Arch secures over $449m mortgage ILN Bellemeade Re deal

Arch Capital Group's US mortgage insurance operation Arch Mortgage Insurance Company (Arch MI) has obtained over $449 million of indemnity reinsurance on a pool representing approximately $32 billion of mortgages from Bellemeade Re 2020-2, a special purpose reinsurer. The reinsurance is for a portfolio of MI policies linked to...

...117,562 loans issued by Arch MI and affiliates primarily in the first five months of 2020.

The insurance-linked note (ILN) transaction is Arch’s second of 2020. Arch’s earlier ILN Bellemeade Re 2020-1 was the first mortgage credit risk transfer (CRT) completed by any company in the COVID-19 era.

The coverage for this transaction was obtained by issuing approximately $423 million in bonds and $26 million in direct reinsurance, Arch MI said. The MILN is funding its reinsurance obligations through the issuance of five classes of amortizing notes with 10-year legal final maturities. Additionally, a total of $25,747,000 was placed with a panel of reinsurers.

Jim Bennison, EVP, alternative markets for Arch MI, said: “We’re pleased that we were able to bring our second Bellemeade transaction of 2020 to market. Investor interest was incredibly strong, as reflected in tighter credit spreads and a lower attachment compared to Bellemeade 2020-1. Investors have gotten much more comfortable with mortgage credit risk over the past several months as the effect of COVID-19 on the housing market becomes clearer.”