Swiss Re Capital Markets facilitated the recently closed $225 million series 2020-1 principal-at-risk variable-rate notes transaction issued by Sierra Ltd. for Bayview Asset Management LLC's MSR Opportunity Fund.

The company said the transaction is the first catastrophe bond issued under Rule 144A featuring a parametric trigger covering mortgage default risk caused by earthquakes in California, Oregon, Washington and South Carolina. The trigger is on a per-occurrence basis. The notes have a three-year term.

Swiss Re Capital Markets served as the sole structuring agent and joint book runner.