Liberty Mutual's Mystic Re III (STORM 13 February 2012) has closed providing US multi-peril cover totalling US$275m. The two tranche deal is based on the ultimate net losses of the ceding insurer from US hurricanes and earthquakes, including fire following, on a per-occurrence basis.

Mystic Re III's US$100m series 2012-1 class A notes priced at 900bp over Treasury money market funds and the US$175m class Bs at 1200bp over. S&P has rated the notes double-B and single-B respectively.

The class A notes will cover a 30.03% of losses in excess of US$2.1bn up to US$2.433bn. The class B notes will cover 21.875%of losses in excess of US$1.3bn up to US$2.1bn.

The covered area for hurricane is the following US states: Alabama, Arkansas, Connecticut, Delaware, Florida, Georgia, Hawaii, Illinois, Indiana, Kentucky, Louisiana, Maine, Maryland, Massachusetts, Mississippi, Missouri, New Hampshire, New Jersey, New York, North Carolina, Ohio, Oklahoma, Pennsylvania, Rhode Island, South Carolina, Tennessee, Texas, Vermont, Virginia, West Virginia, and the District of Columbia. The covered area for earthquake is all 50 states and the District of Columbia, though the class A notes do not cover losses in California from earthquakes.

There will be two annual resets effective 1 January 2013, and 1 January 2014. These will be based on the cedents' exposures as of 1 July 2012 and 1 July 2013, respectively. On each reset date, the attachment points for each class of notes will be reset to keep the probability of attachment and expected loss at 1.51% and 1.38% for the class A notes and 3.01% and 2.17% for the class B notes, provided that the updated exhaustion level for the class B notes is equal to the updated attachment point for the class A notes.