Swiss Re targets $65m retro wind / quake cover with Matterhorn Re 2025-2 cat bond

Global reinsurance company Swiss Re has returned to the catastrophe bond market for the second time this year, aiming to secure $65 million or more in North American earthquake and named storm retrocession from investors, through a Matterhorn Re Ltd. (Series 2025-2) transaction, Artemis has learned.

This issuance will be the thirteenth takedown under Swiss Re’s Matterhorn Re catastrophe bond program, extending the long list of cat bond transactions we have tracked that the reinsurance company has sponsored over the years.

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

This Series 2025-2 issuance will be the second catastrophe bond from the Matterhorn Re vehicle in 2025.

Swiss Re sponsored a $225 million Matterhorn Re Ltd. (Series 2025-1) issuance back in January, securing retro reinsurance cover for the same perils as it is now targeting with this new deal.

With this new cat bond, Matterhorn Re Ltd. is offering a single tranche of Series 2025-2 cat bond notes that will be sold to investors and the proceeds used to collateralize a retrocessional reinsurance agreement between the special purpose vehicle and Swiss Re, Artemis understands.

This retrocession agreement will provide Swiss Re with a currently targeted $65 million or more in protection against losses from North American earthquakes and named storms, each on an annual aggregate and weighted industry loss index trigger basis.

The Matterhorn Re 2025-2 catastrophe bond notes will provide the reinsurance company with protection across three annual risk periods from the date of issuance, we are told, running to maturity in July 2028.

The currently $65 million tranche of  Series 2025-2 Class A notes that Matterhorn Re is offering are set to provide Swiss Re with aggregate retrocessional coverage for US, DC and Canada earthquakes, and named storm losses.

We’re told the coverage would attach at an aggregate loss total of $75 billion and cover a share up to $113.5 billion, while a $10 billion franchise deductible will be enforced for both perils.

The Class A notes will come with an initial attachment point of 8.84%, an initial expected loss of 6.57% and are being offered to investors with price guidance in a range from 12.25% to 13.25%, we understand.

It’s encouraging to see Swiss Re returning to the catastrophe bond market for the second time this year, clearly recognising the strong execution possible in the market and the value cat bond coverage for retrocessional risk can provide to sponsors at this time.

You can read all about this new catastrophe bond from Swiss Re, the Matterhorn Re Ltd. (Series 2025-2)transaction, and every other cat bond ever issued in the Artemis Deal Directory.