Swiss Re sets top Matterhorn Re 2026-3 retro cat bond target of $345m as pricing falls twice

Swiss Re is now aiming to secure as much as an upsized $345 million of broad North American peak peril retrocessional protection through its new Matterhorn Re Ltd. (Series 2026-3) catastrophe bond offering, while the price guidance for the notes has now been lowered twice, Artemis can report.

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

We understand that the offering has been through two updates so far, first with Swiss Re increasing the size target slightly to as much as $285 million of retrocession, while at the same time lowering the price guidance for all five tranches of notes.

Then, we’re told that a second update has seen Swiss Re increase its retro ambitions from this new catastrophe bond even further, with now up to $345 million of protection being sought, while the price guidance has fallen again as the reinsurance company targets strong execution from its latest cat bond sponsorship.

Swiss Re is a strategic retro buyer through the Matterhorn Re cat bond program, in the past having secured a range of coverage types to hedge peak natural catastrophe exposures and even having used the structure for mortality and cyber retrocession 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 sees Swiss Re aiming to secure broad-based North American peak peril retrocession, with five tranches of notes on offer to provide 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 way issuance sizes and pricing have moved for each.

What was initially a $50 million tranche of Series 2026-3 Class A notes are now $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% and were first offered to investors with price guidance for a spread of between 2.7% and 3.2%. That price guidance was first lowered to between 2.5% and 2.7% and has now been updated at the low-end for a spread of 2.5% to be targeted.

A $75 million tranche of Series 2026-3 Class B notes remain at that 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% and were first offered to investors with price guidance for a spread of between 3.75% and 4.25%. That fell to 3.5% to 3.75%, but was then updated again for a spread at the low-end to be targeted, of 3.5%, we understand.

What was initially a $50 million tranche of Series 2026-3 Class C notes are now targeted to provide Swiss Re with $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% and were at first offered to investors with price guidance for a spread of between 3.5% and 4%. But we’re told the price guidance for these notes was first narrowed to between 3.5% and 3.75% and at the second update has been lowered to the bottom-end of a 3.5% spread.

What was first a $50 million tranche of Series 2026-3 Class D notes are now targeted to be $100 million in size, 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 an initial base expected loss of 3.37% and were initially offered to investors with price guidance for a spread of between 6.5% and 7%. That price guidance first fell to between 6% and 6.5%, but has now been lowered to the bottom-end at a 6% guidance spread, sources said.

The final $50 million tranche of Series 2026-3 Class E notes remain 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. That guidance first fell to 95.75% to 96.25% of par, but has now been lowered again to between 96.25% and 96.75% of par, we understand.

It’s notable that, should the deal upsize to the new target of $345 million, it will be the largest catastrophe bond sponsorship by Swiss Re since 2020.

With all five tranches of notes on-track for strong price execution, it seems highly likely this will be achieved and the deal will overall price at below or the bottom of guidance in every case.

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.