GREENLIGHT CAPITAL RE LTD

Investments

The following table provides a breakdown of our total investments:

At June 30, 2024, our total investments increased by $92.4 million, or 27.8%, to $424.6 million from December 31, 2023. The increase was primarily driven by $70.0 million of additional contributions into Solasglas, coupled with the net investment return for Q2 2024. The contributions were funded partially from cash flow from operations and partially from the release of restricted cash.

Investments in Solasglas

DME Advisors reports the composition of Solasglas’ portfolio on a delta-adjusted basis, which it believes is the appropriate manner to assess the exposure and profile of investments and reflects how it manages the portfolio. An option’s delta is the option price’s sensitivity to the underlying stock (or commodity) price. The delta-adjusted basis is the number of shares or contracts underlying the option multiplied by the delta and the underlying stock (or commodity) price.

The following table represents the composition of Solasglas’ investments:

The above exposure analysis does not include cash (U.S. dollar and foreign currencies), gold and other commodities, credit default swaps, sovereign debt, foreign currency derivatives, interest rate derivatives, inflation swaps and other macro positions. Under this methodology, a total return swap’s exposure is reported at its full notional amount and options are reported at their delta-adjusted basis. At June 30, 2024, Solasglas’ exposure to gold on a delta-adjusted basis was 7.5% (2023: 11.2%).

At June 30, 2024, 94.3% of Solasglas’ portfolio was valued based on quoted prices in actively traded markets (Level 1), 4.1% was composed of instruments valued based on observable inputs other than quoted prices (Level 2), and a nominal amount was composed of instruments valued based on non-observable inputs (Level 3). At June 30, 2024, 1.6% of Solasglas’ portfolio consisted of private equity funds valued using the funds’ net asset values as a practical expedient.

Other Investments

The other investment holdings relate to private investments made by Innovations. During Q2 2024, we made two modest private equity investments. During the YTD 2024, we impaired certain debt securities (see Note 4), resulting in a decrease in the carrying value of these securities.

Restricted cash and cash equivalents

We use our restricted cash and cash equivalents primarily for funding trusts and letters of credit issued to our ceding insurers. Our restricted cash decreased by $42.7 million, or 7.1%, from $604.6 million at December 31, 2023, to $561.9 million at June 30, 2024, primarily due to release of collateral from our ceding insurers relating to legacy contracts in run-off.

Reinsurance balances receivable

Our reinsurance balances receivable increased by $67.3 million, or 10.9%, to $686.7 million from $619.4 million at December 31, 2023. This increase was driven primarily by the renewal of reinsurance treaties, in addition to new business bound during 2024.

Loss and LAE Reserves; Loss and LAE Recoverable

Our reserves for loss and LAE by lines of business were as follows:

Our total gross loss and LAE reserves increased by $91.2 million, or 13.8%, to $752.8 million from $661.6 million at December 31, 2023. This increase is primarily driven by the increase in earned premium from the renewal of reinsurance treaties and new business, offset partially by paid losses during Q2 2024. See Note 7 “Loss and Loss Adjustment Expense Reserves” of the financial statements for a summary of changes in outstanding loss and LAE reserves and a description of prior period loss developments.

Our total loss and LAE recoverable increased by $33.0 million, or 128.3%, to $58.6 million from $25.7 million at December 31, 2023. This increase was driven mainly by the loss recoveries on the Baltimore bridge loss event, the Taiwan earthquake (gross losses were mostly retroceded), and the increase in quota share retrocessions for Other Specialty business due to growth from inward premiums. See Note 8 “Retrocession” of the financial statements for a description of the credit risk associated with our retrocessionaires.

Probable Maximum Loss (“PML”)

At July 1, 2024, our estimated largest PML at a 1-in-250-year return period for a single event, and in aggregate, was $99.9 million and $109.2 million, respectively, both relating to the peril of North Atlantic Hurricane, compared to $103.3 million and $111.5 million, respectively, at April 1, 2024.

The below table contains the expected modeled loss for each of our peak peril regions and sub-regions for both a single event loss and aggregate loss measures at the 1-in-250-year return period.

Debt

Our total debt decreased by $11.7 million, or 15.9%, to $61.6 million from $73.3 million at December 31, 2023 due to partial repayment. Refer to Note 9 “Debt and Credit Facil ities” of the financial statements for further information.

Total shareholders’ equity

Total shareholders’ equity increased by $37.9 million to $634.0 million, compared to $596.1 million at December 31, 2023. The increase was primarily due to the net income of $35.0 million reported for the period. For details of other movements in shareholders’ equity, see the condensed consolidated statements of shareholders’ equity.