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Swiss Re has now secured $210 million in North American earthquake and named storm retrocessional reinsurance protection from capital market investors through its new Matterhorn Re Ltd. (Series 2025-1) catastrophe bond, while both tranches of notes have priced at the bottom of reduced guidance, Artemis has learned.
Swiss Re returned to the cat bond market with what is set to be the twelfth takedown under its Matterhorn Re catastrophe bond program earlier in January.
Initially, Swiss Re’s target was to secure at least $150 million in retrocessional reinsurance protection from cat bond investors.
As we then reported in an update, the size target for this Matterhorn Re 2025-1 cat bond was increased, with between $175 million and $225 million of notes expected to be issued, while at the same time the price guidance was lowered.
Now, we’ve learned that Swiss Re successfully priced its latest catastrophe bond to provide it $210 million of retrocessional protection, while the pricing was finalised at the low-end of the already reduced risk interest spread ranges.
Details of every Matterhorn Re cat bond and every other cat bond sponsored by Swiss Re can be found in our Deal Directory.
As a result, Matterhorn Re Ltd. will now issue two tranches of Series 2025-1 cat bond notes to provide Swiss Re with protection against losses from North American earthquakes and named storms.
The retro reinsurance protection will run across three annual risk periods, each on an annual aggregate and weighted industry loss index trigger basis for the company.
What was initially a $75 million Class A tranche of notes had seen their target lifted to be up to $100 million in size and we’re now told this tranche have been finalised at $87.5 million.
These Class A notes will now provide Swiss Re with $87.5 million of weighted annual aggregate retrocession protection for US, DC and Canada earthquakes, and named storm losses affecting northeast US states and Canada.
The Class A notes have an initial expected loss of 3.87%. They were first offered to investors with price guidance in a range from 7.5% to 8.25%, which was then updated at between 7% and 7.5% and we’re now told the spread was finalised at the lowest end of 7%.
What was initially a $75 million Class B tranche of notes saw their target size raised to be between $100 million and $125 million and we’re now told Swiss Re finalised these at $122.5 million.
The Class B notes will provide Swiss Re their $122.5 million of weighted annual aggregate coverage across a slightly different area, being US, DC and Canada earthquakes, but then named storm losses affecting all 50 states of the US, DC and Canada.
The Class B notes have an initial expected loss of 6%. They were initially offered to investors with price guidance in a range from 12.75% to 13.75%, which fell to a range of 12.25% to 12.75% and we’re now told the spread was finalised again at the lowest end of 12.25%.
It seems Swiss Re settled for pricing over size perhaps, choosing to optimise the coverage it has secured from the capital markets at the best possible price.
It’s another successful catastrophe bond issuance for a sponsor and further demonstrates the appetite for these aggregate index trigger deals remains strong in the investor base at this time.
You can read all about this new catastrophe bond from Swiss Re, the Matterhorn Re Ltd. (Series 2025-1) transaction, and every other cat bond ever issued in the Artemis Deal Directory.
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