Swiss Re targets reduced pricing for $75m Matterhorn Re 2025-3 quake cat bond

We understand that global reinsurance firm Swiss Re is now targeting reduced pricing for its still $75 million Matterhorn Re Ltd. (Series 2025-3) catastrophe bond transaction that is in the market, as it looks to price the North America earthquake retrocession notes this week.

Swiss Re returned with what will be the fourteenth takedown under Swiss Re’s Bermuda-based Matterhorn Re catastrophe bond program and third this year in late August.

There’s been no change to the target size of this new cat bond deal, but we’re told that as seen throughout recent months the trend of pricing down and lower spreads is continuing in the third-quarter with this new issuance.

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

Matterhorn Re Ltd. is still offering two tranches of Series 2025-3 cat bond notes and the target issuance size remains for $75 million of retrocessional protection against losses from North American earthquakes for Swiss Re.

The coverage will be on an annual aggregate and weighted PCS industry loss index trigger basis, across the United States (excluding Hawaii), DC and Canada over a three year term.

The still $50 million tranche of  Series 2025-3 Class A notes that Matterhorn Re is offering come with an initial expected loss of 0.97% and were initially offered to investors with price guidance in a range from 2.75% to 3.75%. We’re now told the updated guidance is in a range from 2.5% to 2.75%, so below the original.

A still $25 million tranche of  Series 2025-3 Class B notes that are riskier have an initial expected loss of 2% and were first offered to investors with price guidance in a range from 4% to 4.5%, but this has also fallen to an updated range of 3.75% to 4%.

As a result, Swiss Re appears on-track to put price execution over size with its latest catastrophe bond, with a valuable slice of aggregate earthquake retrocessional protection likely to be secured from the capital markets. We’ll update you when pricing is finalised.

You can read all about this new catastrophe bond from Swiss Re, the Matterhorn Re Ltd. (Series 2025-3)transaction, and every other cat bond ever issued in the Artemis Deal Directory.