More details are emerging on the Mystic Re III cat bond issue from Liberty Mutual. I say Mystic Re III, and all news sources are reporting the name as such, however Standard & Poor’s have called it Mystic Re II in their reports. So some confusion reigns over what this deal is names, however clarity is emerging about the details of the transaction.
S&P have given the notes an initial rating of ‘BB’. The $200m of 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 incurred from U.S. hurricanes and earthquakes (earthquake includes fire following). Hurricane and earthquake both include business interruption however flood is not modelled. The risk modelling for the deal comes from AIR Worldwide who used their 2008 U.S. hurricane and earthquake models. These models will be used for the annual reset.
Goldman Sachs has been named as total-return swap counterparty for the deal. Further details on the transaction structure have been added to the Artemis Deal Directory. If anyone can shed any light on the name of this deal and the associated special purpose vehicle please comment.