Swiss Re closes second alternative capital transaction with J.P. Morgan

Swiss Re has successfully closed a multiyear stop-loss transaction with funding led by J.P. Morgan. The deal provides Swiss Re with USD 700 million in underwriting protection,
supporting the Group’s pursuit of profitable growth. The financing builds upon an innovative hybrid transaction concluded with J.P. Morgan in April 2022, which was the first of its kind to combine bank financing and insurance-linked securities (ILS).

Philipp Rüede, Head of Swiss Re Alternative Capital Partners, said: “This transaction with J.P. Morgan effectively provides Swiss Re with costefficient capital that can be deployed in the current attractive market. This deal also represents another important step on Swiss Re’s Alternative Capital Partners’ journey, where we are increasingly using alternative
capital to address our wider capital management needs, with the objective of lowering Swiss Re’s cost of equity.”

The stop-loss transaction provides protection for severe underwriting
losses across the Swiss Re Group for the financial years 2023–2027. In
addition to enabling Swiss Re to grow its business in favourable market
conditions, the transaction is expected to have a positive benefit for Swiss
Re’s regulatory and ratings capital requirements.

The transaction utilises a newly established segregated account of the
existing Matterhorn Re Ltd. special purpose insurer vehicle. The
segregated account is financed via an initial USD 700 million facility
supported by J.P. Morgan and its institutional investor base. The
transaction has been structured with the potential to increase to
USD 1 billion in size.

The transaction is fully collateralised, with the proceeds to be held in notes
issued by the European Bank for Reconstruction and Development, which
has Aaa/AAA/AAA (Moody’s/S&P/Fitch, all stable) ratings.

Swiss Re’s Alternative Capital Partners division encompasses Swiss Re’s
sell-side ILS capabilities and its retrocession management, allowing the
Group to leverage a broad range of third-party capital as it grows its
business. By doing so, Swiss Re is able to keep its exposures within clearly
defined risk limits and improve the diversification of risk retained on its
balance sheet.

Press Release Swiss Re