Swiss Re targets $250m US named storm retro with Matterhorn Re 2026-2 cat bond

Global reinsurance giant Swiss Re is back in the catastrophe bond market to sponsor its second issuance of the year, with an initial target to secure $250 million of US named storm per-occurrence based retrocessional protection through a Matterhorn Re Ltd. (Series 2026-2) transaction, Artemis can report.

Swiss Re is looking to sponsor with what will become the sixteenth takedown under its Bermuda-based Matterhorn Re catastrophe bond program.

This will be the firm’s second catastrophe bond issuance under Matterhorn Re in 2026, having secured $150 million of annual aggregate retro reinsurance from a Matterhorn Re 2026-1 cat bond in February.

Swiss Re remains a strategic buyer of retrocession with the Matterhorn Re cat bond program, having sourced cover to hedge its peak natural catastrophe exposures and even using 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 can be found in our Deal Directory.

Swiss Re’s strategic approach continues, with this new Matterhorn Re Series 2026-2 cat bond seeing the company targeting focused northeast US named storm retro with one tranche and US-wide cover with the other.

Both tranches of notes will be structured to provide per-occurrence retrocession, using a PCS weighted industry loss index trigger, we understand.

The goal is to secure $250 million of named storm retro for Swiss Re across the two tranches of notes that are being offered to investors, sources said.

Matterhorn Re Ltd. is offering a $150 million tranche of Series 2026-2 Class A notes that are designed to provide named storm retrocession across northeast US states only, over a two hurricane season term with maturity slated for December 2027.

The Class A notes would attach 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%, an initial base expected loss of 2.19% and they are being offered to investors with price guidance for a spread of between 5.75% and 6.25%, we have learned.

Matterhorn Re Ltd. is also offering a $100 million tranche of Series 2026-2 Class B notes that are designed to provide cover for losses from US named storms, including Puerto Rico, D.C and the US Virgin Islands, over a single hurricane season term with maturity slated for December 2026.

The Class B notes would attach at an industry loss index level of $87.6 billion and exhaust their cover at $122.6 billion, giving them an initial attachment probability of 5.09%, an initial base expected loss of 3.99% and they are being offered to investors as discount notes with price guidance of 92.75% to 93.5% of par, it is understood.

Swiss Re will bolster its current capital markets backed retrocessional protection with this latest catastrophe bond sponsorship.

None of the reinsurance firm’s outstanding cat bonds are scheduled to mature this year, so this new deal is only adding to its hurricane protection.

You can read all about this new catastrophe bond from Swiss Re, the Matterhorn Re Ltd. (Series 2026-2) transaction, and every other cat bond ever issued in the Artemis Deal Directory.