Enact returns for $248m Triangle Re 2023-1 mortgage ILS deal

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Enact Mortgage Insurance has returned to the insurance-linked securities (ILS) market for the first time in over two years, seeking just under $248 million of collateralized mortgage reinsurance protection from an issuance of Triangle Re 2023-1 Ltd. mortgage insurance-linked notes.

This is the sixth issuance of Triangle Re mortgage insurance-linked securities (ILS) for Enact Mortgage Insurance Corporation, which was 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, like the other major US mortgage insurers, Enact had stayed away from the mortgage ILS market, returning only now at a time when market conditions have improved and mortgage ILS 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), which is being managed by Aon Insurance Managers (Bermuda) Ltd.

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)

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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.

Enact is the latest to return to the capital markets to sponsor a mortgage ILS deal after a roughly two-year hiatus away.

The resurgence of activity in the mortgage ILS space has been seen after a calming in certain capital markets following a period of volatility, as well as the fact recent mortgage ILS deals have priced more keenly and upsized, helping interest to build again amongst sponsors, as the spread to pay for capital markets backed mortgage reinsurance is perceived to have fallen somewhat.

As our chart shows, mortgage insurance-linked securities (ILS) issuance has now reached just over $1.15 billion in 2023 so far and once this new deal from Enact completes it will be running ahead of the prior year.

You can read all about the Triangle Re 2023-1 Ltd. mortgage insurance-linked securities transaction and every other mortgage ILS deal in our specific directory of mortgage ILS deals, as well as in our all-encompassing Artemis Deal Directory.

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