Swiss Re is now targeting lower pricing for its latest catastrophe bond sponsorship, while the target remains to secure $250 million of US named storm per-occurrence based retrocessional protection through the transaction, Artemis has learned.Swiss Re returned to the cat bond market in April, aiming to sponsor what will become the sixteenth takedown under its Bermuda-based Matterhorn Re catastrophe bond program.This is the firm’s second catastrophe bond sponsorship under Matterhorn Re of 2026 so far, having secured $150 million of annual aggregate retro reinsurance from a cat bond in February.Initially, the reinsurer was targeting $250 million of retrocession for US named storm losses, and that target has not changed at this stage, we understand.

But, Swiss Re is targeting lower pricing for the notes, as it looks to capitalise on market conditions..Recall that, this new Matterhorn Re Series 2026-2 cat bond sees Swiss Re targeting northeast US named storm retrocession with one tranche of notes that are being offered and US-wide coverage with another.

Both tranches of notes will be structured to provide per-occurrence retrocession, using a PCS weighted industry loss index trigger for the company.Matterhorn Re continues to offer investors 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.The Class A notes come with an initial base expected loss of 2.19%.

They were initially offered to investors with price guidance for a spread of between 5.75% and 6.25%, but that has now been lowered to a revised range of 5.5% to 5.75%, we are now told.Matterhorn Re also nicotines to offer 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, including 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%.

They were first offered to investors as discount notes with price guidance of 92.75% to 93.5% of par, but that has also been lowered to a revised range of 93.5% to 93.75% of par.It seems Swiss Re is targeting pricing at the bottom ends of initial guidance, or even lower for its latest catastrophe bond, as it looks to secure this US named storm retro reinsurance at attractive rates.You can read all about this new catastrophe bond from Swiss Re, the transaction, and every other cat bond ever issued in the Artemis Deal Directory..

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