Matterhorn Re Ltd. (Series 2026-3)

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

This will be the firm’s third catastrophe bond issuance via Matterhorn Re of 2026, having secured $150 million of annual aggregate retro reinsurance from a Matterhorn Re 2026-1 cat bond in February and then $250 million of US named storm per-occurrence based retrocessional protection through its Matterhorn Re 2026-2 catastrophe bond transaction in May.

This new Matterhorn Re Series 2026-3 catastrophe bond sees the reinsurance company looking to secure broad-based North American peak peril retrocession, with five tranches of notes on offer that will provide a range of industry-loss index based coverages across aggregate and occurrence for earthquake and named storm perils in the US and Canada, with different terms for some tranches.

The initial target is to secure $275 million of retro for Swiss Re across the five tranches of notes that are being offered to investors via Matterhorn Re Ltd in this Series 2026-3 issuance, sources told us.

A $50 million tranche of Series 2026-3 Class A notes are designed to provide Swiss Re with annual aggregate weighted industry-loss triggered California earthquake retrocession, over a four year term with maturity slated for July 2030.

The Class A notes have a franchise deductible of $5 billion and would attach at an industry loss index level of $30 billion and exhaust their cover at $60 billion, giving them an initial attachment probability of 1.57%, an initial expected loss of 1.08% and they are being offered to investors with price guidance for a spread of between 2.7% and 3.2%, we have learned.

A $75 million tranche of Series 2026-3 Class B notes are also designed to provide Swiss Re with annual aggregate weighted industry-loss triggered California earthquake retrocession, but over a three year term with maturity slated for July 2029.

The Class B notes also have a franchise deductible of $5 billion and would attach at an industry loss index level of $20 billion and exhaust their cover at $25 billion, giving them an initial attachment probability of 2.25%, an initial expected loss of 2.03% and they are being offered to investors with price guidance for a spread of between 3.75% and 4.25%.

A $50 million tranche of Series 2026-3 Class C notes are designed to provide Swiss Re with annual aggregate weighted industry-loss triggered earthquake retrocession but this time across all 50 US states, D.C. and Canada, over a three year term with maturity slated for July 2029.

The Class C notes also have a franchise deductible of $5 billion and would attach at an industry loss index level of $25 billion and exhaust their cover at $70 billion, giving them an initial attachment probability of 3.19%, an initial expected loss of 1.79% and they are being offered to investors with price guidance for a spread of between 3.5% and 4%, we understand.

A $50 million tranche of Series 2026-3 Class D notes are designed to provide Swiss Re with annual aggregate weighted industry-loss triggered earthquake and named storm retrocession across all 50 US states (but not Hawaii), D.C. and Canada, over a roughly three year term with maturity slated for the end of June 2029.

The Class D notes have a franchise deductible of $10 billion and would attach at an industry loss index level of $100 billion and exhaust their cover at $125 billion, giving them an initial attachment probability of 4.07%, an initial base expected loss of 3.37% and they are being offered to investors with price guidance for a spread of between 6.5% and 7%.

The final $50 million tranche of Series 2026-3 Class E notes are designed to provide Swiss Re with per-occurrence industry-loss triggered named storm retrocession covering only northeast US states, over a term running just for this hurricane season with maturity slated for early December 2026.

The Class E notes would attach their coverage 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% and an initial base expected loss of 2.19%. These are structured as discount notes and they are being offered to investors with price guidance of 95.25% to 95.75% of par.