Arch Capital Group, the Bermuda headquartered specialty insurance and reinsurance player, has completed its new mortgage insurance-linked securities (ILS) issuance at a smaller size of $580 million after electing not to place one of the tranches of notes.However, Arch secured an additional $64 million in direct reinsurance alongside this $580 million Bellemeade Re 2021-1 ILS note issuance, taking the total mortgage reinsurance secured for the company to over $643 million..When we first documented this deal, Arch was seeking roughly $665 million of mortgage reinsurance from the capital markets through newly established SPI Bellemeade Re 2021-1 Ltd.

At that size, while this issuance of mortgage ILS notes would not have been Arch’s largest mortgage ILS sponsorship, it would have been the biggest issuance seen in since the COVID-19 pandemic began.But Arch pulled one tranche of notes and the Class B-2 tranche of mortgage insurance-linked notes will not be issued at this time, the company explained today.The total mortgage reinsurance coverage of $643 million of indemnity reinsurance will sit across a mortgage insurance pool representing approximately $38 billion of mortgages, with coverage via the special purpose insurer Bellemeade Re 2021-1 Ltd., via the $580 million in bonds and $64 million in direct reinsurance.

The transaction received strong investor support.“Closing our first Bellemeade transaction of the year with nearly 30 investors is a testament to the maturity of the program,” explained Jim Bennison, EVP, Alternative Markets for Arch MI.“As the leader in the space, it is important to demonstrate a seamless transition from LIBOR to SOFR to establish a precedent that we expect other MILN issuers to follow.” , this is the first the first to use the Secured Overnight Financing Rate (SOFR) as the benchmark rate for pricing, instead of the long-used London Inter-Bank Offered Rate (LIBOR) as the benchmark interest rate.

Now completed, the $580 million of notes issued by Bellemeade Re 2021-1 Ltd.break down like this: $188,782,000 class M-1A notes with a coupon equal to one-month SOFR plus 175 basis points.$118,203,000 class M-1B notes with a coupon equal to one-month SOFR plus 220 basis points.

$138,583,000 class M-1C notes with a coupon equal to one-month SOFR plus 295 basis points.$112,021,000 class M-2 notes with a coupon equal to one-month SOFR plus 485 basis points.$21,324,000 class B-1 notes with a coupon equal to one-month SOFR plus 675 basis points.

You can read all about this new mortgage insurance-linked securities (ILS) transaction from Arch Capital and every mortgage ILS deal ever issued in the Artemis Deal Directory.———————————————————————.All of our Artemis Live insurance-linked securities (ILS), catastrophe bonds and reinsurance can be accessed online.Our can be subscribed to using the typical podcast services providers, including Apple, Google, Spotify and more.