Residential Reinsurance 2004 Ltd.
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Residential Reinsurance 2004 Ltd. - At a glance:
- Issuer / SPV: 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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