USAA
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The Class 10 zero-coupon structure notes have been withdrawn.
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The transaction includes a notably high-risk target layer amongst five tranches. -
The carrier typically places an occurrence and an aggregate deal in the ILS market each year.
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Some of the insurer’s bonds were among those modestly marked down after Ida.
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Spreads fell by 11%-33% during the marketing process, with several of the deal’s layers pricing well below revised guidance.
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Projected spreads on the deal range from 300bps at the bottom end of the lowest risk notes to 1000bps at the top of the highest-risk layer.
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Markdowns have wiped more than $220mn off the value of $1.6bn of aggregate cat bonds benefitting major US insurers after the Texas Big Freeze.
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Spreads on two of the three tranches fell below the range first offered to investors
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Subrogation recoveries from 2017-18 Californian wildfire losses drive capital releases.
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Earlier, the carrier added a pandemic exclusion to the annual aggregate bond.
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The spreads on the new deal are set 17 percent higher than a similar 2019 USAA bond.
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Pricing for both tranches of the deal stayed within the midpoint of the initial target range
