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Swiss Re Capital Markets Corp. closed a $225 million catastrophe bond to cover mortgage default risk caused by earthquakes in California, Oregon, Washington and South Carolina, the Swiss Re Ltd. unit said in a statement Monday.
The notes were issued by Sierra Ltd., a special purpose vehicle incorporated in Bermuda, on behalf of Bayview MSR Opportunity Master Fund LP, a hedge fund operated by Bayview Asset Management LLC.
The bond provides per occurrence coverage with a three-year term and has a parametric trigger based on data provided by the U.S. Geological Survey, the Swiss Re statement said.
The catastrophe bond “underscores the potential of the capital markets in helping to reduce the hedging gap and build resilience against uninsured risks prevalent in the U.S. mortgage markets.” Jean-Louis Monnier, head of retro and ILS structuring of Swiss Re’s Alternative Capital Partners, said in the statement.