Liberty Mutual Sponsored Mystic Re IV Ltd. (Series 2025-1) Notes

On December 23, 2024, Liberty Mutual sponsored a 144A Cat Bond through Mystic Re IV Ltd.

• The 2025-1 Notes represent the fifth 144A Cat Bond issuance under the Mystic Re IV Ltd. program and the tenth 144A Cat Bond issuance from Liberty Mutual
• The Class A notes priced at 4.00%, ~16% below the mid-point of initial price guidance
• The Class B notes priced at 10.25%, ~10% below the mid-point of initial price guidance
• The Class C notes priced at 14.00%, at the midpoint of initial guidance
• The investor spread tightened by 100 bps (Class A), 175 bps (Class B), and 50 bps (Class C) from the wide end of initial price guidance

The 2025-1 Notes received strong investor support; upsizing from the original target of ≤$225mm to $325mm

• Class A notes final size: $125mm
• Class B notes final size: $100mm
• Class C notes were initially unsized and had a final notional amount of $100mm

The Class A and Class B notes offer per occurrence, indemnity-based coverage for named storm and earthquake risks across the U.S., Canada and the Caribbean

The Class C notes offer annual aggregate, indemnity-based coverage for named storm, earthquake, severe weather and fire risks across the U.S., Canada and the Caribbean

The issuance consisted of Class A, Class B and Class C notes of differing risk profiles

• Class A Expected loss (AIR; WSST): 1.52%
• Class B Expected loss (AIR; WSST): 5.83%
• Class C Expected loss (AIR; WSST): 4.54%

Howden Capital Markets & Advisory (“HCMA”) acted as Joint Structuring Agent, Joint Bookrunner and Joint Initial Purchaser

• Advised on strategy and of placement in parallel with Liberty Mutual’s traditional reinsurance placement
• Development of disclosure for Liberty Mutual’s historical losses and trending methodologies
• Identified a variety of institutional investors interested in supporting Liberty Mutual through this transaction
• Key transaction steps led by HCMA include, but are not limited to:
  • Provided valuable advice on selecting and structuring the subject portfolio
  • Finalized the investor presentation, risk analysis results, and offering documents
  • Selected, introduced, and arranged meetings with key participating investors for an Investor Roadshow
  • Offered key insight around key transaction terms and conditions