Genworth MI issues $350m in ILNs via Triangle Re

Genworth Mortgage Insurance Corporation (Genworth MI) has obtained $349.6 million of fully collateralised excess of loss reinsurance coverage from Triangle Re 2020-1, the Bermuda-based special purpose insurer.

The coverage offers protection for a portfolio of existing mortgage insurance policies written from January 2020 through August 2020.

Triangle Re funded its reinsurance obligations by issuing five classes of mortgage insurance-linked notes (ILNs), which have a 10-year legal final maturity with a 7-year call option.

The ILNs consist of: $134,854,000 class M-1A notes with a coupon equal to one-month Libor plus 300 basis points; $54,940,000 class M-1B notes with a coupon equal to one-month Libor plus 390 basis points; $59,935,000 class M-1C notes with a coupon equal to one-month Libor plus 450 basis points; $74,919,000 class M-2 notes with a coupon equal to one-month Libor plus 560 basis points; and $24,973,000 class B-1 notes with a coupon equal to one-month Libor plus 775 basis points.

The ILNs, which are non-recourse to Genworth MI, its parent company Genworth Financial or any affiliates, were sold to qualified institutional investors in an unregistered private offering. It was Genworth MI’s second ILN issuance and its third credit risk transfer transaction since the COVID-19 pandemic began.

Rohit Gupta, chief executive officer at Genworth MI, said:. "In the best of times, these actions help us effectively manage our capital—and in uncertain times, they help us weather the impact of market volatility on our portfolio and protect our balance sheet."

Triangle Re is a special purpose insurer domiciled in Bermuda and is not a subsidiary or affiliate of Genworth Financial, Inc.