Triangle Re 2021-2 Ltd.

This is Genworth Financial’s fourth mortgage insurance-linked securities (ILS) transaction and its second of 2021, as the company looks to the capital markets for additional mortgage reinsurance capacity.

The insurer has set up a new Bermuda based special purpose insurer Triangle Re 2021-2 Ltd. which will issue five tranches of notes to expand its capital markets backed coverage.

Triangle Re 2021-2 Ltd. will issue five tranches of mortgage insurance-linked notes (ILNs), each of which have 12.5-year legal final maturities.

The notes provide collateral to support a percentage of a layer of risk in Genworth’s reinsurance tower, with the $303 million of notes set to be sold to capital market investors and the proceeds used to collateralize underlying excess of loss reinsurance agreements between Triangle Re 2021-2 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 to be issued by Triangle Re 2021-2 Ltd. are detailed below, along with Moody’s ratings for the four rated tranches of the transaction:

– $47.8 million Class M-1A, paying 1 month Libor + 205, rated at Baa2 (sf)
– $92.4 million Class M-1B, paying 1 month Libor + 205, rated at Baa3 (sf)
– $66.9 million Class M-1C, paying 1 month Libor + 205, rated at Ba2 (sf)
– $79.65 million Class M-2, paying 1 month Libor + 205, rated at B2 (sf)
– $15.9 million Class B-1, paying 1 month Libor + 205 (unrated)

The notes would be eroded by losses to the subject mortgage insurance business, after retained coverage layers are eroded and then beginning with the B-1 tranche and working up through the layers of the transaction.