The Swiss Re AG-sponsored Matterhorn Re Ltd. (Series 2020-1) catastrophe bond has doubled in size to a $350 million issuance, Artemis reported.
The class A tranche of notes expanded to $175 million from $100 million at launch. The coupon pricing was put at 5.25%, below the bottom end of the initial guidance of 5.5% to 6%. These notes provide retrocession for named storm losses across most of the U.S. coastline from Texas to Maine, according to the report.
The class B tranche of notes grew to $175 million from an initial target of $75 million, with pricing fixed at 7.5%. The coupon price guidance was 8% to 8.75%. Swiss Re will get coverage for named storm losses from Virginia to Maine in the U.S. Northeast from this tranche.
The retrocession will trigger on a weighted industry loss and per-occurrence basis. The coverage period is across two full wind seasons.
Swiss Re Capital Markets is the sole structuring agent and book runner for the issuance.