Swiss Re aims to upsize Matterhorn Re 2025-3 quake cat bond to $100m, at low-end pricing

We are told that global reinsurance company Swiss Re is now aiming to upsize its new Matterhorn Re Ltd. (Series 2025-3)  North America earthquake catastrophe bond by one-third to $100 million, while pricing has declined to the low-end of the revised ranges.

Swiss Re came back to the cat bond market with what will be its fourteenth takedown under the Bermuda-based Matterhorn Re catastrophe bond program and its third this year in late August.

As we reported in a first update on this new catastrophe bond from Swiss Re, the target size remained at its initial $75 million, but the spread guidance was lowered for both of the tranches of notes.

Now, we’re told that a strong response to the deal from investors has driven Swiss Re to seek more retrocessional limit from this cat bond, with the target size increased by one-third to $100 million.

Details of every Matterhorn Re cat bond and every other cat bond issuance sponsored by Swiss Re can be found in our Deal Directory.

Matterhorn Re Ltd. is still offering the two tranches of Series 2025-3 cat bond notes from this issuance, but it is now on-track to secure Swiss Re $100 million of retrocessional protection against losses from North American earthquakes.

That retro coverage will be on an annual aggregate and weighted PCS industry loss index trigger basis, across the United States (excluding Hawaii), DC and Canada over a three year term.

The originally $50 million tranche of  Series 2025-3 Class A notes that Matterhorn Re is offering are now sized at $60 million, sources said.

The Class A notes come with an initial expected loss of 0.97% and were first offered to investors with price guidance in a range from 2.75% to 3.75%, which was lowered to 2.5% to 2.75% at the first update. We’re now told the pricing has been fixed at the low-end of 2.5%.

The Class B notes were originally $25 million in size, but this has now been raised to $40 million, we are told.

The Class B notes are riskier and have an initial expected loss of 2%. There were initially offered to investors with price guidance in a range from 4% to 4.5%, but also fell to an updated range of 3.75% to 4%. Now, we’re told the pricing has been fixed at the low-end again, for a spread of 3.75%.

As a result, reinsurance giant Swiss Re looks set to secure an increase in retro of one-third to $100 million of quake protection from its latest cat bond deal.

At the same time, the pricing has dropped further and now looks likely to be finalised at levels well-below the original mid-points of the guidance ranges.

You can read all about this new catastrophe bond from Swiss Re, the Matterhorn Re Ltd. (Series 2025-3)  transaction, and every other cat bond ever issued in the Artemis Deal Directory.