Eagle Re 2023-1 Ltd. – Full details:
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, Eagle Re 2023-1 Ltd. (EMIR 2023-1), it’s first since November 2021.
As with all mortgage ILS, these transactions utilise the catastrophe bond structure to source capital market investor capital to fund some of the excess-of-loss mortgage reinsurance needs of major US mortgage insurers.
Radian was originally seeking just slightly over $300 million of collateralized mortgage reinsurance with its latest Eagle Re insurance-linked notes sponsorship, but strong investor demand helped the deal to upsize before pricing, to approximately $353 million, Artemis has learned.
We understand the coverage is across four layers of notes that will float above SOFR.
Eagle Re 2023-1 Ltd. funded its reinsurance obligations under the transaction, via the issuance of classes of mortgage insurance-linked notes, each with 10-year legal maturities, to eligible third party capital markets investors in an unregistered private offering.
The transaction is split as follows, along with each tranches DBRS Morningstar ratings:
- $110.34 million Class M-1A at BBB (low) (sf)
- $145.64 million Class M-1B at BB (sf)
- $48.548 million Class M-1B-1 at BB (high) (sf)
- $48.548 million Class M-1B-2 at BB (high) (sf)
- $48.548 million Class M-1B-3 at BB (sf)
- $75.03 million Class M-2 at B (high) (sf)
- $22.07 million Class B-1 at B (sf)
The structure of the Eagle Re 2023-1 mortgage ILS issuance sees the M-1B notes split into three sub tranches with different levels of credit enhancement, providing more optionality for investors, we understand.
This is the seventh rated mortgage insurance-linked notes issuance under an Eagle Re vehicle for Radian.
In rating these new 2023-1 notes, DBRS Morningstar explained, “The Notes are backed by reinsurance premiums, eligible investments, and related account investment earnings, in each case relating to a pool of MI policies linked to residential loans. The Notes are exposed to the risk arising from losses the Ceding Insurer pays to settle claims on the underlying MI policies. As of the Cut-off Date, the pool of insured mortgage loans consists of 131,258 fully amortizing first-lien fixed- and variable-rate mortgages. They all have been underwritten to a full documentation standard, have original loan-to-value ratios (LTVs) less than or equal to 97%, have never been reported to the Ceding Insurer as 60 or more days delinquent, and have never been reported to be in a payment forbearance plan as of the Cut-off Date. The mortgage loans have MI policies activated on or after April 2022 and on or before December 2022.”
The details of the final coupons for each tranche of notes can be seen below:
View all of our Artemis Live video interviews and subscribe to our podcast.
All of our Artemis Live insurance-linked securities (ILS), catastrophe bonds and reinsurance video content and video interviews can be accessed online.
Our Artemis Live podcast can be subscribed to using the typical podcast services providers, including Apple, Google, Spotify and more.
- $110,337,000 Class M-1A Notes with a coupon equal to one-month SOFR plus 200 basis points
- $145,644,000 Class M-1B Notes with a coupon equal to one-month SOFR plus 395 basis points
- $75,029,000 Class M-2 Notes with a coupon equal to one-month SOFR plus 520 basis points
- $22,067,000 Class B-1 Notes with a coupon equal to one-month SOFR plus 685 basis points
