Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Radnor Re 2020-2 Ltd.

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Radnor Re 2020-2 Ltd. – At a glance:

  • Issuer: Radnor Re 2020-2 Ltd.
  • Cedent / sponsor: Essent Guaranty
  • Placement / structuring agent/s: ?
  • Risk modelling / calculation agents etc: ?
  • Risks / perils covered: Mortgage insurance risks
  • Size: $399.2m
  • Trigger type: Indemnity
  • Ratings: ?
  • Date of issue: Oct 2020

Radnor Re 2020-2 Ltd. – Full details:

This is Essent Guaranty’s fifth mortgage insurance-linked securities (ILS) transaction and its second of 2020.

With this new Radnor Re 2020-2 Ltd. transaction, Essent Guaranty has expanded its capital markets backed sources of excess-of-loss mortgage reinsurance protection with a further $399.2 million of collateralized limit.

A new Bermuda domiciled special purpose insurance company (SPI) has been registered for the purposes of this mortgage ILS issuance, Radnor Re 2020-2 Ltd.

The SPI has issued five tranches of mortgage ILS notes that have been sold to investors, with the proceeds used to collateralize underlying excess of loss mortgage reinsurance agreements between Radnor Re 2020-2 Ltd. and the sponsor Essent Guaranty.

Each class of mortgage insurance-linked notes have 10-year legal maturities and have been sold to eligible third party capital markets investors in an unregistered private offering.

The $399.2 million mortgage ILS deal consists of the following five classes:

  • $79,832,000 Class M-1A Notes with an initial interest rate of one-month LIBOR plus 315 basis points;
  • $93,137,000 Class M-1B Notes with an initial interest rate of one-month LIBOR plus 400 basis points;
  • $93,137,000 Class M-1C Notes with an initial interest rate of one-month LIBOR plus 460 basis points;
  • $99,790,000 Class M-2 Notes with an initial interest rate of one-month LIBOR plus 560 basis points;
  • $33,263,000 Class B-1 Notes with an initial interest rate of one-month LIBOR plus 760 basis points;

We’d imagine these likely sit a little further along the risk curve than previous mortgage ILS from Essent, as the insurer had reported elevated mortgage delinquencies that had triggered some of its outstanding mortgage ILS notes.

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