Mystic Re IV Ltd. (Series 2024-1)

This is the first catastrophe bond to be sponsored by global re/insurer Liberty Mutual in 2023, as it targets an expansion of its capital markets backed and fully collateralized multi-peril reinsurance protection from 2024 onwards.

This will be the ninth catastrophe bond in the Mystic series from Liberty Mutual and the first to feature an industry loss index trigger since its December 2020 Mystic Re IV 2021-1 cat bond issuance.

Over the years, Liberty Mutual has used both industry loss and indemnity triggers, as it seeks catastrophe reinsurance and retrocessional protection to cover its peak peril exposures.

Using its Bermuda-based special purpose insurer (SPI) Mystic Re IV Ltd., we’re told that Liberty Mutual is sponsoring the issuance of a single tranche of Series 2024-1 Class A notes, that are designed to provide the company with at least $250 million in collateralized reinsurance protection on a per-occurrence and weighted industry loss trigger basis.

The notes will provide coverage to Liberty Mutual and all its affiliates including its syndicate at Lloyd’s across a three calendar year term, from January 1st 2024, we’re told.

The Mystic Re IV 2024-1 cat bond will provide Liberty Mutual with reinsurance against losses from named storms and earthquakes affecting parts of the US, Canada and the Caribbean, we understand.

We’re told that the named storm coverage is for the United States, DC, Puerto Rico and Virgin Islands, while the earthquake cover is also for Canada.

The $250 million of Series 2024-1 Class A notes will come with an initial attachment probability of 7.21%, an initial modelled expected loss of 5.03% and we’re told they have price guidance in a range from 12.25% to 13%.

Update 1:

The target size for this Mystic Re IV 2024-1 cat bond issuance has now been increased to $300 million, while the spread guidance has dropped to a narrowed range of 12% to 12.25%.

Update 2:

We understand that the Mystic Re IV 2024-1 cat bond deal has now been priced and will provide Liberty Mutual with the upsized $300 million of protection, while the notes were fixed to pay a spread of 12%, which is below the initial price guidance range.