Residential Reinsurance 2011 Ltd. (Series 2011-2)

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Residential Reinsurance 2011 Ltd. (Series 2011-2) - At a glance:

  • Issuer / SPV: Residential Reinsurance 2011 Ltd. (Series 2011-2)
  • Cedent / Sponsor: USAA
  • Placement / structuring agent/s: ?
  • Risk modelling / calculation agents etc: ?
  • Risks / Perils covered: U.S. hurricane, U.S. earthquake, U.S. severe thunderstorm, U.S. winter storm, U.S. wildfire
  • Size: $150m
  • Trigger type: Indemnity
  • Ratings: NR
  • Date of issue: Nov 2011
  • Artemis.bm news coverage: Articles discussing Residential Reinsurance 2011 Ltd. (Series 2011-2) from Artemis.bm

Residential Reinsurance 2011 Ltd. (Series 2011-2) - Full details

Details on this transaction are scarce given the privately placed nature of the cat bond.

This is USAA’s 17th catastrophe bond issuance that we are aware of. You can read details of every USAA cat bond in our Deal Directory.

USAA are seeking further cat bond cover through their Residential Reinsurance 2011 Ltd. Caymans Islands SPV. This Series 2011-2 issuance will provide USAA with cover for U.S. hurricane, U.S. earthquakes (and fire following), U.S. severe thunderstorms, U.S. winter storms and Californian wildfire risks on an indemnity basis

Scheduled to run for just over four years with maturity slated for 6th December 2015. The notes can be extended beyond that date for loss development and reporting.

Although private, this deal is 144A compliant.

Residential Re 2011 issued two tranches of Series 2011-2 notes. $100m Class 1 notes which pay 8.9% over quarterly U.S. treasury rates and $50m Class 2 notes which pay 13.25% over quarterly U.S. treasury rates.

This deal was not rated.

Update (19th July 2012): Two severe thunderstorm events have caused qualifying UNL losses under the terms of the Residential Re 2011-1 and 2012-1 cat bonds. The two catastrophe events which have qualified under the terms of the deals are Catastrophe Series 77 and 78, two severe thunderstorm events (so including damage from tornadoes and hail we believe). These events have resulted in ultimate net losses of $95m and $45m respectively to USAA.

We don’t know if these events have affected this 2011-2 issuance but it is a possibility so worth noting.

Update (24th October 2012):

S&P have upgraded the rating on the two rated cat bonds Residential Re 2011-1 and 2012-1 again as the loss estimates had been reduced. Again, we’re unsure if that affects this transaction but it is worth being aware of.

Update (16th November 2012):

USAA released a loss estimate from hurricane Sandy (Catastrophe Series 90) which means the aggregate protection will be eroded further on the aggregate tranche of these notes, although as they are unrated we haven’t heard anything official on that.




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