Swiss Re Insurance-Linked Fund Management

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Oaktown Re VI Ltd.

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Oaktown Re VI Ltd. – At a glance:

  • Issuer: Oaktown Re VI Ltd.
  • Cedent / sponsor: National Mortgage Insurance Corporation
  • Placement / structuring agent/s: Unknown
  • Risk modelling / calculation agents etc: Unknown
  • Risks / perils covered: Mortgage insurance risks
  • Size: $367m
  • Trigger type: Indemnity
  • Ratings: Moody's rated (details below)
  • Date of issue: Apr 2021

Oaktown Re VI Ltd. – Full details:

At $367 million, across the five classes of mortgage insurance-linked securities (ILS) being issued, this will be the largest transaction NMI Holdings has sponsored so far.

This is NMI’s sixth visit to the capital markets to source investor backed fully-collateralized mortgage reinsurance protection for its wholly owned subsidiary National Mortgage Insurance Corporation through these Oaktown Re transactions.

NMI has registered Oaktown Re VI Ltd. (OMIR 2021-1) as a newly formed Bermuda special-purpose insurer, established for the issuance of series of notes linked to the performance of its mortgage insurance book.

For this transaction, Oaktown Re VI is issuing five tranches of mortgage insurance-linked notes which will be sold to investors and the proceeds used to collateralize excess of loss mortgage reinsurance agreements between the issuer, Oaktown Re VI Ltd. and the beneficiary of the coverage, NMI’s subsidiary National Mortgage Insurance Corporation.

In total, $367 million of 12.5-year term mortgage insurance-linked notes are on offer from the Oaktown Re VI Ltd. issuance, with this transaction expected to close on or around April 27th 2021.

Details of the five tranches being issued by Oaktown Re VI Ltd., with their pricing in bps above SOFR and provisional ratings from Moody’s are below:

  • $88.5m, Class M-1A, SOFR +165, Assigned Baa2 (sf)
  • $119.5m Class M-1B, SOFR +205, Assigned Baa3 (sf)
  • $70.8m, Class M-1C, SOFR +300, Assigned Ba2 (sf)
  • $66.4m, Class M-2, SOFR +395, Assigned B2 (sf)
  • $22.1m, Class B-1, SOFR +550, Assigned B3 (sf)

Once this new Oaktown Re VI Ltd. issuance is completed, National Mortgage Insurance Corporation will benefit from approximately $367 million of fully collateralized excess of loss mortgage reinsurance protection.

The reinsurance will cover an existing portfolio of mortgage insurance policies underwritten between July 1st 2019 through March 31st 2021, with the pool featuring 141,760 prime, fixed- and adjustable-rate mortgage loans with a total insured loan balance of roughly $46 billion.

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