Swiss Re Insurance-Linked Fund Management

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Eagle Re 2020-2 Ltd.

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Eagle Re 2020-2 Ltd. – At a glance:

  • Issuer: Eagle Re 2020-2 Ltd.
  • Cedent / sponsor: Radian Guaranty
  • Placement / structuring agent/s: Unknown
  • Risk modelling / calculation agents etc: Unknown
  • Risks / perils covered: Mortgage insurance risks
  • Size: $390.3m
  • Trigger type: Indemnity
  • Ratings: DBRS Morningstar & Moody's rated (details below)
  • Date of issue: Oct 2020

Eagle Re 2020-2 Ltd. – Full details:

This Eagle Re 2020-2 Ltd. transaction is U.S. mortgage insurer Radian Guaranty’s fourth mortgage insurance-linked securities (ILS) transaction and its first in the COVID-19 era.

In this latest mortgage ILS deal from Radian, the pool of subject mortgages are 100% current, with zero in default, delinquency or forbearance as of the cut off date of August 31st 2020.

That’s important, as capital markets investors had been spooked by first the volatility created by the pandemic and then the escalating delinquency rates on mortgage loans, which had at one point locked up the mortgage ILS market completely.

Coming back with transactions featuring higher-quality portfolios of risk, has enabled sponsors to reopen the market and regain the confidence of the third-party investors funding their reinsurance through these issuances of mortgage insurance linked notes (ILN).

For this latest mortgage ILS deal, Radian has established a new Bermuda domiciled special purpose insurer (SPI) called Eagle Re 2020-2 Ltd.

Eagle Re 2020-2 will seek to issue 8 tranches of mortgage insurance-linked notes, that will be sold to capital market investors and the proceeds used to collateralise and fund underlying excess of loss reinsurance agreements between the SPI and Radian Guaranty.

Each tranche of notes corresponds to different levels of risk within the subject mortgage insurance portfolio, providing Radian with layered reinsurance that would attach as delinquencies or defaults moved through its tower.

The targeted just under $390.3 million of reinsurance coverage breaks down across tranches of mortgage ILS notes as follows, each with their corresponding preliminary rating from DBRS Morningstar / Moody’s:

— $130.1 million Class M-1A at BB (high) (sf) / Baa3 (sf)
— $65.1 million Class M-1B at BB (sf) / Ba1 (sf)
— $65.1 million Class M-1C at BB (low) (sf) / Ba2 (sf)
— $97.6 million Class M-2 at B (sf) / Ba3 (sf)
——— $32.5 million Class M-2A at B (high) (sf) / Ba2 (sf)
——— $32.5 million Class M-2B at B (high) (sf) / Ba3 (sf)
——— $32.5 million Class M-2C at B (sf) / B1 (sf)
— $32.5 million Class B-1 at B (sf) / B1 (sf)

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