As we reported on May 24th, Swiss Re was back in the catastrophe bond market with the new Matterhorn Re deal, but we suspected the reinsurer was testing out market appetite with three differently structured, but similarly risky tranches of notes on offer for cat bond investors.
As we explained, given widened spreads and higher pricing in the catastrophe bond market, testing the response of cat bond investors to a number of layers of risk structured in different ways may have been a good approach to find the optimal way to place risk into the more challenging marketplace at this time.
FULL ORIGINAL PUBLICATION HERE