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Variable Interest Entities | 6 Months Ended
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Jun. 30, 2023
Noncontrolling Interest [Abstract] |
Variable Interest Entity Disclosure | Bellemeade Re The Company has entered into aggregate excess of loss mortgage reinsurance agreements with various special purpose reinsurance companies domiciled in Bermuda (the “Bellemeade Agreements”). At the time the Bellemeade Agreements were entered into, the applicability of the accounting guidance that addresses VIEs was evaluated. As a result of the evaluation of the Bellemeade Agreements, the Company concluded that these entities are VIEs. However, given that the ceding insurers do not have the unilateral power to direct those activities that are significant to their economic performance, the Company does not consolidate such entities in its consolidated financial statements. The Company’s on-balance sheet liability was $5 million at June 30, 2023, compared to $2 million at December 31, 2022, while the maximum off-balance sheet exposure to loss was $19 million at June 30, 2023, compared to $27 million at December 31, 2022. The Company’s maximum exposure to loss associated with these VIEs is 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 benchmark index for 2021 and later agreements 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. The following table summarizes the total assets of the Bellemeade entities:
|  | June 30, 2023 |  | December 31, 2022 |  |
Bellemeade Entities (Issue Date) |  | Total VIE Assets |  |  |  |  |  |  |  | Coverage Remaining from Reinsurers (1) |  | Total VIE Assets |  |  |  |  |  |
2017-1 Ltd. (Oct-17) |  | $ | — |  |  |  |  |  |  |  |  | $ | — |  |  | $ | 37 |  |  |  |  |  |  |
2018-1 Ltd. (Apr-18) |  | 64 |  |  |  |  |  |  |  |  | — |  |  | 90 |  |  |  |  |  |  |
2018-3 Ltd. (Oct-18) |  | 165 |  |  |  |  |  |  |  |  | — |  |  | 199 |  |  |  |  |  |  |
2019-1 Ltd. (Mar-19) |  | 89 |  |  |  |  |  |  |  |  | — |  |  | 108 |  |  |  |  |  |  |
2019-2 Ltd. (Apr-19) |  | 286 |  |  |  |  |  |  |  |  | — |  |  | 325 |  |  |  |  |  |  |
2019-3 Ltd. (Jul-19) |  | 146 |  |  |  |  |  |  |  |  | — |  |  | 223 |  |  |  |  |  |  |
2019-4 Ltd. (Oct-19) |  | 234 |  |  |  |  |  |  |  |  | — |  |  | 266 |  |  |  |  |  |  |
2020-2 Ltd. (Sep-20) |  | 71 |  |  |  |  |  |  |  |  | — |  |  | 105 |  |  |  |  |  |  |
2020-3 Ltd. (Nov-20) |  | 203 |  |  |  |  |  |  |  |  | 5 |  |  | 244 |  |  |  |  |  |  |
2020-4 Ltd. (Dec-20) |  | 77 |  |  |  |  |  |  |  |  | 3 |  |  | 98 |  |  |  |  |  |  |
2021-1 Ltd. (Mar-21) |  | 413 |  |  |  |  |  |  |  |  | 22 |  |  | 467 |  |  |  |  |  |  |
2021-2 Ltd. (Jun-21) |  | 404 |  |  |  |  |  |  |  |  | 63 |  |  | 458 |  |  |  |  |  |  |
2021-3 Ltd. (Sep-21) |  | 465 |  |  |  |  |  |  |  |  | 121 |  |  | 490 |  |  |  |  |  |  |
2022-1 Ltd. (Jan-22) |  | 280 |  |  |  |  |  |  |  |  | 32 |  |  | 284 |  |  |  |  |  |  |
2022-2 Ltd. (Sep-22) |  | 201 |  |  |  |  |  |  |  |  | 126 |  |  | 201 |  |  |  |  |  |  |
Total |  | $ | 3,098 |  |  |  |  |  |  |  |  | $ | 372 |  |  | $ | 3,595 |  |  |  |  |  |  |
(1) Coverage from a separate panel of reinsurers remaining at June 30, 2023.

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- Definition The entire disclosure for a variable interest entity (VIE), including but not limited to, judgments and assumptions in determining whether to consolidate and in identifying the primary beneficiary, gain (loss) recognized on the initial consolidation of the VIE, terms of arrangements, amounts and classification of the VIE's assets and liabilities, and the entity's maximum exposure to loss. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 810 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//810/tableOfContent + Details
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