Swiss Re’s new Matterhorn Re aggregate cat bond upsized to $325m

The new Matterhorn Re Ltd. (Series 2022-1) catastrophe bond transaction from global reinsurance giant Swiss Re has now been priced and sources told Artemis that the issuance was upsized by 63% to $325 million in size, while both tranches of notes priced at the lower-ends of guidance.

This appears to be a particularly strong execution for Swiss Re’s latest catastrophe bond, not least as it is the company’s first Matterhorn Re cat bond series deal that will provide the reinsurer with a multi-year source of aggregate retrocession.

This new Matterhorn Re 2022-1 catastrophe bond was launched to the investor community over a fortnight ago, as we reported at the time.

It is Swiss Re’s first cat bond issuance of the year and in a shift in strategy from recent occurrence cat bonds the reinsurer has sponsored, this new cat bond saw the reinsurance giant looking for $200 million or more in annual aggregate retrocessional protection.

Details of every Matterhorn Re cat bond, as well as every other cat bond sponsored by Swiss Re, can be found in our extensive Deal Directory.

At launch, Swiss Re was targeting $200 million or more of aggregate retro reinsurance protection from this new Matterhorn Re cat bond.

Now, sources have told Artemis that the cat bond is destined to settle to provide the reinsurer with an upsized $325 million of aggregate retro cover.

In a clear demonstration of investor appetite for well-structured retro aggregate cat bonds, which should send a signal to other potential reinsurer sponsors, not only has Swiss Re’s latest cat bond issuance increased in size by 63%, the pricing settled at the bottom end of guidance, to provide the cover at an attractive price.

With this new cat bond, Swiss Re will now secure $325 million of fully-collateralized retrocessional reinsurance to protect it across a three-year term against certain U.S. named storm and U.S. and Canadian earthquake losses, on an annual aggregate basis and using an industry loss trigger.

The Series 2022-1 Class A tranche of notes that Matterhorn Re Ltd. is issuing are the less risky notes, having an initial attachment probability of 2.7% and an expected loss of 2.11%.

The Class A notes, which were initially marketed at $100 million in size, have upsized to $175 million, we understand and having initially been offered to cat bond investors with coupon pricing guidance in a range from 5.25% to 5.75%, we’re now told the coupon has been fixed at 5.25%.

The Class B tranche, which are the riskier notes, also launched at $100 million in size, but we’re told will settle at $150 million.

The Class B notes come with an initial attachment probability of 5.25%, an expected loss of 3.79% and were first offered to cat bond investors with coupon pricing guidance in a range from 7.75% to 8.5%, but have now been priced at the low-end as well of 7.75%.

As said, this is a strong result and execution for Swiss Re and should send a clear signal that the catastrophe bond market has the appetite to support other reinsurers seeking well-priced aggregate retrocession.

Swiss Re has previously secured $1.76 billion in retrocessional reinsurance protection from the seven previous Matterhorn Re cat bond issues.

With this new issue, Swiss Re’s Matterhorn Re program of cat bonds will near $2.1 billion, which will boost Swiss Re back up our leaderboard of outstanding cat bond sponsors.

You can read all about this new catastrophe bond from Swiss Re, the Matterhorn Re Ltd. (Series 2022-1) transaction, and every other cat bond ever issued in the Artemis Deal Directory.