Swiss Re has returned to the catastrophe bond market for its first sponsorship of this year, seeking $125 million or more in peak peril aggregate and subsequent event retrocession covering North American wind and earthquakes from a Matterhorn Re Ltd. (Series 2026-1) transaction, Artemis can report.
This new deal is the first catastrophe bond issuance from the Matterhorn Re vehicle in 2026 and follows Swiss Re having used the structure for three cat bond deals last year.
Swiss Re has been particularly strategic with the Matterhorn Re cat bond program over the years, buying protection to hedge peak exposures and even using it for mortality and cyber retro reinsurance as well.
Details of every Matterhorn Re cat bond and every other cat bond issuance sponsored by Swiss Re can be found in our Deal Directory.
This new Matterhorn Re Series 2026-1 deal sees Swiss Re seeking broad aggregate and second or subsequent event retrocessional catastrophe protection for peak North American perils, we are told.
Three tranches of Series 2026-1 cat bond notes are being offered to investors and the proceeds of their sale will be used to collateralize retrocessional reinsurance agreements between the special purpose insurer, Matterhorn Re Ltd., and Swiss Re as the beneficiary of the protection.
This Matterhorn Re 2026-1 catastrophe bond is targeting $125 million of retro protection for Swiss Re across the three tranches, although we’re told no individual tranche sizes exist at the moment.
The notes will cover North American peak perils of US and Canadian named storm and earthquake risks, we understand, although with differences to the coverage areas and structures.
All three tranches will utilise industry loss index triggers and protect Swiss Re over a three year duration from their issuance, sources said.
None of the tranches are first-event covers as such, each being either annual aggregate, second or subsequent event, and one tranche has multiple sections to the coverage they will provide.
The Class A tranche of notes will 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 and featuring a $5 billion franchise deductible.
The Class A notes would attach at $21.5 billion of aggregate industry losses and exhaust at $43 billion, we are told, giving them an attachment probability of 6.79%, an initial expected loss of 4.83% and they are being offered with price guidance in a range from 7% to 7.75%.
The Class A notes are said to be roughly 50/50 named storm and earthquake exposed, in expected loss contribution terms, while New York is the main state for named storm and California for quake.
The Class B tranche of notes will provide Swiss Re with aggregate retro for named storms and earthquake losses across all of the US and Canada, while they feature a higher franchise deductible of $10 billion, we are told.
The attachment for the Class B notes is at $85 billion of aggregate industry losses, with exhaustion at $122.5 billion, giving them an attachment probability of 8%, an initial expected loss of 6.05% and they are being offered with price guidance in a range from 10.75% to 11.75%, we understand.
For the Class B notes, the exposure in terms of contribution to expected loss is more weighted towards named storms than earthquakes, with Florida the largest contributor, sources explained.
The final Class C tranche are a more complex structure, having three sections of coverage and all cover US and Canada named storms and earthquakes.
The first section is annual aggregate and has a $10 billion franchise deductible attaching at $77.5 billion of losses and exhausting at $115 billion. The second section is a second-event aggregate with a $32.5 billion event deductible and $5 billion event cap, attaching at $5 billion and exhausting at $10 billion (so covering two maximum contribution loss events). The third section is a third and subsequent event cover, with an event deductible of $22.5 billion and event cap of $5 billion, attaching at $10 billion and exhausting at $15 billion (so three qualifying events are covered and could exhaust the notes). Exposure wise, these are again more named storm focus with Florida the largest contributor to expected loss.
These more complex Class C notes come with an attachment probability of 8.95%, an initial expected loss of 6.92% and they are being offered with price guidance in a range from 14% to 15%, we are told.
Swiss Re is being highly strategic with its latest catastrophe bond it seems, looking to hedge and cap exposure to peak North American peril events in a number of different formats, to provide broad retrocessional protection that can protect and minimise the downside it might experience from a catastrophe loss heavy year.
The reinsurance firm might also be purposefully testing catastrophe bond investor appetites for something more complex at a time where index trigger based retro cat bonds have been settling at attractive pricing for their sponsors.
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.
