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Report: Swiss Re sponsoring $175M Matterhorn Re cat bond

Swiss Re AG is seeking to secure at least $175 million of retrocession against U.S. named storm losses by sponsoring its second Matterhorn Re Ltd. catastrophe bond, Artemis reported.

Matterhorn Re will issue two tranches of series 2020-1 notes in the new offering, seeking protection for two full wind seasons of U.S. named storms on a weighted industry loss and per-occurrence basis.

The class A notes are aiming for $100 million of protection, with an initial expected loss of 2.82% and coupon guidance of between 5.5% to 6%, according to the report. The class B tranche is reportedly targeting $75 million of coverage, with an initial expected loss of 3.6% and coupon price guidance of 8% to 8.75%.

The company secured a $250 million source of collateralized retro reinsurance that covers certain losses from northeast U.S. named storms with its Matterhorn Re series 2019-1 transaction in June.

Swiss Re Capital Markets is acting as sole structuring agent and book runner on the transaction.