Swiss Re secures $345m Matterhorn Re 2026-3 retro cat bond at low-end pricing

Swiss Re has now priced its latest catastrophe bond sponsorship, securing the upsized target of $345 million of broad North American peak peril retrocessional protection through its new Matterhorn Re Ltd. (Series 2026-3) issuance, while the notes all priced at the lowest-ends of twice reduced guidance, Artemis has learned.

Swiss Re returned to the catastrophe bond market in June, initially seeking $275 million of peak peril retrocession from what will become the reinsurance giant’s seventeenth takedown under its Bermuda-based Matterhorn Re catastrophe bond program.

As we reported in an update on this cat bond offering, the size target was first increased slightly to as much as $285 million of retrocession while pricing was reduced.

Then, the size target was increased further, with up to $345 million of retrocession being sought and the price guidance was lowered further.

Now, we understand that Swiss Re has successfully priced all five tranches of notes at the low-ends of the twice reduced guidance, while securing the upsized $345 million of protection from its latest catastrophe bond sponsorship.

Swiss Re is a strategic retro buyer through the Matterhorn Re cat bond program, having secured a range of coverage types in the past to hedge peak natural catastrophe exposures and also having used the structure to issue cat bonds linked to mortality and cyber risk exposures as well.

Details of every Matterhorn Re cat bond and every other cat bond issuance sponsored by Swiss Re since it entered the market in 1997 can be found in our Deal Directory.

This new Matterhorn Re Series 2026-3 catastrophe bond will now provide Swiss Re with $345 million of broad-based North American peak peril retrocession.

The five tranches of notes that will be issued will provide the reinsurer with a range of industry-loss index based coverages across aggregate and occurrence limits for earthquake and named storm perils in the US and Canada, with different terms for some tranches.

Below, we break down the tranches, their coverage and the final sizes and pricing for each. Full details are available in the Deal Directory entry for this Matterhorn Re Ltd. (Series 2026-3) catastrophe bond.

a

What was initially a $50 million tranche of Series 2026-3 Class A notes grew to $60 million in size. These notes will 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 an initial expected loss of 1.08%. They were first offered to investors with price guidance for a spread of between 2.7% and 3.2%. That price guidance was lowered to between 2.5% and 2.7% and then updated at the low-end for a spread of 2.5%, which is where the notes have now been priced.

A $75 million tranche of Series 2026-3 Class B notes remained at their initial size, 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 have an initial expected loss of 2.03%. They were first offered to investors with price guidance for a spread of between 3.75% and 4.25%, which first fell to 3.5% to 3.75%, and was then updated again for a spread at the low-end of 3.5%, which is again where they have been priced.

What was initially a $50 million tranche of Series 2026-3 Class C notes were then targeted at between $55 million and $60 million. They have been finalised to provide Swiss Re $60 million of 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 have an initial expected loss of 1.79%. They were at first offered to investors with price guidance for a spread of between 3.5% and 4%, which was later narrowed to between 3.5% and 3.75% and then lowered to the bottom-end for a 3.5% spread, which is where we’re now told they have priced.

What was first a $50 million tranche of Series 2026-3 Class D notes, were then targeted to be grow to between $75 million and $100 million in size. Now finalised, these notes will provide Swiss Re the upper $100 million of 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 an initial base expected loss of 3.37%. They were initially offered to investors with price guidance for a spread of between 6.5% and 7%, which later fell to between 6% and 6.5% and then was lowered to the bottom-end at a 6% guidance spread, which is again where this tranche has priced.

The final $50 million tranche of Series 2026-3 Class E notes remained that size, 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 have an initial base expected loss of 2.19%. These are structured as discount notes and were originally offered to investors with price guidance of 95.25% to 95.75% of par, which first fell to 95.75% to 96.25% of par, but then fell again again to between 96.25% and 96.75% of par. Sources said these notes priced at 96.75% of par, so again at the lowest-end.

Notably, at the upsized $345 million, this will be the largest catastrophe bond sponsorship by Swiss Re since 2020.

The reinsurance company has secured more than its initially targeted retrocession at reduced pricing in every case, securing an efficient and capital markets backed source of retrocession to protect its catastrophe portfolios.

You can read all about this new catastrophe bond from Swiss Re, the Matterhorn Re Ltd. (Series 2026-3) transaction, and every other cat bond ever issued in the Artemis Deal Directory.