.

This Matterhorn Re 2025-3 catastrophe bond issuance will provide the reinsurance company with aggregate retrocessional earthquake loss protection across three annual risk periods from the date of issuance, we are told, running to maturity in September 2028.

A currently $50 million tranche of Series 2025-3 Class A notes that Matterhorn Re is offering are set to provide Swiss Re with coverage that would attach at an aggregate loss index total of $45 billion and cover a share up to exhaustion at $110 billion, while a $5 billion franchise deductible will be enforced for loss events to qualify, we understand.

The Class A notes will come with an initial attachment probability of 1.71%, an initial expected loss of 0.97% and are being offered to investors with price guidance in a range from 2.75% to 3.75%

A currently $25 million tranche of Series 2025-3 Class B notes will provide Swiss Re with coverage that would attach at an aggregate loss index total of $21 billion and cover a share up to $45 billion, so effectively sitting beneath the Class A layer, while these have the same $5 billion franchise deductible.

The Class B notes will come with an initial attachment probability of 2.88%, an initial expected loss of 2% and are being offered to investors with price guidance in a range from 4% to 4.5%, we are told.

Update 1:

We understand the Class A notes remain at $50 million in size, but their price guidance has been updated and lowered to 2.5%  to 2.75%.

The Class B notes have also not changed in size, remaining $25 million, but their price guidance has also been lowered to a range of 3.75% to 4%.

Update 2:

We’re now told that Swiss Re looks likely to upsize this Matterhorn Re 2025-3 catastrophe bond issuance by one-third to $100 million.

The Class A notes are now $60 million in size, while their spread guidance has fallen to the bottom-end of the revised range, at 2.5%.

The Class B notes are now $40 million in size, while their spread guidance has also dropped to the low-end of the revised range at 3.75%.

Update 3:

At final pricing Swiss Re secured its new Matterhorn Re 2025-3 catastrophe bond at the one-third upsized $100 million and with pricing at the bottom end of the revised ranges.

The Class A notes are $60 million in size and will pay investors a spread of 2.5%.

The Class B notes are $40 million in size and will pay investors a spread of 3.75%.