Variable Interest Entities

9 Months Ended

Sep. 30, 2023

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 reinsurance premium paid in regard to the Bellemeade Agreements is calculated by multiplying the outstanding reinsurance coverage amount at the beginning of the period by the coupon rate, which is the SOFR plus a contractual risk margin, less the actual investment income collected during the preceding month on the assets included in the underlying reinsurance trusts. In the event the assets included in the underlying reinsurance trusts (became severely impaired or worthless and the special purpose reinsurance companies were unable to meet their future obligations, the Company’s mortgage insurance subsidiaries would be liable to fulfill claim payments to policyholders. The Company’s maximum exposure to loss associated with these VIEs is determined as the amount of mortgage insurance claim payments on the insured policies, net of aggregate reinsurance payments previously received, up to the full aggregate excess of loss reinsurance coverage amounts. See note 16, “Subsequent Events.”

The following table summarizes the total assets of the Bellemeade entities:



	September 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)	51			—		90
2018-3 Ltd. (Oct-18)	154			—		199
2019-1 Ltd. (Mar-19)	80			—		108
2019-2 Ltd. (Apr-19)	265			—		325
2019-3 Ltd. (Jul-19)	120			—		223
2019-4 Ltd. (Oct-19)	218			—		266
2020-2 Ltd. (Sep-20)	54			—		105
2020-3 Ltd. (Nov-20)	183			4		244
2020-4 Ltd. (Dec-20)	67			2		98
2021-1 Ltd. (Mar-21)	388			17		467
2021-2 Ltd. (Jun-21)	380			58		458
2021-3 Ltd. (Sep-21)	444			116		490
2022-1 Ltd. (Jan-22)	269			30		284
2022-2 Ltd. (Sep-22)	201			126		201
Total	$	2,874		$	353	$	3,595

(1) Coverage from a separate panel of reinsurers remaining at September 30, 2023.