Residential Reinsurance 2004 Ltd.

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Residential Reinsurance 2004 Ltd. – At a glance:

  • Issuer: Residential Reinsurance 2004 Ltd.
  • Cedent / sponsor: USAA
  • Placement / structuring agent/s: Goldman Sachs is lead manager and bookrunner. BNP Paribas is acted as co-manager.
  • Risk modelling / calculation agents etc: AIR Worldwide
  • Risks / perils covered: U.S. hurricane, U.S. earthquake
  • Size: $227.5m
  • Trigger type: Indemnity
  • Ratings: S&P: Class A - 'BB', Class B - 'B'
  • Date of issue: May 2004

Residential Reinsurance 2004 Ltd. – Full details:

This three year deal comprises two tranches. The first a $127.5m Class A tranche with expected loss of 1.21%, the second a $100m Class B tranche with an expected loss of 3.16%.

This deal protects USAA from both hurricane and earthquake risks. It uses an indemnity trigger, meaning that coverage of the bond matches losses on USAA’s portfolio if triggered.

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