Essent reopens mortgage ILS market with $238m Radnor Re 2022-1

Mortgage insurer Essent Guaranty, a wholly owned subsidiary of Essent Group Ltd., has completed its latest insurance-linked securities (ILS) placement, securing $237.9 million of fully collateralised excess of loss reinsurance via Bermuda-based special purpose insurer (SPI), Radnor Re 2022-1 Ltd.

As we wrote earlier in September, Essent Guaranty’s return to the mortgage ILS, or mortgage insurance-linked notes market followed a quiet period for the sector, and is the first deal issued since April.

The target had originally been higher, at roughly $304 million, but the end-result is that three of the four layers covered by tranches of notes were only 70% funded.

The mortgage focused insurer has obtained almost $238 million of reinsurance coverage on mortgage insurance policies written in October 2021 through July 2022 from Radnor Re 2022-1 Ltd.

The SPI funded its reinsurance obligations via the issuance of four tranches of mortgage ILS notes, each with 10-year legal maturities, to eligible third-party investors in the capital markets through an unregistered private offering.

The four tranches of notes issued by Radnor Re 2022-1 Ltd. consist of the following:

$84.1 million Class M-1A notes with an initial interest rate of SOFR Rate plus 375 basis points (100% funded)
$88.3 million Class M-1B Notes with an initial interest rate of SOFR Rate plus 675 basis points (70% funded)
$49.1 million Class M-2 Notes with an initial interest rate of SOFR Rate plus 850 basis points (70% funded)
$16.4 million Class B-1 Notes with an initial interest rate of SOFR Rate plus 1050 basis points (70% funded)

This latest issuance is the eighth from Essent under its Radnor Re program, taking the total volume of all transactions brought to market by the firm to approximately $3.4 billion.

2021 was a record year for the mortgage ILS space, with 14 transactions bringing a combined $6.3 billion of mortgage risk to market.

When compared with recent years, issuance of mortgage deals has been slow in 2022, with just three deals seen so far, amounting to $994 million of mortgage insurance risk.

Read all about this Radnor Re 2022-1 Ltd. mortgage insurance ILS transaction from Essent Guaranty in the Artemis Deal Directory.