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The bond went on watch after Mercury said it would exceed its $150mn retention. -
Both the Class A and Class B notes increased in size.
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The latest issuance will add extra cat bond limit, with a $100mn note still on risk.
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Secondary market pricing indicated anticipated California wildfire losses.
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The reinsurer has issued updated pricing for the instrument.
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Two 2021 worldwide aggregate ILW notes are also among the markdowns.
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The bond is split into five tranches, with two notes offered on a zero-coupon basis.
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The bond is likely replacing the 2021-1 Class F bond, which matured in December.
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This comes after the firm’s distribution partner GAM has had a challenging few years.
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ILS managers expect the losses to have some impact on future cat bond spreads.
