Global reinsurance firm Swiss Re is now targeting up to $150 million of aggregate and subsequent event retrocession covering North American peak perils from its new Matterhorn Re Ltd. (Series 2026-1) catastrophe bond, while price guidance for each of three tranches of notes have been raised to the top-end of initial ranges, Artemis can report.
At that time no individual sizes were given for the three tranches of Series 2026-1 notes that Matterhorn Re Ltd. is offering, but now we’ve learned that with size targets installed, the overall issuance is expected to currently be between $125 million and $150 million of notes.
We are also told that cat bond investors are again demonstrating their appetite for what they view as a risk commensurate price, particularly for aggregate tranches of notes, with all three in this case seeing their price guidance lifted to the top-end of original ranges.
For Swiss Re, this will be the fifteenth takedown under its Bermuda-based Matterhorn Re catastrophe bond program, as it continues to target capital markets backed protection to hedge 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.
We’re told that Matterhorn Re is now aiming to issue between $125 million and $150 million of Series 2026-1 notes, that will provide retro protection to Swiss Re across the three tranches for the North American peak perils of US and Canadian named storm and earthquake risks.
All three tranches will utilise industry loss index triggers and 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.
For full details of the coverage of each tranche read our Deal Directory entry.
The Class A tranche of notes are now sized at $25 million, to provide Swiss Re with 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 now the pricing has been shifted to the upper-end of 7.75%, we are told.
The Class B tranche are sized at from $50 million to $75 million, to provide Swiss Re with 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%, which has now also been lifted to 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, are now sized at $50 million, 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%, which has again been lifted to the top-end of 15%.
The way the pricing has moved upwards in all cases reflects investors demand for a certain level of return for aggregate risks of this kind.
For Swiss Re this is a broad and strategically designed retro reinsurance protection, that will effectively hedge out some of its peak peril exposures.
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.
