Variable interest entities (Tables)

9 Months Ended

Sep. 30, 2016

Variable Interest Entities Disclosure [Abstract]

Summary of notes payable to variable interest entities

The following table presents a reconciliation of the beginning and ending notes payable to AlphaCat investors as at September 30, 2016 and December 31, 2015:



	Variable Funding Notes			Structured Notes		Total
September 30, 2016
Notes payable to AlphaCat investors, beginning of period	$	75,493		$	—	$	75,493
Issuance of notes payable to AlphaCat investors	311,913			94,326		406,239
Redemption of notes payable to AlphaCat investors	(109,712		)	—		(109,712		)
Foreign exchange gains	710			—		710
Notes payable to AlphaCat investors, end of period	$	278,404		$	94,326	$	372,730

December 31, 2015
Notes payable to AlphaCat investors, beginning of period	$	—		$	—	$	—
Issuance of notes payable to AlphaCat investors	75,770			—		75,770
Foreign exchange losses	(277		)	—		(277		)
Notes payable to AlphaCat investors, end of period	$	75,493		$	—	$	75,493

Total assets and liabilities of the Company's consolidated VIEs

The following table presents the total assets and total liabilities of the Company’s consolidated VIEs, excluding intercompany eliminations, as at September 30, 2016 and December 31, 2015:



	September 30, 2016				December 31, 2015
	Total Assets		Total Liabilities		Total Assets		Total Liabilities
AlphaCat sidecars	$	47,212	$	10,336	$	206,581	$	14,804
AlphaCat ILS funds - Lower Risk ^(a)	1,440,125		3,966		1,268,070		143,371
AlphaCat ILS funds - Higher Risk ^(a)	682,677		114,151		522,867		300,122
AlphaCat Re and AlphaCat Master Fund	2,521,299		2,521,129		1,615,779		1,615,609
BetaCat ILS funds	51,629		469		64,221		2,472


(a)	Lower risk AlphaCat ILS funds have a maximum permitted portfolio expected loss of less than 7%, whereas higher risk AlphaCat ILS funds have a maximum permitted portfolio expected loss of greater than 7%. Expected loss represents the average annual loss over the set of simulation scenarios divided by the total limit.

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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