{"id":62285,"date":"2026-05-08T15:56:10","date_gmt":"2026-05-08T15:56:10","guid":{"rendered":"https:\/\/www.europesays.com\/ch\/62285\/"},"modified":"2026-05-08T15:56:10","modified_gmt":"2026-05-08T15:56:10","slug":"swiss-re-secures-250m-matterhorn-re-2026-2-retro-cat-bond-at-low-end-pricing","status":"publish","type":"post","link":"https:\/\/www.europesays.com\/ch\/62285\/","title":{"rendered":"Swiss Re secures $250m Matterhorn Re 2026-2 retro cat bond at low-end pricing"},"content":{"rendered":"

Global reinsurer Swiss Re has now secured $250 million of US named storm per-occurrence based retrocessional protection through its\u00a0Matterhorn Re Ltd. (Series 2026-2)<\/a> catastrophe bond transaction, while the spreads settled at the low-end of reduced guidance, Artemis has learned.
\"SwissSwiss Re\u00a0ventured back to the cat bond market in April<\/a>, to sponsor what will now become the sixteenth takedown under its Bermuda-based Matterhorn Re catastrophe bond program.<\/p>\n

This marks the reinsurer\u2019s second catastrophe bond sponsorship under Matterhorn Re of 2026 so far, having secured $150 million of annual aggregate retro reinsurance from a\u00a0Matterhorn Re 2026-1<\/a>\u00a0cat bond in February.<\/p>\n

You can view details of every Matterhorn Re cat bond and every other cat bond issuance sponsored by Swiss Re in our Deal Directory<\/a>.<\/p>\n

Initially, Swiss Re was targeting $250 million of retrocession for US named storm losses from its Matterhorn Re Series 2026-2\u00a0issuance.<\/p>\n

As we said in our first update on this transaction,<\/a> 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.<\/p>\n

Now, sources have said that\u00a0Swiss 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.<\/p>\n

With these new cat bond notes now priced and the coverage secured once the deal settles,\u00a0Matterhorn 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.<\/p>\n

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%.<\/p>\n

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.<\/p>\n

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.<\/p>\n

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.<\/p>\n

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.<\/p>\n

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.<\/p>\n

As a reminder, you can read all about this new catastrophe bond from Swiss Re, the\u00a0Matterhorn Re Ltd. (Series 2026-2) <\/a>transaction, and every other cat bond ever issued in the\u00a0Artemis Deal Directory<\/a>.<\/p>\n


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