Price guidance rises for Swiss Re’s industry loss cyber cat bond

We’re told that the price guidance has been raised for the first industry-loss triggered cyber catastrophe bond deal, which is being sponsored by reinsurance firm Swiss Re, while the size of the Matterhorn Re Ltd. (Series 2023-1) transaction remains at $50 million so far.

Swiss Re entered the market with the first industry-loss triggered cyber catastrophe bond earlier this month, with a target to secure $50 million of retrocessional reinsurance against systemic cyber loss events affecting the United States.

It’s the first cyber cat bond from Swiss Re and the first to use an industry-loss index trigger approach and it took the number of 144A cyber cat bonds to have hit the market so far to four.

Bermuda based SPI Matterhorn Re Ltd. is still aiming to issue a $50 million tranche of Series 2023-1 notes, denoted as Class CYB-A notes.

Those notes will collateralize and fund a retrocession agreement between the issuing vehicle and Swiss Re, providing US cyber retro coverage across a just over two year term to the end of 2026.

The protection will be for cyber industry insured losses from the United States, on a per-occurrence basis, as reported by PERILS AG, with an attachment point set at a US cyber industry loss of $9 billion or greater.

We’re told the issuance remains sized at $50 million, so far.

The Matterhorn Re 2023-1 Class CYB-A cyber cat bond notes have an initial expected loss of 1.721% and were first offered to investors with price guidance in a range from 10% to 11%.

But, we now understand that the price guidance for these cyber industry-loss cat bond notes has been lifted and fixed at 12%, so above the initially marketed range of spreads on offer.

It appears investors required a higher level of spread to encourage them to allocate to this deal, which given it is the first cyber deal to feature an industry-loss trigger and only the fourth cyber cat bond ever, is perhaps no surprise.

It will take the cat bond investor base a little time to become familiar with all the types of structural feature that can be incorporated into cyber cat bonds, while broker-dealers will also get a more accurate feel for pricing as additional cyber cat bond deals come to market.

You can read all about this new cyber catastrophe bond from Swiss Re, the Matterhorn Re Ltd. (Series 2023-1) transaction, and every other cat bond ever issued in the Artemis Deal Directory.