Global reinsurer Swiss Re has now secured $250 million of US named storm per-occurrence based retrocessional protection through its Matterhorn Re Ltd. (Series 2026-2) catastrophe bond transaction, while the spreads settled at the low-end of reduced guidance, Artemis has learned.
This marks the reinsurer’s second catastrophe bond sponsorship under Matterhorn Re of 2026 so far, having secured $150 million of annual aggregate retro reinsurance from a Matterhorn Re 2026-1 cat bond in February.
You can view details of every Matterhorn Re cat bond and every other cat bond issuance sponsored by Swiss Re in our Deal Directory.
Initially, Swiss Re was targeting $250 million of retrocession for US named storm losses from its Matterhorn Re Series 2026-2 issuance.
As we said in our first update on this transaction, that target remained, but we did learn that Swiss Re was targeting lower pricing for the notes, as it looked to capitalise on market conditions.
Now, sources have said that Swiss Re has successfully priced the notes at the low-end of reduced guidance, securing its targeted $250 million of US named storm per-occurrence based retrocessional protection.
With these new cat bond notes now priced and the coverage secured once the deal settles, Matterhorn Re will now issue a $150 million tranche of Series 2026-2 Class A notes that will provide named storm retrocession across northeast US states only for Swiss Re, over a two hurricane season term with maturity slated for December 2027.
These Class A notes come with an initial base expected loss of 2.19%, and they were initially offered to cat bond investors with price guidance for a spread of between 5.75% and 6.25%, which was later lowered to a revised range of 5.5% to 5.75%.
We now understand that the notes have been priced to pay investors an initial risk interest spread of 5.5%, so the low-end of the revised guidance.
Matterhorn Re will also issue a $100 million tranche of Series 2026-2 Class B notes that will provide Swiss Re with cover for losses from US-wide named storms, which includes Puerto Rico, D.C and the US Virgin Islands, over a single hurricane season term with maturity slated for December 2026.
The Class B notes come with an initial base expected loss of 3.99%, and they were first offered to investors as discount notes with price guidance of 92.75% to 93.5% of par, which was later lowered to a revised range of 93.5% to 93.75% of par.
We have now been told that the notes have been priced at 93.75% of par value, so again the low-end of the revised range.
As a result, Swiss Re has managed to secure its initially targeted US named storm per-occurrence based retrocessional reinsurance protection from its latest catastrophe bond deal at pricing that has proved very attractive as well.
As a reminder, you can read all about this new catastrophe bond from Swiss Re, the Matterhorn Re Ltd. (Series 2026-2) transaction, and every other cat bond ever issued in the Artemis Deal Directory.
