Eagle Re 2021-1 Ltd.

Radian Guaranty, the US mortgage insurer entity of the Radian Group, has returned to the capital markets in search of collateralised reinsurance with another mortgage insurance-linked securities (ILS) issuance, as it looks to sponsor a nearly $498 million Eagle Re 2021-1 Ltd. transaction.

The mortgage insurer is back for its first slice of capital markets backed and fully collateralised mortgage reinsurance, secured using a catastrophe bond like structure, as it targets issuance of nearly $498 million of notes through Bermuda special purpose insurer Eagle Re 2021-1 Ltd. (EMIR 2021-1), which if successful will be Radian’s fifth mortgage ILS issuance so far.

The latest issuance features a proposed nine tranches, but three of which are exchangeable notes, as one Class M-2 tranche can be exchanged for positions in three sub-classes after the issuance is completed.

In total, across all the tranches, the issuance targets almost $498 million of reinsurance coverage for Radian, with the notes set to be sold to investors, the proceeds used to collateralise reinsurance agreements between Eagle Re 2021-1 Ltd. and Radian Guaranty Inc.

This will be the first Eagle Re mortgage ILS transaction from Radian to have a 12.5-year term, with the notes scheduled for final maturity on October 25th 2033.

This is also the first Eagle Re mortgage ILS deal to use the Secured Overnight Financing Rate (SOFR) for the base for its coupon rates, instead of the previously used Libor.

The Eagle Re 2021-1 Ltd. mortgage ILS transaction is structured as follows, with ratings from DBRS Morningstar and Moody’s:

— $82.96 million Class M-1A (DBRS Morningstar: BBB (sf); Moody’s: A3 (sf))
— $82.96 million Class M-1B (DBRS Morningstar: BBB (low) (sf); Moody’s: Baa1 (sf))
— $165.9 million Class M-1C (Moody’s: Baa3 (sf))
— $110.6 million Class M-2 (Moody’s: Ba3 (sf))
——— $36.9 million Class M-2A (Moody’s: Ba2 (sf))
——— $36.9 million Class M-2B (Moody’s: Ba3 (sf))
——— $36.9 million Class M-2C (Moody’s: B1 (sf))
— $27.7 million Class B-1 (Moody’s: B2 (sf))
— $27.7 million Class B-2 (Moody’s: B3 (sf))

There is another nearly $27.7 million Class B-3 tranche which may be offered after the closing of the first nine tranche issuance, should the sponsor elect to, we understand.