Hundreds of millions of dollars worth of insurance-linked securities providing mortgage reinsurance coverage may face losses as US delinquency rates surge.Bermudian-based mortgage re/insurer Essent Group has reported that all of its mortgage ILS transactions are now subject to a “trigger event”, according to alternative risk transfer website Artemis.bm.This means that investors’ capital will effectively be locked up until potential losses have been calculated.Essent has sponsored four mortgage ILS transactions under the Radnor Re programme, listed on the Bermuda Stock Exchange and amounting to more than $1.65 billion of mortgage reinsurance secured from the capital markets.ILS allow third-party investors to gain a return on their capital invest through exposure to specified reinsurance risks over a set period of time, with the possibility of principal loss if a trigger event occurs, while providing off-balance-sheet capacity for their sponsoring re/insurers. Bermuda is the heart of the global ILS market and more than 80 per cent of global issuance is listed on the BSX.ILS covering mortgage risks are being triggered as many people left jobless by the economic impact of the pandemic are falling behind with monthly mortgage payments, triggering mortgage insurance claims.Essent estimated a roughly 40 per cent increase in the mortgage loan delinquencies it is dealing with during the month of June, Artemis reported.US mortgage insurers including Radian Guaranty, National Mortgage Insurance Corporation and MGIC Investment Corporation have also reported a triggering of some of their mortgage ILS transactions.Arch Capital is another Bermudian re/insurer that has sponsored substantial ILS to provide capacity for covering mortgage risks. However, Arch has given no indication of any triggering of those ILS.Last month Arch secured $450 million of excess-of-loss mortgage reinsurance through its Bermuda Bellemeade Re 2020-21 issuance.