Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Residential Re 2010’s new series of notes said to be $200m


More details about the new series of catastrophe bond notes being issued under USAA’s Residential Reinsurance 2010 program are beginning to come to light. As we wrote the other day, USAA is seeking to secure further cat bond cover through the issuance of a Series 2010-II additional layer of cover.

Reuters are reporting that investors have said the new series of notes are split into three classes of risk. $100m of Class 1 notes which have a guide price of 575-600 basis points above U.S. money market fund yields, $50m of Class 2 notes priced 750-825 basis points and $40m of Class 3 notes priced 100-1200 basis points. So that’s an additional layer of $200m on top of the $405m they issued earlier this year under Residential Re 2010. The pricing guide seems fairly low echoing the pricing of other recent cat bonds which have come to market more cheaply than deals did in the first half of this year. That makes this a great opportunity for USAA to secure this extra cover at a reasonable price.

There is a possibility that USAA may take advantage of investor demand to upsize this deal further if the opportunity arises.

Only the Class 1 notes have been rated ‘BB’ as we reported the other day. The other two tranches of this new series have not been submitted for rating we assume.

We’ll bring you further updates as this deal comes to market and full details are in our catastrophe bond deal directory.

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