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Having come to market with one unsized tranche of notes, Liberty Mutual’s new Mystic Re IV Ltd. (Series 2025-1) catastrophe bond issuance has now been fully-sized, with a target set for $325 million of indemnity reinsurance on both an occurrence and aggregate basis, Artemis understands.
At the same time, the price guidance has been reduced to the low-end of the marketed ranges across the two occurrence tranches of notes, while the annual aggregate tranche of notes has had the spread fixed at the mid-point.
Liberty Mutual Insurance returned in November with an initial target to secure at least $225 million of indemnity based catastrophe reinsurance protection from the capital markets through this Mystic Re IV 2025-1 cat bond deal.
At that time, just two tranches of per-occurrence notes had size guidance while market appetite for the annual aggregate layer was assessed, it seemed.
Now, a size has been given to the annual aggregate tranche of notes as well, taking the total offering to $325 million, sources said.
This will be the tenth cat bond in the Mystic Re series from the company that we have analysed and listed in our Deal Directory.
Mystic Re IV Ltd. is aiming to issue three tranches of Series 2025-1 notes to provide Liberty Mutual with now a targeted $325 million in multi-peril collateralized reinsurance protection on both a per-occurrence and annual aggregate indemnity trigger basis, across a three calendar year term, from January 1st 2025.
This Mystic Re IV 2025-1 cat bond is designed to provide Liberty Mutual with reinsurance for losses from named storms and earthquakes on an indemnity basis across the first two tranches of notes, and those perils plus severe weather and wildfires from the third annual aggregate tranche of notes, with losses affecting parts of the US, Canada and the Caribbean covered by all three tranches of notes.
There has been no change in size to the occurrence tranches of notes, we understand, but their pricing guidance has fallen.
The still $125 million tranche of Class A notes will provide indemnity per-occurrence reinsurance, have an initial expected loss of 1.41%, and were first offered with spread price guidance in a range from 4.5% to 5%, but that has now been lowered to an updated range of between 4% and 4.5%, we are told.
The still $100 million Class B tranche will also provide indemnity per-occurrence reinsurance cover, but have an initial expected loss of 5.16%, and were first offered with spread price guidance in a range from 11% to 11.75%, that has now also been lowered to a revised range of 10.5% to 11%.
The final Class C tranche of notes are now sized to provide Liberty Mutual with $100 million of indemnity annual aggregate reinsurance protection. They have an initial expected loss of 4.06%, and were first offered with spread price guidance in a range from 13.5% to 14.5%, but we’re now told the spread has been fixed at 14% for this aggregate layer.
As we said before, we believe this could be the first aggregate cat bond tranche to have been sponsored by Liberty Mutual.
This speaks to the ability of the cat bond market to service the aggregate reinsurance protection needs of major insurers, if the structure and terms are right.
As we explained recently, there is some evidence that investor appetite for aggregate notes has increased somewhat, albeit only on appropriate terms.
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.
You can read all about this Mystic Re IV Ltd. (Series 2025-1) catastrophe bond from Liberty Mutual and every other cat bond issued in the Artemis Deal Directory.
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