Arch MI, the private mortgage insurance subsidiary of Arch Capital, has obtained over $616 million of indemnity reinsurance on a pool representing approximately $36 billion of mortgages from special purpose reinsurer Bellemeade Re 2021-2 Ltd.
Approximately $523 million in bonds and $93 million in direct reinsurance was issued in order to obtain the coverage.
The transaction largely covers a portfolio of MI policies issued by Arch MI and affiliates from December 2020 through March 2021.
This is Arch’s second such deal of 2021 and the 16th Bellemeade transaction since the program’s inception in 2015.
This marks the second Bellemeade transaction to use the Secured Overnight Financing Rate (SOFR) as the benchmark rate for pricing instead of the London Inter-Bank Offered Rate (LIBOR).
Bellemeade Re 2021-2 Ltd. is funding its reinsurance obligations through the issuance of five classes of amortizing notes with 10-year legal final maturities.
Pricing detail for the five classes of offered notes is:
$194,532,000 class M-1A notes with a coupon equal to one-month SOFR plus 120 basis points;
$93,334,000 class M-1B notes with a coupon equal to one-month SOFR plus 150 basis points;
$97,265,000 class M-1C notes with a coupon equal to one-month SOFR plus 185 basis points;
$105,704,000 class M-2 notes with a coupon equal to one-month SOFR plus 290 basis points;
$31,972,000 class B-1 notes with a coupon equal to one-month SOFR plus 415 basis points;
A total of $93,214,000 was placed with a panel of reinsurers.
“This transaction’s execution represents the broadest investor participation at the best pricing for current exposure in the Bellemeade program’s history,” said Jim Bennison, EVP, Alternative Markets for Arch MI.
“We believe investors have concluded that the risks associated with the COVID-19 pandemic are behind us.”
