Credit risk

Credit risk transfer transaction: November 2021

MTHUNDERSTORM IASSURANCE-THEINKNOTTAKES AWAY RINSURANCE TRANACTION

RINSURANCE PROVIDE BYes:

RADNOR RE 2021 – 2 LTD.

This presentation may include “forward-looking statements” which are subject to known and unknown risks and uncertainties, many of which may be beyond our control. Forward-looking statements can generally be identified by the use of forward-looking terms such as “may”, “will”, “should”, “expect”, “plan”, “anticipate”, “believe”, “estimate” , “Predict” or “potential” or its negative or its variations or similar terminology. Actual events, results and outcomes may differ materially from our expectations due to various known and unknown risks, uncertainties and other factors. While it is not possible to identify all of these risks and factors, they include, but are not limited to, the following: changes in or relating to Fannie Mae and Freddie Mac (the “GSE”), whether by through federal legislation, restructuring or changing business practices; non-compliance with the eligibility conditions for GSE mortgage insurers; competition for customers; lenders or investors looking for alternatives to private mortgage insurance; an increase in the number of loans insured by federal mortgage insurance programs, including those offered by the Federal Housing Administration; decline in the value of new insurance written and deductibles due to the loss of a major customer; lower volume of low-down mortgage origination; the definition of “qualifying mortgage loan” reducing the size of the mortgage market or creating incentives to use government mortgage insurance programs; the definition of “qualifying residential mortgage” reducing the number of low-down payments or lenders and investors seeking alternatives to private mortgage insurance; the implementation of the Basel III Capital Accord discouraging the use of private mortgage insurance; a reduction in the period of validity of insurance policies; the uncertainty of loss reserve estimates; deteriorating economic conditions; our non-US operations becoming subject to US federal income tax; become considered a passive foreign investment company for US federal income tax purposes; and other risks and factors described in Part I, Item 1A “Risk Factors” of our Annual Report on Form 10-K for the fiscal year ended December 31, 2020 filed with the Securities and Exchange Commission on February 26, 2021 . the information presented here is made only as of the date of this presentation, and we assume no obligation to update or revise any forward-looking information to reflect changes in assumptions, the occurrence of unforeseen events or otherwise. .

VSEDING

IINSURER:

RINSURER:

EFEEL

BADVANTAGES:

  • On November 10, 2021, Essent Guaranty, Inc., a wholly owned subsidiary of Essent Group Ltd., obtained fully guaranteed excess of loss reinsurance coverage on mortgage insurance policies written from April 2021 to September 2021. .
  • The total reinsurance amount was $ 439.4 million at the reporting date.
  • For this transaction, reinsurance is provided by Radnor Re 2021-2 Ltd. (“Radnor Re”), a newly formed Bermuda-based ad hoc insurer. Radnor Re is not a subsidiary or affiliate of Essent Group Ltd.
  • Radnor Re financed its reinsurance obligations by issuing four categories of mortgages insurance-linked notes with legal maturities of 10 years as part of an unregistered private offer. The Notes are without recourse to the assets of Essent Guaranty, Inc. or its affiliates.
  • Proceeds from the note issuance were deposited into a reinsurance trust account for the benefit of Essent Guaranty, Inc. Noteholders have a subordinated interest in the reinsurance trust account, which is the sole source of funds. for reimbursement of tickets.
  • This transaction is expected to provide the following benefits to Essent:
    • Diversified source of capital
    • A layer of protection against adverse credit losses
    • Strengthening the strength of the counterpart
    • PMIERs demanded an asset loan

MTHUNDERSTORM IASSURANCE-THEINKNOTOTES AT VSLOSING

VSREDEDIATE

ohFIRM

WEIGHT

% OF RISK

FUNDED

MOODYS

DBRS

D

TO CLASSIFY

BTHREW

EFINANCING

NOTOTES

IINDEX

SREAD

IN FORCE

PHUNDRED

Rto eat

Rto eat

AVERAGE

%

(FUNDED)

THEIFE*

Ah

$ 11,517,187,000

92.75%

7.25%

PRESERVED BY ESSENTIAL

M-1A

$ 192,460,000

1.55%

5.70%

$ 139,534,000

72.5%

Baa3

BBB (low)

1.44 years old.

SOFR

185 bp

M-1B

$ 211,090,000

1.70%

4.00%

$ 147,763,000

70.0%

Ba3

BB

3.37 years.

SOFR

370bps

M-2

186,260,000 $

1.50%

2.50%

$ 130,382,000

70.0%

NR

B

5.35 years.

SOFR

500bps

B-1

$ 31,040,000

0.25%

2.25%

$ 21,728,000

70.0%

NR

Cut)

5.88 years.

SOFR

600bps

B-2 / B-3H

$ 279,414,814

2.25%

PRESERVED BY ESSENTIAL

ohFIRM NOTOTES

$ 439,407,000

TRANACTION HHIGHLIGHTS

  • Radnor Re guaranteed and funded the reinsurance coverage by issuing a $ 439.4 million mortgage Series 2021-2 Insurance Linked Notes for Investors.
  • The Reference Pool has a total outstanding principal balance of $ 47.2 billion and an in effect risk of $ 12.4 billion as of September 30, 2021, deadline.
  • The Notes provide stop loss protection at Essent Guaranty for four levels of coverage designated as M-1A, M-1B, M-2 and B-1, with a funding percentage of 72.5% for M-1A and 70% for all other levels.
  • Notes are Variable rate securities based on SOFR with a legal maturity of 10 years.
  • Radnor Re used the series 2021-2 generates the proceeds from the purchase of investments to fully fund the reinsurance trust after closing on November 10, 2021.
  • Essent Guaranty, Inc., is required to pay premiums to Radnor Re to cover interest payments on the series 2021-2 notes less investment income from reinsurance trust assets.
  • Essent Guaranty, Inc. has the option to call the transaction from November 25, 2027.

* WALs based on 10% CPR, no loss assumptions and that Essent exercises their option to call the case on November 25, 2027

Disclaimer

Essent Group Ltd. published this content on November 16, 2021 and is solely responsible for the information it contains. Distributed by Public, unedited and unmodified, on November 17, 2021 01:17:06 PM UTC.

Public now 2021

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Analyst Recommendations on ESSENT GROUP LTD.
Sales 2021 1,012 million

Net income 2021 648 million

Net debt 2021 259 million

PER 2021 ratio 7.66x
Yield 2021 1.55%
Capitalization 4,968 million
4,968 million
VE / Sales 2021 5.17x
VE / Sales 2022 5.07x
Number of employees 343
Free float 97.4%

Duration :

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Technical Analysis Table of Essent Group Ltd.  |  MarketScreener

Technical analysis trends ESSENT GROUP LTD.

Short term Mid Road Long term
Tendencies Bearish Neutral Neutral

Evolution of the income statement

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Average consensus SURPASS
Number of analysts ten
Last closing price

$ 44.99

Average price target

$ 56.90

Spread / Average target 26.5%


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