Swiss Re’s target for Matterhorn Re 2025-1 cat bond lifted to as much as $225m

Swiss Re is now targeting as much as $225 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, Artemis understand.

As we reported earlier this month, Swiss Re returned to the cat bond market with what will be the twelfth takedown under its Matterhorn Re catastrophe bond program.

Details of every Matterhorn Re cat bond and every other cat bond sponsored by Swiss Re can be found in our Deal Directory.

At that time the initial target was to secure at least $150 million in retrocessional reinsurance protection from investors, but we’re now told the size target has increased, with between $175 million and $225 million of notes expected to be issued through this cat bond deal.

Alongside the size target for this Matterhorn Re 2025-1 cat bond being increased, we’re also told that the price guidance has been lowered for each of the two tranches of notes on offer.

Matterhorn Re Ltd. is set to issue two tranches of Series 2025-1 cat bond notes that will provide Swiss Re with protection against losses from North American earthquakes and named storms, across three annual risk periods, each on an annual aggregate and weighted industry loss index trigger basis.

What was a $75 million Class A tranche of notes are now targeted to be up to $100 million in size, we are told. The Class A notes will provide Swiss Re with aggregate retro protection for US, DC and Canada earthquakes, and named storm losses affecting northeast US states and Canada.

The Class A notes will come with an initial expected loss of 3.87% and were first offered to investors with price guidance in a range from 7.5% to 8.25%, but we’re now told the updated guidance is for a spread of between 7% and 7.5%

What was a $75 million Class B tranche of notes are now targeted to be between $100 million and $125 million in size, sources said. The Class B notes will provide 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% and were initially offered to investors with price guidance in a range from 12.75% to 13.75%, but this has also fallen to an updated range of 12.25% to 12.75%.

As a result, Swiss Re looks set to benefit from strong demand for its latest catastrophe bond, with the deal looking set to increase from the initial targeted size, while pricing could come in at the low-end of initial guidance or below.

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.