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Variable Interest Entities

6 Months Ended

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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- References

No definition available.

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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

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