Goldman Sachs is structuring its first catastrophe bond that will securitize Hawaiian hurricane risk. The USD200-400 million CAT bond is being structured for San Antonio, Texas-based insurer USAA and is expected to hit the market next month, according to a CAT bond professional in New York. Kathleen Baum, spokeswoman for Goldman Sachs, declined to comment because the issue is a private placement, and a spokesman at USAA also declined to comment.
"This is the first time we've seen [CAT bods] include Hawaiian hurricane risk. There is a feeling that there is the potential for a large hurricane to hit Hawaii that's why it's been included in the deal. It makes it a little different from the past deals," the professional added. The bond will be the sixth installment of the firm's Residential Re 2000 issue.
In addition to Hawaiian risk, the CAT bond will also securitize hurricane risk in the continental U.S. The single tranche offering will have a three-year maturity and is expected to start pricing around LIBOR plus 300 basis points in early June. The offering will be an indemnity-based deal linked to industry-wide losses or specific losses.
