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Variable Interest Entities and Noncontrolling Interests (Tables)
 6 Months Ended
Jun. 30, 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:

June 30,December 31,
20212020
Assets
Investments accounted for using the fair value option (1)$1,984,919 $1,790,385 
Fixed maturities available for sale, at fair value663,902 655,249 
Equity securities, at fair value97,623 52,410 
Cash349,202 211,451 
Accrued investment income14,549 14,679 
Premiums receivable305,026 224,377 
Reinsurance recoverable on unpaid and paid losses and LAE520,531 286,590 
Ceded unearned premiums123,272 122,339 
Deferred acquisition costs65,532 53,705 
Receivable for securities sold102,287 37,423 
Goodwill and intangible assets10,318 7,650 
Other assets112,794 75,801 
Total assets of consolidated VIE$4,349,955 $3,532,059 
Liabilities
Reserve for losses and loss adjustment expenses$1,916,742 $1,519,583 
Unearned premiums468,948 407,714 
Reinsurance balances payable132,929 63,269 
Revolving credit agreement borrowings155,687 155,687 
Senior notes172,825 172,689 
Payable for securities purchased199,342 25,881 
Other liabilities227,396 193,494 
Total liabilities of consolidated VIE$3,273,869 $2,538,317 
Redeemable noncontrolling interests$52,444 $52,398 
(1)    Included 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:
June 30,
 20212020
Three Months Ended
Balance, beginning of period$876,864 $492,785 
Additional paid in capital attributable to noncontrolling interests383 595 
Amounts attributable to noncontrolling interests41,617 165,598 
Other comprehensive income (loss) attributable to noncontrolling interests10 20,111 
Balance, end of period$918,874 $679,089 
Six Months Ended
Balance, beginning of year$823,007 $762,777 
Additional paid in capital attributable to noncontrolling interests22,113 472 
Repurchases attributable to non-redeemable noncontrolling interests (1)— (2,867)
Amounts attributable to noncontrolling interests78,314 (68,346)
Other comprehensive income (loss) attributable to noncontrolling interests(4,560)(12,947)
Balance, end of period$918,874 $679,089 
(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,
 20212020
Three Months Ended
Balance, beginning of period$57,670 $55,376 
Accretion of preference share issuance costs23 23 
Other(160)587 
Balance, end of period$57,533 $55,986 
Six Months Ended
Balance, beginning of year$58,548 $55,404 
Accretion of preference share issuance costs46 46 
Other(1,061)536 
Balance, end of period$57,533 $55,986 
Portion of income or loss attributable to third party investors
The portion of income or loss attributable to third party investors, recorded in the Company’s consolidated statements of income in ‘net (income) loss attributable to noncontrolling interests,’ are summarized in the table below:
June 30,
 20212020
Three Months Ended
Amounts attributable to non-redeemable noncontrolling interests$(41,617)$(165,598)
Amounts attributable to redeemable noncontrolling interests(1,561)(1,970)
Net (income) loss attributable to noncontrolling interests$(43,178)$(167,568)
Six Months Ended
Amounts attributable to non-redeemable noncontrolling interests$(78,314)$68,346 
Amounts attributable to redeemable noncontrolling interests(2,416)(3,123)
Net (income) loss attributable to noncontrolling interests$(80,730)$65,223 
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 agreements 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.
June 30, 2021
December 31, 2020
Maximum Exposure to LossMaximum 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 $(283)$779 $496 $145,573 $(245)$844 $599 
Bellemeade 2018-1 Ltd. (Apr-18)250,095 (909)1,984 1,075 250,095 (903)2,245 1,342 
Bellemeade 2018-2 Ltd. (Aug-18)— — — — 108,395 (138)280 142 
Bellemeade 2018-3 Ltd. (Oct-18)302,563 (1,622)3,706 2,084 302,563 (1,320)3,262 1,942 
Bellemeade 2019-1 Ltd. (Mar-19)219,256 (1,237)8,204 6,967 219,256 (1,361)8,461 7,100 
Bellemeade 2019-2 Ltd. (Apr-19)398,316 (1,042)6,723 5,681 398,316 (730)5,201 4,471 
Bellemeade 2019-3 Ltd. (Jul-19)528,084 (969)4,527 3,558 528,084 (861)5,079 4,218 
Bellemeade 2019-4 Ltd. (Oct-19)468,737 (1,051)7,128 6,077 468,737 (890)6,676 5,786 
Bellemeade 2020-1 Ltd. (Jun-20) (1)18,843 — — — 275,068 (178)1,012 834 
Bellemeade 2020-2 Ltd. (Sep-20) (2)325,712 (442)4,299 3,857 423,420 (556)6,839 6,283 
Bellemeade 2020-3 Ltd. (Nov-20) (3)418,158 (618)8,250 7,632 418,158 (631)9,605 8,974 
Bellemeade 2020-4 Ltd. (Dec-20) (4)268,405 (150)3,891 3,741 321,393 (156)6,816 6,660 
Bellemeade 2021-1 Ltd. (Mar-21) (5)579,717 (83)4,387 4,304 — — — — 
Bellemeade 2021-2 Ltd. (Jun-21) (6)522,807 630 5,207 5,837 — — — — 
Total$4,446,266 $(7,776)$59,085 $51,309 $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.
(6)  An additional $93 million capacity was provided directly to Arch MI U.S. by a separate panel of reinsurers and is not reflected in this table.