Swiss Re secures upsized $150m aggregate retro from Matterhorn Re 2026-1 cat bond

Swiss Re has now secured its upsized target of $150 million of aggregate and subsequent event retrocessional reinsurance covering North American peak perils from its new Matterhorn Re Ltd. (Series 2026-1) catastrophe bond, while each of three tranches of notes priced at the top-end of initial guidance ranges, Artemis can report.

Global reinsurance firm Swiss Re came back to the catastrophe bond market around the middle of January when it had an initial target size for this issuance of $125 million.

At that time no individual sizes were given for the three tranches of Series 2026-1 notes that Matterhorn Re Ltd. is set to issue, but we later learned that the overall issuance was expected to be between $125 million and $150 million of notes.

We are now told that Swiss Re has secured the upper-end of that target, with the notes now all priced and this Matterhorn Re 2026-1 catastrophe bond set to provide the reinsurer with $150 million of retrocessional protection.

For Swiss Re, this will become the fifteenth takedown under its Bermuda-based Matterhorn Re catastrophe bond program, as it persists in utilising capital markets investor support to provide protection to hedge its peak exposures using the cat bond structure.

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 will now issue $150 million of Series 2026-1 notes, that will provide retro protection to Swiss Re across three tranches of notes for the North American peak perils of US and Canadian named storm and earthquake risks.

All three tranches feature industry loss index triggers and will protect Swiss Re over a three year duration from their issuance, but each tranche is either annual aggregate, second or subsequent event, and one tranche has multiple sections to the coverage they will provide.

The Class A tranche of notes will provide Swiss Re with $25 million of retro for industry losses from named storms across US northeast states and Canada, as well as for earthquakes across the entire US and Canada, with this layer being annual aggregate in nature These notes have an initial expected loss of 4.83% and were first offered with price guidance in a range from 7% to 7.75%, but priced at the upper-end of 7.75%, we are told.

The Class B tranche will provide Swiss Re with $75 million of aggregate retro for named storms and earthquake losses across all of the US and Canada. These notes have an initial expected loss of 6.05% and were first offered with price guidance in a range from 10.75% to 11.75%, eventually pricing at the top-end of 11.75%.

The final Class C tranche, which are more complex structure having three sections of coverage (annual aggregate, second-event aggregate, and third and subsequent event) and all cover US and Canada named storms and earthquakes, were finalised at $50 million in size, we understand. These notes have an initial expected loss of 6.92% and were first offered with price guidance in a range from 14% to 15%, but again were priced at the top-end of 15%.

Cat bond investors continue to demonstrate their appetite for what they view as a risk commensurate price, particularly for aggregate tranches of notes, as they show the need for a certain level of return to be offered.

For Swiss Re, this latest catastrophe bond provides effective and broad peak peril catastrophe risk protection for its portfolio, at what must still be considered efficient pricing despite the spreads being finalised at upper-ends of guidance.

You can read all about this new catastrophe bond from Swiss Re, the Matterhorn Re Ltd. (Series 2026-1) transaction, and every other cat bond ever issued in the Artemis Deal Directory.