Triangle Re 2019-1 Ltd.

Genworth Mortgage Insurance, the mortgage insurance focused subsidiary of Genworth Financial, has sponsored its first mortgage insurance-linked securities (ILS) transaction, seeing the company benefit from a $302.8 million source of fully collateralised and capital markets backed mortgage reinsurance.

For its first mortgage ILS transaction, Genworth has registered a Bermuda special purpose insurer (SPI) named Triangle Re 2019-1 Ltd.

Triangle Re 2019-1 has issued three classes of mortgage insurance-linked notes (ILNs), each of which have 10-year legal final maturities as well as a 7-year call option.

The issued notes will provide Genworth Mortgage Insurance with a $302.8 million source of fully collateralised and capital markets backed excess of loss mortgage reinsurance.

The $302.8 million of mortgage ILS notes have been sold to qualified institutional investors in an unregistered private offering, with the proceeds set to be used as the collateral to back the reinsurance agreements between Triangle Re 2019-1 and Genworth.

In the case of this transaction, the reinsurance it provides will cover a portfolio of Genworth’s existing mortgage insurance policies that have been underwritten from January 2019 through September 2019.

The Triangle Re 2019-1 mortgage ILS transaction features three tranches of notes.

A $134,574,000 tranche of Class M-1 Notes which will pay investors a coupon equal to one-month LIBOR plus 190 basis points, a $151,396,000 tranche of Class M-2 Notes paying a coupon equal to one-month LIBOR plus 290 basis points, and a $16,821,000 tranche of Class B-1 Notes paying a coupon equal to one-month LIBOR plus 415 basis points.