Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Triangle Re 2020-1 Ltd.

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Triangle Re 2020-1 Ltd. – At a glance:

  • Issuer: Triangle Re 2020-1 Ltd.
  • Cedent / sponsor: Genworth Mortgage Insurance
  • Placement / structuring agent/s: Unknown
  • Risk modelling / calculation agents etc: Unknown
  • Risks / perils covered: Mortgage insurance risks
  • Size: $350m
  • Trigger type: Indemnity
  • Ratings: Moody's rated (details below)
  • Date of issue: Oct 2020

Triangle Re 2020-1 Ltd. – Full details:

This is the second mortgage insurance-linked securities (ILS) transaction to be sponsored by Genworth Mortgage Insurance, the mortgage insurance focused subsidiary of Genworth Financial.

Through a newly established Bermuda special purpose insurer (SPI) named Triangle Re 2020-1 Ltd., Genworth is seeking to secure just slightly under $350 million of fully collateralised excess-of-loss mortgage reinsurance protection from capital markets investors.

Genworth has registered a new Bermuda special purpose insurer (SPI) named Triangle Re 2020-1 Ltd. for its second mortgage ILS deal.

Triangle Re 2020-1 Ltd. will issue mortgage insurance-linked notes (ILNs), each of which have 10-year legal final maturities and each being designed to cover 67% of a layer of risk in Genworth’s reinsurance tower.

The roughly $350 million of notes will be sold to capital market investors and the proceeds used to collateralize underlying excess of loss reinsurance agreements between Triangle Re 2020-1 and sponsor Genworth.

The Triangle Re 2020-1 Ltd. mortgage ILS deal will feature the following tranches of notes, along with their pre-sale sizes and preliminary ratings from Moody’s.

  • $134.854 million Class M-1A notes, rated Baa3 (sf)
  • $54.94 million Class M-1B notes, rated Ba2 (sf)
  • $59.935 million Class M-1C notes, rated Ba2 (sf)
  • $74.919 million Class M-2 notes, rated B1 (sf)
  • $24.973 million Class B-1 notes, rated B2 (sf)

The subject mortgages have an insurance coverage effective date on or after January 1st 2020, through August 31st 2020 and the reference pool of insured mortgage loans consists of 221,151 loans, with a total insured loan balance of approximately $60 billion.

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