Matterhorn Re Ltd

Global reinsurance firm Swiss Re is back in the catastrophe bond market seeking $150 million or more in North American earthquake and named storm retrocessional protection from capital market investors, through a Matterhorn Re Ltd. (Series 2025-1) transaction.

According to Artemis’ sources, Swiss Re now looks likely to make just under $151 million in reinsurance recoveries from its mortality catastrophe bonds, with a 100% recovery anticipated for the $120 million Vita Capital VI deal and a recovery already thought made under the Matterhorn Re mortality cat bond notes.

Swiss Re secured $50 million of cyber industry-loss warranty (ILW) cover recently in a transaction that the broker involved, Gallagher Re, is hailing as the first cyber retrocession ILW ever traded.

The threat of loss to investors in mortality catastrophe bonds has increased in recent weeks, with Swiss Re’s Vita Capital VI deal marked down for a near total loss and one of the Matterhorn Re cat bonds sponsored by the reinsurer has seen its maturity extended, as mortality estimates have risen again, Artemis has learned.

Artemis has now learned that global reinsurance firm Swiss Re has successfully priced the market’s first industry-loss triggered cyber catastrophe bond, securing the $50 million of coverage it had originally targeted from the Matterhorn Re Ltd. (Series 2023-1) transaction.

We’re told that the price guidance has been raised for the first industry-loss triggered cyber catastrophe bond deal, which is being sponsored by reinsurance firm Swiss Re, while the size of the Matterhorn Re Ltd. (Series 2023-1) transaction remains at $50 million so far.

Global reinsurance giant Swiss Re is bringing the first industry-loss triggered cyber catastrophe bond to market, seeking $50 million of retrocession against systemic cyber loss events through a Matterhorn Re Ltd. (Series 2023-1) transaction.

Higher assets under management and improved returns in the insurance-linked securities (ILS) funds and sidecar structures managed by Swiss Re’s Alternative Capital Partners (ACP) division have driven a significant increase in fee income and commissions earned by the reinsurer in the first-half of 2023.

Having completed another collateralised stop-loss transaction, to bring more efficient capital into its business, Swiss Re may be nearing the limits of its appetite for this type of arrangement, while the sophistication required means not every reinsurer could replicate this deal.

Global reinsurance giant Swiss Re has secured another $700 million of alternative capital protection for severe underwriting losses, through another collateralised stop-loss arrangement using its Matterhorn Re SPI, with the funding led by investment bank J.P. Morgan.