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.