Essent Group closes $399.2m mortgage ILS deal

Bermuda-based Essent Group's wholly-owned subsidiary Essent Guaranty has closed a $399.2 million reinsurance transaction and related mortgage insurance-linked notes offering.

The mortgage ILS deal will provide the group with collateralised excess of loss reinsurance coverage on mortgage insurance policies written by Essent in September 2019 through July 2020.

Radnor Re 2020-2, a newly formed Bermuda special purpose insurer (SPI), has funded its reinsurance obligations through the issuance of five classes of mortgage insurance-linked notes, with 10-year legal maturities, to eligible third party capital markets investors in an unregistered private offering.

Radnor Re 2020-2 is not a subsidiary or an affiliate of Essent Group.

The SPI will issue five tranches of notes, including $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.