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.
———————————————————————
View all of our Artemis Live video interviews and subscribe to our podcast.
All of our Artemis Live insurance-linked securities (ILS), catastrophe bonds and reinsurance video content and video interviews can be accessed online.
Our Artemis Live podcast can be subscribed to using the typical podcast services providers, including Apple, Google, Spotify and more.
