Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Residential Reinsurance 2011 Ltd. Series 2011-2 catastrophe bond being issued for USAA


USAA are again returning to the catastrophe bond market for what we believe will be their 17th cat bond issuance to date (details of every transaction can be found in our Deal Directory). This deal has been in the market for a few weeks but it’s another privately placed and unrated transaction (something USAA have tended to do every so often), which means that details are somewhat limited.

USAA are issuing two new tranches of notes through their Cayman Islands domiciled SPV Residential Reinsurance 2011 Ltd. This Series 2011-2 issuance see’s USAA looking for another $150m of cover for certain of their U.S. perils including hurricanes, earthquakes, winter storms, severe thunderstorms and wildfires on an indemnity trigger basis.

The cat bond is scheduled to run for just over four years with maturity expected to be on the 6th December 2015. The deal can be extended beyond that for loss development and reporting.

Although private, this deal is a 144A compliant cat bond, thus enabling transfer in the secondary market.

The deal is split into two tranches of notes, $100m of Class 1 notes which are expected to pay 8.9% plus quarterly U.S. treasury rates and $50m of Class 2 notes which are expected to pay 13.25% plus quarterly U.S. treasury rates.

We believe this deal is still being marketed so there is a chance that the size of the transaction could change. We’ve added Residential Re 2011 Series 2011-2 to our Deal Directory and will update you if any further details on the structure come to light.

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