Matterhorn Re Ltd. (Series 2026-2) – Full details:
Swiss Re has returned to the catastrophe bond market for what will be the sixteenth takedown under its Bermuda-based Matterhorn Re catastrophe bond program.
It is the second issuance from the Matterhorn Re vehicle in 2026, after the company secured annual aggregate retro from a Matterhorn Re 2026-1 deal sponsored in February 2026.
Swiss Re’s strategic approach continues, with this new Matterhorn Re Series 2026-2 cat bond seeing the company targeting focused northeast US named storm retro with one tranche and US-wide cover with the other.
Both tranches of notes will be structured to provide per-occurrence retrocession, using a PCS weighted industry loss index trigger, we understand.
The goal is to secure $250 million of named storm retro for Swiss Re across the two tranches of notes that are being offered to investors, sources said.
Matterhorn Re Ltd. is offering a $150 million tranche of Series 2026-2 Class A notes that are designed to provide named storm retrocession across northeast US states only, over a two hurricane season term with maturity slated for December 2027.
The Class A notes would attach at an industry loss index level of $30 billion and exhaust their cover at $35 billion, giving them an initial attachment probability of 2.35%, an initial base expected loss of 2.19% and they are being offered to investors with price guidance for a spread of between 5.75% and 6.25%, we have learned.
Matterhorn Re Ltd. is also offering a $100 million tranche of Series 2026-2 Class B notes that are designed to provide cover for losses from US named storms, including Puerto Rico, D.C and the US Virgin Islands, over a single hurricane season term with maturity slated for December 2026.
The Class B notes would attach at an industry loss index level of $87.6 billion and exhaust their cover at $122.6 billion, giving them an initial attachment probability of 5.09%, an initial base expected loss of 3.99% and they are being offered to investors as discount notes with price guidance of 92.75% to 93.5% of par, it is understood.
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