Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Triangle Re 2021-1 Ltd.

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Triangle Re 2021-1 Ltd. – At a glance:

  • Issuer: Triangle Re 2021-1 Ltd.
  • Cedent / sponsor: Genworth Mortgage Insurance
  • Placement / structuring agent/s: Unknown
  • Risk modelling / calculation agents etc: Unknown
  • Risks / perils covered: Mortgage insurance risks
  • Size: $495m
  • Trigger type: Indemnity
  • Ratings: DBRS Morningstar rated (details below)
  • Date of issue: Mar 2021

Triangle Re 2021-1 Ltd. – Full details:

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

With the Triangle Re 2021-1 Ltd. (TMIR 2021-1) transaction, Genworth has secured almost $495 million of fully-collateralized mortgage reinsurance from the capital markets.

This issuance has been made out of Bermuda again, with Triangle Re 2021-1 Ltd. being a newly established special purpose insurer domiciled on the island.

Triangle Re 2021-1 Ltd. has issued five tranches of mortgage insurance-linked notes (ILNs), each of which have 12.5-year legal final maturities, which is the longest tenured mortgage ILS notes we’ve reported on to-date.

The notes provide collateral to support a percentage of a layer of risk in Genworth’s reinsurance tower, with the almost $495 million of notes having been sold to capital market investors and the proceeds used to collateralize underlying excess of loss reinsurance agreements between Triangle Re 2021-1 and sponsor Genworth.

Each tranche of notes are exposed to the risk of losses the ceding insurer pays to settle claims on an underlying portfolio of mortgage insurance policies.

The five tranches of notes issued by Triangle Re 2021-1 Ltd. are detailed below, along with DBRS Morningstar ratings for the four rated tranches of the transaction:

– $120.2 million Class M-1A at BBB (low) (sf)
– $141.4 million Class M-1B at BB (sf)
– $91.9 million Class M-1C at B (high) (sf)
– $99 million Class M-2 at B (low) (sf)
– $42.4 million Class B-1 (unrated)

Genworth’s latest mortgage ILS transaction is backed by seasoned insured mortgage loans that have never been reported as 60 or more days delinquent since origination and all mortgage insurance policies were effective on or after January 2014. As of the cut-off date, these loans have not been reported to be in a payment forbearance plan.

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