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Variable Interest Entities and Noncontrolling Interests (Tables)
 3 Months Ended
Mar. 31, 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 are reported:
March 31,December 31,
20212020
Assets
Investments accounted for using the fair value option (1)$1,880,768 $1,790,385 
Fixed maturities available for sale, at fair value627,387 655,249 
Equity securities, at fair value62,314 52,410 
Cash236,164 211,451 
Accrued investment income14,325 14,679 
Premiums receivable252,523 224,377 
Reinsurance recoverable on unpaid and paid losses and LAE291,485 286,590 
Ceded unearned premiums113,180 122,339 
Deferred acquisition costs62,224 53,705 
Receivable for securities sold68,076 37,423 
Goodwill and intangible assets7,650 7,650 
Other assets87,358 75,801 
Total assets of consolidated VIE$3,703,454 $3,532,059 
Liabilities
Reserve for losses and loss adjustment expenses$1,568,243 $1,519,583 
Unearned premiums426,975 407,714 
Reinsurance balances payable77,041 63,269 
Revolving credit agreement borrowings155,687 155,687 
Senior notes172,757 172,689 
Payable for securities purchased59,230 25,881 
Other liabilities214,103 193,494 
Total liabilities of consolidated VIE$2,674,036 $2,538,317 
Redeemable noncontrolling interests$52,421 $52,398 
(1)    Includes 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:
March 31,
 20212020
Three Months Ended
Balance, beginning of period$823,007 $762,777 
Additional paid in capital attributable to noncontrolling interests21,730 (123)
Repurchases attributable to non-redeemable noncontrolling interests (1)
— (2,867)
Amounts attributable to noncontrolling interests36,697 (233,944)
Other comprehensive income (loss) attributable to noncontrolling interests(4,570)(33,058)
Balance, end of period$876,864 $492,785 
(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:
March 31,
 20212020
Three Months Ended
Balance, beginning of period$58,548 $55,404 
Accretion of preference share issuance costs23 23 
Other(901)(51)
Balance, end of period$57,670 $55,376 
Portion of income or loss attributable to third party investors
The portion of income or loss attributable to third party investors, recorded in the Company’s consolidated statements of income in ‘net (income) loss attributable to noncontrolling interests,’ are summarized in the table below:
March 31,
 20212020
Three Months Ended
Amounts attributable to non-redeemable noncontrolling interests$(36,697)$233,944 
Amounts attributable to redeemable noncontrolling interests(855)(1,153)
Net (income) loss attributable to noncontrolling interests$(37,552)$232,791 
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 agreement 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.
March 31, 2021
December 31, 2020
Maximum Exposure to Loss Maximum 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 $(306)$1,152 $846 $145,573 $(245)$844 $599 
Bellemeade 2018-1 Ltd. (Apr-18)250,095 (1,081)2,885 1,804 250,095 (903)2,245 1,342 
Bellemeade 2018-2 Ltd. (Aug-18)66,747 (32)62 30 108,395 (138)280 142 
Bellemeade 2018-3 Ltd. (Oct-18)302,563 (1,604)4,277 2,673 302,563 (1,320)3,262 1,942 
Bellemeade 2019-1 Ltd. (Mar-19)219,256 (1,117)7,991 6,874 219,256 (1,361)8,461 7,100 
Bellemeade 2019-2 Ltd. (Apr-19)398,316 (780)6,577 5,797 398,316 (730)5,201 4,471 
Bellemeade 2019-3 Ltd. (Jul-19)528,084 (898)6,047 5,149 528,084 (861)5,079 4,218 
Bellemeade 2019-4 Ltd. (Oct-19)468,737 (908)8,034 7,126 468,737 (890)6,676 5,786 
Bellemeade 2020-1 Ltd. (Jun-20) (1)132,881 (58)294 236 275,068 (178)1,012 834 
Bellemeade 2020-2 Ltd. (Sep-20) (2)368,797 (370)6,077 5,707 423,420 (556)6,839 6,283 
Bellemeade 2020-3 Ltd. (Nov-20) (3)418,158 (433)9,527 9,094 418,158 (631)9,605 8,974 
Bellemeade 2020-4 Ltd. (Dec-20) (4)321,393 (23)5,969 5,946 321,393 (156)6,816 6,660 
Bellemeade 2021-1 Ltd. (Mar-21) (5)579,717 — 4,767 4,767 — — — — 
Total$4,200,317 $(7,610)$63,659 $56,049 $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.