Swiss Re Insurance-Linked Fund Management

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Mystic Re II Ltd. (Series 2009-1)

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Mystic Re II Ltd. (Series 2009-1) – At a glance:

  • Issuer: Mystic Re II Ltd. (Series 2009-1)
  • Cedent / sponsor: Liberty Mutual
  • Placement / structuring agent/s: Goldman Sachs and Swiss Re are assisting in structuring and marketing the deal. Goldman Sachs are acting as total-return swap counterparty
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S. hurricane, U.S. earthquake
  • Size: $225m
  • Trigger type: Industry loss index
  • Ratings: S&P: 'BB'
  • Date of issue: Mar 2009
  • news coverage: Articles discussing Mystic Re II Ltd. (Series 2009-1) from

Mystic Re II Ltd. (Series 2009-1) – Full details:

The third deal in the Mystic Re series from Liberty Mutual.

Expected to provide Liberty Mutual with three years of protection against U.S. hurricanes and earthquakes, this deal is still being marketed but details will be added as they emerge. Standard & Poor’s have rated the notes ‘BB’.

Risk modelling is based on the 2008 AIR Worldwide U.S. hurricane and earthquake models. These models will be used for the annual reset.

The Series 2009-1 notes will cover losses in excess of a weighted insured industry loss trigger level of $50 billion, based on state level figures from PCS for personal lines, commercial line and auto lines losses. Earthquake includes fire following. Hurricane and earthquake both include business interruption. Although flood is not modeled.

The collateral account will contain government backed funds such as U.S. Treasury securities and non-mortgage backed senior debt and utilises assets with a similar duration to the cat bond deal. The value of the assets in the collateral account will be assessed daily and reported on regularly to give visibility to investors.

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