Swiss Re Insurance-Linked Fund Management

Original Risk: A Society for Change Agents

Bellemeade Re 2018-1 Ltd.

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Bellemeade Re 2018-1 Ltd. – At a glance:

  • Issuer: Bellemeade Re 2018-1 Ltd.
  • Cedent / sponsor: Arch Capital Group Ltd.
  • Placement / structuring agent/s: Credit Suisse is sole bookrunner.
  • Risk modelling / calculation agents etc: N/A
  • Risks / perils covered: Mortgage insurance risks
  • Size: $374.46m
  • Trigger type: Indemnity
  • Ratings: Morningstar: M-1B - BBB
  • Date of issue: Apr 2018

Bellemeade Re 2018-1 Ltd. – Full details:

This is the fourth mortgage insurance ILS issuance in the Bellemeade series of transactions and the second under the watch of Arch Capital Group, since it acquired AIG’s United Guaranty that had previously sponsored these deals.

This is now the largest Bellemeade mortgage insurance ILS deal to-date, at exactly $374.46 million in size.

For this mortgage insurance-linked securities (ILS) transaction Arch has registered a new Bermuda domiciled special purpose insurer (SPI) Bellemeade Re 2018-1 Ltd. The SPI has issued three tranches of ten-year notes which have been sold to investors to collateralize underlying reinsurance agreements to protect the Arch Mortgage Insurance book on an indemnity basis over the 10 year term.

In this 2018-1 mortgage ILS deal from Arch, the reinsurance protection will cover a portfolio of mortgage insurance policies underwritten by Arch primarily from July through December of 2017.

The three tranches of ten-year term Bellemeade Re 2018-1 insurance-linked securities (ILS) will provide Arch with fully-collateralized reinsurance coverage against potential losses on a portion of its 2017 mortgage insurance portfolio.

The Bellemeade Re Series 2018-1 transaction is split into $198.064 million of the rated Class M-1B 144A notes and $400k of Class M-1B RegS notes, $157.273 million of Class M-2 144A notes, and $18.723 million of Class B-1 144A notes.

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