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Variable Interest Entities and Noncontrolling Interests (Tables)
 9 Months Ended
Sep. 30, 2021
Noncontrolling Interest [Abstract]  
Carrying value of assets and liabilities of variable interest entity
The following table provides the carrying amount and balance sheet caption in which the assets and liabilities of Watford were reported at December 31, 2020:
December 31,
2020
Assets
Investments accounted for using the fair value option (1)$1,790,385 
Fixed maturities available for sale, at fair value655,249 
Equity securities, at fair value52,410 
Cash211,451 
Accrued investment income14,679 
Premiums receivable224,377 
Reinsurance recoverable on unpaid and paid losses and loss adjustment expenses286,590 
Ceded unearned premiums122,339 
Deferred acquisition costs53,705 
Receivable for securities sold37,423 
Goodwill and intangible assets7,650 
Other assets75,801 
Total assets of consolidated VIE$3,532,059 
Liabilities
Reserve for losses and loss adjustment expenses$1,519,583 
Unearned premiums407,714 
Reinsurance balances payable63,269 
Revolving credit agreement borrowings155,687 
Senior notes172,689 
Payable for securities purchased25,881 
Other liabilities193,494 
Total liabilities of consolidated VIE$2,538,317 
Redeemable noncontrolling interests$52,398 
(1)    Included in “other investments” on the Company’s balance sheet.
Activity in non-redeemable noncontrolling interests
The following table sets forth activity in the non-redeemable noncontrolling interests:
September 30,
 20212020
Three Months Ended
Balance, beginning of period$918,874 $679,089 
Impact of deconsolidation of Watford(918,874)— 
Additional paid in capital attributable to noncontrolling interests— 243 
Amounts attributable to noncontrolling interests— 67,768 
Other comprehensive income (loss) attributable to noncontrolling interests— 10,820 
Balance, end of period$— $757,920 
Nine Months Ended
Balance, beginning of year$823,007 $762,777 
Impact of deconsolidation of Watford(918,874)
Additional paid in capital attributable to noncontrolling interests22,113 715 
Repurchases attributable to non-redeemable noncontrolling interests (1)— (2,867)
Amounts attributable to noncontrolling interests78,314 (578)
Other comprehensive income (loss) attributable to noncontrolling interests(4,560)(2,127)
Balance, end of period$— $757,920 
(1) During 2020, Watford’s board of directors authorized the investment in Watford’s common shares through a share repurchase program.
Activity in redeemable noncontrolling interests
The following table sets forth activity in the redeemable non-controlling interests:
September 30,
 20212020
Three Months Ended
Balance, beginning of period$57,533 $55,986 
Impact of deconsolidation of Watford(48,919)— 
Accretion of preference share issuance costs— 23 
Other1,623 1,826 
Balance, end of period$10,237 $57,835 
Nine Months Ended
Balance, beginning of year$58,548 $55,404 
Impact of deconsolidation of Watford(48,919)— 
Accretion of preference share issuance costs— 70 
Other608 2,361 
Balance, end of period$10,237 $57,835 
Portion of income or loss attributable to third party investors
The portion of income or loss attributable to third party investors, recorded in the Company’s consolidated statements of income in ‘net (income) loss attributable to noncontrolling interests,’ are summarized in the table below:
September 30,
 20212020
Three Months Ended
Amounts attributable to non-redeemable noncontrolling interests$— $(67,768)
Amounts attributable to redeemable noncontrolling interests(1,473)(1,875)
Net (income) loss attributable to noncontrolling interests$(1,473)$(69,643)
Nine Months Ended
Amounts attributable to non-redeemable noncontrolling interests$(78,314)$578 
Amounts attributable to redeemable noncontrolling interests(3,889)(4,998)
Net (income) loss attributable to noncontrolling interests$(82,203)$(4,420)
Total assets and maximum exposure to loss associated with VIEs The following table presents the total assets of the Bellemeade entities, as well as the Company’s maximum exposure to loss associated with these VIEs, calculated as the maximum historical observable spread between the benchmark index for each respective transaction and short term invested trust asset yields. The benchmark index for agreements effective prior to 2021 is based on one-month LIBOR, while the 2021 agreements benchmark index is based on the Secured Overnight Financing Rate (“SOFR”). SOFR is a measure of the cost of borrowing cash overnight, collateralized by U.S. Treasury securities, and is based on directly observable U.S. Treasury-backed repurchase transactions.
September 30, 2021
December 31, 2020
Maximum Exposure to LossMaximum Exposure to Loss
Bellemeade Entities (Issue Date)Total VIE AssetsOn-Balance Sheet (Asset) LiabilityOff-Balance SheetTotalTotal VIE AssetsOn-Balance Sheet (Asset) LiabilityOff-Balance SheetTotal
Bellemeade 2017-1 Ltd. (Oct-17)$145,573 $(214)$585 $371 $145,573 $(245)$844 $599 
Bellemeade 2018-1 Ltd. (Apr-18)228,938 (764)1,683 919 250,095 (903)2,245 1,342 
Bellemeade 2018-2 Ltd. (Aug-18)— — — — 108,395 (138)280 142 
Bellemeade 2018-3 Ltd. (Oct-18)302,563 (1,049)2,328 1,279 302,563 (1,320)3,262 1,942 
Bellemeade 2019-1 Ltd. (Mar-19)210,529 (931)8,142 7,211 219,256 (1,361)8,461 7,100 
Bellemeade 2019-2 Ltd. (Apr-19)398,316 (787)5,658 4,871 398,316 (730)5,201 4,471 
Bellemeade 2019-3 Ltd. (Jul-19)491,634 (826)3,971 3,145 528,084 (861)5,079 4,218 
Bellemeade 2019-4 Ltd. (Oct-19)468,737 (682)4,761 4,079 468,737 (890)6,676 5,786 
Bellemeade 2020-1 Ltd. (Jun-20) (1)— — — — 275,068 (178)1,012 834 
Bellemeade 2020-2 Ltd. (Sep-20) (2)266,704 (279)2,629 2,350 423,420 (556)6,839 6,283 
Bellemeade 2020-3 Ltd. (Nov-20) (3)381,410 (395)6,646 6,251 418,158 (631)9,605 8,974 
Bellemeade 2020-4 Ltd. (Dec-20) (4)226,916 (100)2,190 2,090 321,393 (156)6,816 6,660 
Bellemeade 2021-1 Ltd. (Mar-21) (5)579,717 229 4,217 4,446 — — — — 
Bellemeade 2021-2 Ltd. (Jun-21) (6)522,807 906 5,090 5,996 — — — — 
Bellemeade 2021-3 Ltd. (Sep-21) (7)507,873 182 4,561 4,743 — — — — 
Total$4,731,717 $(4,710)$52,461 $47,751 $3,859,058 $(7,969)$56,320 $48,351 

(1)  An additional $79 million capacity was provided directly to Arch MI U.S. by a separate panel of reinsurers and is not reflected in this table.
(2)  An additional $26 million capacity was provided directly to Arch MI U.S. by a separate panel of reinsurers and is not reflected in this table.
(3)  An additional $34 million capacity was provided directly to Arch MI U.S. by a separate panel of reinsurers and is not reflected in this table.
(4)  An additional $16 million capacity was provided directly to Arch MI U.S. by a separate panel of reinsurers and is not reflected in this table.
(5)  An additional $64 million capacity was provided directly to Arch MI U.S. by a separate panel of reinsurers and is not reflected in this table.
(6)  An additional $93 million capacity was provided directly to Arch MI U.S. by a separate panel of reinsurers and is not reflected in this table.
(7)  An additional $131 million capacity was provided directly to Arch MI U.S. by a separate panel of reinsurers and is not reflected in this table.