Bellemeade Re 2020-3 Ltd.

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Bellemeade Re 2020-3 Ltd. – At a glance:

  • Issuer: Bellemeade Re 2020-3 Ltd.
  • Cedent / sponsor: Arch Capital Group Ltd.
  • Placement / structuring agent/s: Unknown
  • Risk modelling / calculation agents etc: Unknown
  • Risks / perils covered: Mortgage insurance risks
  • Size: $418m
  • Trigger type: Indemnity
  • Ratings: DBRS Morningstar rated (details below)
  • Date of issue: Nov 2020

Bellemeade Re 2020-3 Ltd. – Full details:

Arch Capital Group Ltd., the Bermuda headquartered insurance and reinsurance firm, has returned to the capital markets for its third mortgage insurance-linked securities (ILS) transaction of 2020, with a $418 million issuance of insurance-linked notes via special purpose insurer Bellemeade Re 2020-3 Ltd.

The $418 million Bellemeade Re 2020-3 mortgage insurance-linked securities (ILS) issuance has been completed alongside an additional $34 direct reinsurance arrangement, to provide a total of $452 million of indemnity mortgage reinsurance limit, the majority being from the capital markets.

The total $452 million of indemnity reinsurance covers a pool representing roughly $31 billion of mortgages  for Arch Capital, with the mortgage insurance policies linked to 112,274 loans insured by Arch Mortgage Insurance and its affiliates primarily from June through August of 2020.

Arch has now netted over $1.5 billion of indemnity reinsurance in 2020 through its three Bellemeade Re mortgage ILS deals, with the attachment point being slightly lower with each subsequent deal as investor appetite has returned for mortgage ILS.

Bellemeade Re 2020-3 Ltd. will fund its reinsurance obligations through the issuance of five classes of amortizing notes with 10-year legal final maturities.

The notes are being sold to investors and the proceeds used to collateralize reinsurance agreements to effect the coverage.

The Bellemeade Re 2020-3 Ltd.  mortgage ILS deal is structured in five classes:

  • $83,412,000 class M-1A notes with a coupon equal to one-month LIBOR plus 200 basis points.
  • $78,407,000 class M-1B notes with a coupon equal to one-month LIBOR plus 285 basis points.
  • $134,696,000 class M-1C notes with a coupon equal to one-month LIBOR plus 370 basis points.
  • $104,265,000 class M-2 notes with a coupon equal to one-month LIBOR plus 485 basis points.
  • $17,378,000 class B-1 notes with a coupon equal to one-month LIBOR plus 635 basis points.

The Class M-1A notes were rated BBB (high) (sf) and the Class M-1B notes were rated BBB (sf), by DBRS Morningstar.

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