Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Residential Reinsurance 2009 Ltd.

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Residential Reinsurance 2009 Ltd. – At a glance:

  • Issuer: Residential Reinsurance 2009 Ltd.
  • Cedent / sponsor: USAA
  • Placement / structuring agent/s: Goldman Sachs, BNP Paribas and Aon Benfield assisted with the deal.
  • 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: $250m
  • Trigger type: Indemnity
  • Ratings: S&P: Class A - 'BB-', Class B - 'B-', Class C - 'BB-'
  • Date of issue: May 2009
  • news coverage: Articles discussing Residential Reinsurance 2009 Ltd. from

Residential Reinsurance 2009 Ltd. – Full details:

This latest deal from from USAA, the 13th in the Residential Re series, totals $250m split into three tranches (1st at $70m, 2nd at $60m and 3rd at $120m) and is designed to provide them with three years of cover. The deal is expected to complete on the 28th May 2009.

The transaction will only be triggered for events which have a minimum loss of $35m to USAA. Perils covered by this deal are U.S. hurricanes, earthquakes, severe thunderstorms, winter storms and also wildfires in California.

The agreement will only cover losses with respect to homeowners, dwelling, condominium owners, and renters policies, together with a factor applied to account for pleasure boat and inland marine floater policies.

This deal will not employ a total return swap counterparty and instead will have it’s collateral invested in low risk and highly rated money market funds. This is a similar arrangement to the recent Blue Fin Ltd deal from Allianz which shunned having a counterparty and in it’s place used highly rated debt. This is a further sign that even those who access the capital markets on a regular basis are having to change their practices in order to keep investors happy and make certain deals make it to the market.

Standard & Poor’s have rated the three tranches ‘BB-’, ‘B-’ and ‘BB-’ respectively.

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