Liberty Mutual seeks $250m Mystic Re IV 2024-1 industry loss cat bond

Insurance giant Liberty Mutual is back in the catastrophe bond market seeking a $250 million or greater source of industry loss triggered catastrophe reinsurance from the capital markets through a Mystic Re IV Ltd. (Series 2024-1) issuance.

This will be the ninth catastrophe bond in the Mystic Re series that Liberty Mutual has sponsored 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 sources catastrophe reinsurance and retrocessional protection to cover its peak peril exposures from capital market investors.

The firm’s last two cat bonds were both indemnity based, but this deal sees the company returning to use a weighted industry loss trigger to provide the protection it needs.

View details of every catastrophe bond sponsored by Liberty Mutual in our Deal Directory, where you can filter the results by trigger type and other features.

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 2023-1 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%.

We are told that if pricing is conducive, Liberty Mutual has ample room to upsize this new Mystic Re IV 2024-1 cat bond, should it choose to.

You can read all about this Mystic Re IV Ltd. (Series 2024-1) catastrophe bond from Liberty Mutual and every other cat bond issued in the Artemis Deal Directory.