Catastrophe Bond Mystic Re II Winds Down

Chris Westfall
Chris Westfall

Liberty Mutual-sponsored catastrophe bond Mystic Re II gave its notice Tuesday that the $225 million vehicle had matured and would be canceled, according to the Cayman Islands Stock Exchange.

The cancellation took effect on May 28 on the Series 2009 insurance-linked notes, the filing says.

Mystic II was issued in February of 2009 and covered Liberty Mutual from U.S. hurricane and earthquake (including fire following) and was rated ‘BB’ rating by Standard & Poor’s. The bond was modeled by AIR Worldwide.

Mystic Re II index trigger was based on an insured industry loss level of $50 billion and exhaustion point is $55 billion.

Liberty Mutual’s $275 million successor catastrophe bond – Mystic Re III – took a sharp turn from its predecessor by moving to an indemnity trigger based on the ultimate net losses of the ceding insurer. Mystic Re III was issued in January.

Mystic Re’s Class A cover 30.03% of losses in excess of $2.1 billion up to $2.433 billion, according to S&P, which rated the notes “BB”. The class B notes over 21.875% of losses in excess of $1.3 billion up to $2.100 billion and were rated “B” by S&P.

AIR acted as modeler on Mystic Re III while Aon Benfield Securities and Swiss Re acted as joint book runners.