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Variable Interest Entities and Noncontrolling Interests (Tables)
 6 Months Ended
Jun. 30, 2020
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 are reported:
 
June 30,
 
December 31,

 
2020
 
2019
Assets
 
 
 
Investments accounted for using the fair value option
$
1,886,676

 
$
1,898,091

Fixed maturities available for sale, at fair value
690,225

 
745,708

Equity securities, at fair value
62,443

 
65,338

Cash
107,653

 
102,437

Accrued investment income
14,364

 
14,025

Premiums receivable
258,178

 
273,657

Reinsurance recoverable on unpaid and paid losses and LAE
229,746

 
170,973

Ceded unearned premiums
131,919

 
132,577

Deferred acquisition costs
64,149

 
64,044

Receivable for securities sold
31,314

 
16,287

Goodwill and intangible assets
7,650

 
7,650

Other assets
63,441

 
60,070

Total assets of consolidated VIE
$
3,547,758

 
$
3,550,857

 
 
 
 
Liabilities
 
 
 
Reserve for losses and loss adjustment expenses
$
1,353,049

 
$
1,263,628

Unearned premiums
456,170

 
438,907

Reinsurance balances payable
72,776

 
77,066

Revolving credit agreement borrowings
335,587

 
484,287

Senior notes
172,554

 
172,418

Payable for securities purchased
67,272

 
18,180

Other liabilities (1)
261,267

 
171,714

Total liabilities of consolidated VIE
$
2,718,675

 
$
2,626,200

 
 
 
 
Redeemable noncontrolling interests
$
52,351

 
$
52,305


(1)
Includes certain borrowings related to investing activities.
Activity in non-redeemable noncontrolling interests
The following table sets forth activity in the non-redeemable noncontrolling interests:
 
June 30,
 
2020
 
2019
Three Months Ended
 
 
 
Balance, beginning of period
$
492,785

 
$
838,081

Additional paid in capital attributable to noncontrolling interests
595

 
2,074

Amounts attributable to noncontrolling interests
165,598

 
12,301

Other comprehensive income (loss) attributable to noncontrolling interests
20,111

 
2,891

Balance, end of period
$
679,089

 
$
855,347

 
 
 
 
Six Months Ended
 
 
 
Balance, beginning of year
$
762,777

 
$
791,560

Additional paid in capital attributable to noncontrolling interests
472

 
2,074

Repurchases attributable to non-redeemable noncontrolling interests (1)
(2,867
)
 
—

Amounts attributable to noncontrolling interests
(68,346
)
 
54,683

Other comprehensive income (loss) attributable to noncontrolling interests
(12,947
)
 
7,030

Balance, end of period
$
679,089

 
$
855,347


(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:
 
June 30,
 
2020
 
2019
Three Months Ended
 
 
 
Balance, beginning of period
$
55,376

 
$
206,383

Accretion of preference share issuance costs
23

 
92

Other
587

 
—

Balance, end of period
$
55,986

 
$
206,475

 
 
 
 
Six Months Ended
 
 
 
Balance, beginning of year
$
55,404

 
$
206,292

Accretion of preference share issuance costs
46

 
183

Other
536

 
—

Balance, end of period
$
55,986

 
$
206,475
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:
 
June 30,
 
2020
 
2019
Three Months Ended
 
 
 
Amounts attributable to non-redeemable noncontrolling interests
$
(165,598
)
 
$
(12,301
)
Amounts attributable to redeemable noncontrolling interests
(1,970
)
 
(4,590
)
Net (income) loss attributable to noncontrolling interests
$
(167,568
)
 
$
(16,891
)
 
 
 
 
Six Months Ended
 
 
 
Amounts attributable to non-redeemable noncontrolling interests
$
68,346

 
$
(54,683
)
Amounts attributable to redeemable noncontrolling interests
(3,123
)
 
(9,178
)
Net (income) loss attributable to noncontrolling interests
$
65,223

 
$
(63,861
)
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 one month LIBOR, the basis for the contractual payments to bond holders, and short term invested trust asset yields.
 
 
 
Maximum Exposure to Loss
Bellemeade Entities (Issue Date)
Total VIE Assets
 
On-Balance Sheet (Asset) Liability
 
Off-Balance Sheet
 
Total
Jun 30, 2020
 
 
 
 
 
 
 
Bellemeade 2017-1 Ltd. (Oct-17)
$
145,573

 
$
(295
)
 
$
2,469

 
$
2,174

Bellemeade 2018-1 Ltd. (Apr-18)
250,095

 
(1,244
)
 
5,597

 
4,353

Bellemeade 2018-2 Ltd. (Aug-18)
272,685

 
(1,206
)
 
4,210

 
3,004

Bellemeade 2018-3 Ltd. (Oct-18)
302,563

 
(1,883
)
 
8,387

 
6,504

Bellemeade 2019-1 Ltd. (Mar-19)
219,256

 
(83
)
 
10,251

 
10,168

Bellemeade 2019-2 Ltd. (Apr-19)
398,316

 
54

 
13,088

 
13,142

Bellemeade 2019-3 Ltd. (Jul-19)
528,084

 
(248
)
 
10,649

 
10,401

Bellemeade 2019-4 Ltd. (Oct-19)

468,737

 
257

 
14,687

 
14,944

Bellemeade 2020-1 Ltd. (Jun-20) (1)
450,040

 
(60
)
 
8,984

 
8,924

Total
$
3,035,349

 
$
(4,708
)
 
$
78,322

 
$
73,614

Dec 31, 2019
 
 
 
 
 
 
 
Bellemeade 2017-1 Ltd. (Oct-17)
$
216,429

 
$
(442
)
 
$
2,794

 
$
2,352

Bellemeade 2018-1 Ltd. (Apr-18)
328,482

 
(1,574
)
 
5,757

 
4,183

Bellemeade 2018-2 Ltd. (Aug-18)
437,009

 
(877
)
 
2,524

 
1,647

Bellemeade 2018-3 Ltd. (Oct-18)
426,806

 
(1,113
)
 
3,937

 
2,824

Bellemeade 2019-1 Ltd. (Mar-19)
257,358

 
(226
)
 
3,027

 
2,801

Bellemeade 2019-2 Ltd. (Apr-19)
525,959

 
(78
)
 
2,579

 
2,501

Bellemeade 2019-3 Ltd. (Jul-19)
656,523

 
(585
)
 
9,273

 
8,688

Bellemeade 2019-4 Ltd. (Oct-19)
577,267

 
(302
)
 
12,193

 
11,891

Total
$
3,425,833

 
$
(5,197
)
 
$
42,084

 
$
36,887


(1)  An additional $78.5 million capacity was provided directly to Arch MI U.S. by a separate panel of reinsurers and is not reflected in this table.