Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Home Re 2020-1 Ltd.

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Home Re 2020-1 Ltd. – At a glance:

  • Issuer: Home Re 2020-1 Ltd.
  • Cedent / sponsor: MGIC Investment Corporation
  • Placement / structuring agent/s: Unknown
  • Risk modelling / calculation agents etc: Unknown
  • Risks / perils covered: Mortgage insurance risks
  • Size: $413m
  • Trigger type: Indemnity
  • Ratings: Moody's rated
  • Date of issue: Oct 2020

Home Re 2020-1 Ltd. – Full details:

This is the third mortgage insurance-linked notes (ILN) transaction from MGIC Investment Corporation.

The company registered a new Bermuda-based special purpose insurer (SPI), Home Re 2020-1 Ltd. (HMIR 2020-1) for this issuance of a targeted almost $413 million of mortgage insurance linked notes.

The transaction was successfully placed, securing MGIC the targeted collateralized mortgage reinsurance protection.

The Home Re 2020-1 mortgage insurance-linked securities (ILS) issuance was split into the following tranches, along with their Moody’s ratings:

$123.9m – M-1A, Definitive Rating Assigned Baa2 (sf)

$123.9m – M-1B, Definitive Rating Assigned Baa3 (sf)

$73.4m – M-1C, Definitive Rating Assigned Ba2 (sf)

$68.8m – M-2, Definitive Rating Assigned B1 (sf)

$22.9m – B-1, Definitive Rating Assigned B2 (sf)

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