Triangle Re 2023-1 Ltd. – Full details:
This is the sixth issuance of Triangle Re mortgage insurance-linked securities (ILS) for Enact Mortgage Insurance Corporation, formerly known as Genworth Mortgage Insurance.
Genworth had sponsored five Triangle Re mortgage insurance-linked notes issuances to source collateralized mortgage reinsurance up to September 2021, after which it rebranded as Enact. But since then had stayed away from the mortgage ILS market, returning now at a time when issuance has been picking up.
Enact has registered a new Bermuda domiciled entity for the issuance of its sixth mortgage ILS deal, Triangle Re 2023-1 Ltd. (TMIR 2023-1).
Triangle Re 2023-1 Ltd. will issue four classes of notes that will be sold to investors and the proceeds be used to collateralize a source of mortgage indemnity reinsurance for Enact.
The target is to secure almost $248 million of mortgage reinsurance through this issuance, with the four classes of notes all having ten-year terms.
The transaction is split into the following tranches, along with their provisional ratings from DBRS Morningstar:
- $105.7 million Class M-1A at BB (high) (sf)
- $69.2 million Class M-1B at BB (low) (sf)
- $54.7 million Class M-2 at B (high) (sf)
- $18.2 million Class B-1 at B (sf)
Each tranche of notes will be backed by reinsurance premiums, eligible investments, and related account investment earnings, and correspond to a pool of mortgage insurance policies written by Enact Mortgage Insurance that are linked to residential loans.
The noteholders will take on exposure to the risk arising from losses that ceding insurer Enact needs to pay to settle claims on the underlying mortgage insurance policies.
The transaction will provide Enact with capital market backed reinsurance across a pool of insured mortgage loans consisting of 148,603 fully amortizing first-lien fixed- and variable-rate mortgages, via a reinsurance agreement the issuer Triangle Re 2023-1 will enter into with Enact on completion.
Update 1:
Enact successfully secured the targeted $248 million of collateralized excess of loss mortgage reinsurance, citing strong demand from investors for the notes.
The rounded up final tranche sizes and pricing can be seen below:
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- $106 million Class M-1A Notes with an initial interest rate of one-month SOFR plus 340 basis points
- $69 million Class M-1B Notes with an initial interest rate of one-month SOFR plus 525 basis points
- $55 million Class M-2 Notes with an initial interest rate of one-month SOFR plus 650 basis points
- $18 million Class B-1 Notes with an initial interest rate of one-month SOFR plus 740 basis points
