Swiss Re Insurance-Linked Fund Management

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Radnor Re 2022-1 Ltd.

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Radnor Re 2022-1 Ltd. – At a glance:

  • Issuer: Radnor Re 2022-1 Ltd.
  • Cedent / sponsor: Essent Guaranty
  • Placement / structuring agent/s: Unknown
  • Risk modelling / calculation agents etc: Unknown
  • Risks / perils covered: Mortgage insurance risks
  • Size: $238m
  • Trigger type: Indemnity
  • Ratings: DBRS Morningstar & Moody's rated (details below)
  • Date of issue: Sep 2022

Radnor Re 2022-1 Ltd. – Full details:

This $304 million Radnor Re 2022-1 Ltd. (RMIR 2022-1) issuance for Essent Guaranty is the first mortgage insurance linked securities (ILS) transaction since April 2022.

Essent Guaranty has returned to reopen the mortgage insurance-linked securities (ILS) marketplace after a hiatus with no deals for a few months, bringing its first of the year.

The market for mortgage ILS, or mortgage insurance-linked notes as they are often termed, has been particularly slow through 2022.

Just two transactions have been completed so far this year, after the financial market volatility of 2022 layered uncertainty across capital markets and dented investor appetite.

As ever, this is structured like a catastrophe bond, using a Bermuda based special purpose insurer, in this case Radnor Re 2022-1 Ltd.

Radnor Re 2022-1 Ltd. (RMIR 2022-1) will issue four tranches of notes that will be sold to capital market investors, with the proceeds used to collateralize excess-of-loss reinsurance agreements between the vehicle and sponsor Essent.

The notes can be triggered by a rise in mortgage insurance claims, so are exposed to credit risk but the securities issued are still a pure insurance-linked asset.

If successful and the layers are fully-covered, the sale of the four tranches of notes issued by Radnor Re 2022-1 will secure Essent as much as nearly $304 million of fully-collateralized and capital market investor backed excess-of-loss mortgage reinsurance protection.

This new mortgage ILS deal from Essent consists of:

  • $84.1 million Class M-1A (DBRS Morningstar rated BBB (low) (sf); Moody’s rated Ba2 (sf)).
  • $126.2 million Class M-1B (DBRS Morningstar rated BB (high) (sf); Moody’s rated B1 (sf)).
  • $70.1 million Class M-2 (DBRS Morningstar rated BB (low) (sf)).
  • $23.4 million Class B-1 (DBRS Morningstar rated B (high) (sf))

The notes issued will have a 10-year term and will cover the insurance risk over a pool of insured mortgage loans consisting of 151,740 fully amortizing first-lien fixed- and variable-rate mortgages.

Update 1:

On issuance the layers were not fully-funded, resulting in a smaller transaction than anticipated, with just under $238 million of notes issued by Radnor Re 2022-1 Ltd.

The issuance broke down as:

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  • $84.1 million Class M-1A (100% funded)
  • $88.3 million Class M-1B (70% funded)
  • $49.1 million Class M-2 (70% funded)
  • $16.4 million Class B-1 (70% funded)
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