GREENLIGHT CAPITAL RE LTD

CONDENSED CONSOLIDATED BALANCE SHEETS

June 30, 2024 (unaudited) and December 31, 2023

(expressed in thousands of U.S. dollars, except per share and share amounts)

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS

For the three and six months ended June 30, 2024 and 2023

(expressed in thousands of U.S. dollars, except per share and share amounts)

CONDENSED CONSOLIDATED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

For the three and six months ended June 30, 2024 and 2023

(expressed in thousands of U.S. dollars)

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS

For the six months ended June 30, 2024 and 2023

(expressed in thousands of U.S. dollars)

NOTES TO THE CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

June 30, 2024

1. ORGANIZATION AND BASIS OF PRESENTATION

Organization

Greenlight Capital Re, Ltd. (“GLRE” and, together with its wholly-owned subsidiaries, the “Company”) was incorporated as an exempted company under the Companies Law of the Cayman Islands on July 13, 2004. The Company is a global specialty property and casualty reinsurer headquartered in the Cayman Islands. The ordinary shares of GLRE are listed on Nasdaq Global Select Market under the symbol “GLRE.”

Basis of Presentation

These unaudited condensed consolidated financial statements (the “financial statements”) have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for interim financial information, and with the U.S. Securities and Exchange Commission’s (“SEC”) instructions to Quarterly Report on Form 10-Q and Article 10 of Regulation S-X. Accordingly, they do not include all the information and footnotes required by U.S. GAAP for complete financial statements. The financial statements should be read in conjunction with the Company’s audited consolidated financial statements included in the Company’s 2023 Form 10-K. The financial statements include the accounts of GLRE and the consolidated financial statements of its wholly-owned subsidiaries and all significant intercompany transactions and balances have been eliminated on consolidation.

In the opinion of management, these financial statements reflect all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation of the Company’s financial position and results of operations as at the end of and for the periods presented. The results of operations for any interim period are not necessarily indicative of the results for a full year.

Tabular dollars are in thousands, with the exception of per share amounts or otherwise noted. All amounts are reported in U.S. dollars.

Reclassifications

Certain amounts in the prior period financial statements have been reclassified to conform to the presentation of the current financial statements. The Company has reported separately the foreign exchange gains (losses) from “Other income” in the condensed consolidated statements of operations. This resulted in no change to the previously reported total revenues or net income. The Company has also included the foreign exchange gains (losses) as part of the net change in working capital in the condensed consolidated statements of cash flows. Further, the Company combined “Other assets, excluding depreciation” and “Other liabilities” and presented the sum as “Other items, net” in the condensed consolidated statements of cash flows. These changes in presentation in the condensed consolidated statements of cash flows have resulted in no change to the previously reported net cash provided by (used in) operating activities.

2. SIGNIFICANT ACCOUNTING POLICIES

There were no material changes to the Company’s significant accounting policies subsequent to its 2023 Form 10-K.

Recently Issued Accounting Standards Not Yet Adopted

On November 27, 2023, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2023-07, Segment Reporting - Improvements to Reportable Segment Disclosures. The new ASU requires incremental disclosures related to a public entity’s reportable segments but does not change the definition of a segment, the method for determining segments, or the criteria for aggregating operating segments into reportable segments. This new guidance is effective for the Company’s 2024 year-end financial statements, and should be adopted retrospectively unless impracticable. Early adoption is permitted.

On December 14, 2023, FASB issued ASU 2023-09, Income Taxes Topic (740) - Improvements to Income Tax Disclosures. The new ASU provides more transparency about income tax information through improvements to income tax disclosures primarily related to the rate reconciliation and income taxes paid information. Early adoption is permitted. The amendments should be applied on a prospective basis; however, retrospective application is permitted. This ASU is effective for the Company’s 2024 year-end financial statements.

As the above ASUs relate solely to financial statement disclosures, the adoption of these ASUs will not impact the Company’s financial condition, results of operations, or cash flows.

3. INVESTMENT IN RELATED PARTY INVESTMENT FUND

For the three and six months ended June 30, 2024, there was no change to the Company’s agreement with Solasglas Investments, LP (“Solasglas”). Effective August 1, 2024, the parties amended the agreement to revise the Investment Cap from 60% to 70% (as defined in Note 3 of the 2023 Form 10-K).

The Company’s maximum exposure to loss relating to Solasglas is limited to GLRE's share of Partners’ capital in Solasglas. At June 30, 2024, GLRE’s share of Partners’ capital in Solasglas was $351.5 million (December 31, 2023: $258.9 million), representing 76.3% (December 31, 2023:72.7%) of Solasglas’ total net assets. DME II held the remaining 23.7% (December 31, 2023:27.3%) of Solasglas’ total net assets.

The Company’s share of the net increase in Partner’s capital for the three and six months ended June 30, 2024 was $4.3 million and $22.6 million, respectively, (three and six months ended June 30, 2023: $32.8 million and $29.6 million, respectively), as shown in the caption “Income (loss) from investment in related party investment fund” in the Company’s condensed consolidated statements of operations.

The summarized financial statements of Solasglas are presented below.

Summarized Statements of Financial Condition of Solasglas Investments, LP

Summarized Statements of Operations of Solasglas Investments, LP

(1) The net increase in Partners’ capital is net of management fees and performance allocation presented below:

4. OTHER INVESTMENTS

At June 30, 2024, the breakdown of the Company’s other investments was as follows:

At December 31, 2023, the breakdown of the Company’s other investments was as follows:

The following table presents the carrying values of the private investments and unlisted equity securities carried under the measurement alternative at June 30, 2024 and 2023, and the related adjustments recorded during the periods then ended.

(1) The period-end carrying values reflect cumulative purchases and sales in addition to upward and downward carrying value changes.

(2)The cumulative upward carrying value changes from inception to June 30, 2024, totaled $50.9 million.

(3) The cumulative downward carrying value changes and impairments from inception to June 30, 2024, totaled $2.8 million.

Net investment income

The following table summarizes the change in unrealized gains (losses) and the realized gains (losses) for the Company’s other investments, which are included in “Net investment income” in the condensed consolidated statements of operations (see Note 13):

During the six months ended June 30, 2024, the Company collected $0.2 million of liquidation proceeds relating to a private investment which was previously fully impaired, resulting in a gross realized loss of $1.3 million offset by a corresponding reduction in unrealized losses of $1.5 million.

During the three and six months ended June 30, 2023, the Company realized a loss of $nil and $0.8 million, respectively, and a corresponding reversal of unrealized loss relating to an investment which was previously fully impaired at December 31, 2022, resulting in no impact to the Company’s net income (loss).

5. RESTRICTED CASH AND CASH EQUIVALENTS

The following table shows the breakdown of the Company’s restricted cash and cash equivalents, along with a reconciliation of the total cash, cash equivalents, and restricted cash reported in the condensed consolidated statements of cash flows:

Where the Company operates as a non-admitted carrier in certain foreign jurisdictions, regulatory trust accounts and letters of credit are issued to cedents. Additionally, the Company has provided cash collateral for the Loan Facility (see Note 9).

6. FAIR VALUE MEASUREMENTS

Assets measured at fair value on a nonrecurring basis

At June 30, 2024 and December 31, 2023, the Company held $61.8 million and $61.3 million, respectively, of private investments and unlisted equities measured at fair value on a nonrecurring basis. At June 30, 2024, the Company held $10.0 million (2023: $9.9 million) of private investments and unlisted equities measured at cost. The Company classifies these investments as Level 3 within the fair value hierarchy.

The following table summarizes the periods between the most recent fair value measurement dates and June 30, 2024, for the private and unlisted equities measured at fair value on a nonrecurring basis:

Assets measured at fair value on a recurring basis

Derivative financial instruments

The Company uses interest rate swaps in connection with its risk management activities to hedge 50% of the interest rate risk relating to the outstanding Term Loans (see Note 9). The interest rate swaps are carried at fair value and are determined using a market approach valuation technique based on significant observable market inputs from third-party pricing vendors. Accordingly, the interest rates swaps are classified as Level 2 within the fair value hierarchy. These derivative instruments are not designated as accounting hedges under U.S. GAAP.

For the three and six months ended June 30, 2024, the Company recognized a reduction in unrealized loss of $0.1 million and $0.6 million, respectively, for the above derivatives to a nominal value at June 30, 2024, which is included in other liabilities in the condensed consolidated balance sheets, in interest expense in the condensed consolidated statements of operations, and in “net change in unrealized gains and losses on investments and derivatives” in the condensed consolidated statements of cash flows. There were no derivative financial instruments for the three and six months ended June 30, 2023.

Financial Instruments Disclosed, But Not Carried, at Fair Value

At June 30, 2024, the carrying value of debt and convertible debt securities within “Other Investments” (see Note 4) and the Term Loans approximates their fair values. The Company classifies these financial instruments as Level 2 within the fair value hierarchy.

7. LOSS AND LOSS ADJUSTMENT EXPENSE RESERVES

The Company’s loss and loss adjustment expense (“LAE”) reserves were composed of the following:

Reserve Roll-forward

The following provides a summary of changes in outstanding loss and LAE reserves for all lines of business:

Estimates for Significant Catastrophe Events

At June 30, 2024, the Company’s net reserves for losses and loss expenses include estimated amounts for several catastrophe and weather-related events (“CAT loss”). The magnitude and volume of losses arising from these events is inherently uncertain and, consequently, actual losses for these events may ultimately differ, potentially materially, from current estimates.

During the six months ended June 30, 2024, the Company recognized total CAT loss, net of reinsurance, of $35.2 million. Current year CAT loss events were $25.7 million, driven mainly by the Baltimore bridge collapse, the U.S. tornados (including severe convective storms), satellite failures, and a Mexican state-owned oil platform fire. Additionally, the Company incurred $9.4 million of net adverse prior year CAT loss development relating primarily to severe weather affecting U.S. homeowners’ property coverage (2021-2023 underwriting years).

During the six months ended June 30, 2023, the Company recognized total CAT loss, net of reinsurance, of $19.6 million. Current year CAT loss events were $16.4 million, driven mainly by the Turkey earthquake, New Zealand Cyclone

Gabrielle and the U.S. tornados, coupled with $3.2 million net adverse prior year CAT loss development mainly relating to the 2022 Winter Storm Elliott.

Prior Year Reserve Development

During the six months ended June 30, 2024, the Company experienced $4.7 million in net adverse development on prior year loss and LAE reserves. This was composed of $19.5 million of reserve strengthening predominantly for the above prior year CAT loss events, coupled with additional losses reported on general liability contracts (mostly 2014-2017 underwriting years) and legacy quota share workers’ compensation treaties (mostly 2017-2021 underwriting years) due to current economic and social inflation trends. The reserve increases were partially offset by $14.8 million favorable loss development predominantly from mortgage contracts (various underwriting years), multi-line commercial treaties (mostly 2020 underwriting year), Funds at Lloyd’s (“FAL”) (2023 underwriting year), and other specialty business (mostly 2020-2022 underwriting years).

During the six months ended June 30, 2023, the Company experienced $13.8 million in net adverse development on prior year loss and LAE reserves. This was comprised of $21.5 million of reserve strengthening predominantly on casualty contracts (mostly 2018, 2019 and 2021 underwriting years) and property contracts (mostly 2020 and 2021 underwriting years) due to current economic and social inflation trends, coupled with adverse CAT loss development on U.S. homeowners’ property business relating to Winter Storm Elliott (2022 underwriting year). This was partially offset by $7.7 million better than expected loss emergence predominantly from other property catastrophe events (mostly 2019, 2021 and 2022 underwriting years).

8. RETROCESSION

The following table provides a breakdown of ceded reinsurance:

Retrocession contracts do not relieve the Company from its obligations to its cedents. Failure of retrocessionaires to honor their obligations could result in losses to the Company. The following table shows a breakdown of losses recoverable on a gross and net of collateral basis:

(1) Collateral is in the form of cash, letters of credit, funds withheld, and/or cash collateral held in trust accounts. This excludes any excess collateral in order to disclose the aggregate net exposure for each retrocessionaire.

At June 30, 2024, we had 3 reinsurers (December 31, 2023: 3) that accounted for 10% or more of the total loss and loss adjustment expenses recoverable, net, for an aggregate gross amount of $42.3 million (December 31, 2023: $20.4 million).

9. DEBT AND CREDIT FACILITIES

Debt Obligations

The following table summarizes the Company’s outstanding debt obligations.

During the six months ended June 30, 2024, the Company partially repaid $11.9 million of the outstanding Term loans.

Credit Facilities

At June 30, 2024, the Company had the following letter of credit (“LOC”) facilities:

1. Includes $14 million of uncommitted capacity.

The above LOCs issued are cash collateralized (see Note 5). The LOC facilities are subject to various customary affirmative, negative and financial covenants. At June 30, 2024, the Company was in compliance with all LOC facilities covenants.

On April 12, 2024, the Company received written notice from Citibank Europe plc (“Citi”) of its decision to terminate the $275 million committed capacity under the Citi LOC agreement, with an effective date of August 20, 2024. However, Citi informed the Company that it intends to continue providing the Citi LOC on an uncommitted basis for the foreseeable future following the termination date.

10. SHARE CAPITAL

Ordinary Shares

The following table is a summary of changes in ordinary shares issued and outstanding for the six months ended June 30:

The Company’s authorized share capital is 125,000,000 ordinary shares, par value of $0.10 per share.

On July 25, 2023, at the Company’s Annual General Meeting the shareholders approved the re-designation of Class B ordinary shares as Class A ordinary shares, and then reclassified Class A ordinary shares as “ordinary shares”, resulting in the elimination of the dual-class share structure.

At June 30, 2024, the Company has an effective Form S-3 registration statement on file with the SEC for an aggregate principal amount of $200.0 million in securities.

Share Repurchase Plan

On May 3, 2024, the Board of Directors re-approved the share repurchase plan, until June 30, 2025, authorizing the Company to repurchase up to $25.0 million of ordinary shares or securities convertible into ordinary shares in the open market, through privately negotiated transactions or Rule 10b5-1 stock trading plans. Any shares repurchased are canceled immediately upon repurchase. For the six months ended June 30, 2024 and 2023, there wasno repurchase of ordinary shares.

Preferred Shares

The Company’s authorized share capital also consists of 50,000,000 preference shares with a par value of $0.10 each. At June 30, 2024, the Company has no issued and outstanding preferred shares.

11. SHARE-BASED COMPENSATION

Refer to Note 11 of the Company’s audited consolidated financial statements of its 2023 Form 10-K for a summary of the Company’s 2023 Incentive Plan, including the definition of performance-based and service-based stock awards.

Employee and Director Restricted Shares

The following table summarizes the activity for unvested outstanding restricted share awards (“RSs”) during the six months ended June 30, 2024 and 2023:

At June 30, 2024,2,914,198 (December 31, 2023:3,296,771) ordinary shares remained available for future issuance under the Company’s 2023 Incentive Plan.

There wasno grant of RSs during the six months ended June 30, 2024 (2023:535,329). For the six months ended June 30, 2024, the total fair value of Service RSs vested was $1.9 million (2023: $1.7 million).

Employee Restricted Stock Units

The following table summarizes the activity for unvested outstanding restricted stock units (“RSUs”) during the six months ended June 30, 2024 and 2023:

For the awards granted during the six months ended June 30, 2024, the Service RSUs vest evenly over three years on January 1, subject to the grantee’s continued service with the Company. If performance goals are achieved, the Performance RSUs will cliff vest at the end of athree-year performance period within a range of 50% and 200% of the awarded Performance RSUs, with a target of 100%.

For the six months ended June 30, 2024, the total fair value of Service RSUs vested was $0.7 million (2023: $0.5 million).

Employee and Director Stock Options

During the six months ended June 30, 2024,250,000 ordinary share purchase options were granted to the Company’s CEO, pursuant to his employment contract. These options vest 50,000 annually and expire in 10 years from the grant date. The grant date fair value of these options was $4.31 per share, based on the Black-Scholes option pricing model. The following inputs were used in this pricing model:

Stock Compensation Expense

For the six months ended June 30, 2024 and 2023, the Company recorded $2.9 million and $2.3 million of total stock compensation expense (net of forfeitures), respectively. The stock compensation expense is included in “General and administrative expenses” in the condensed consolidated statements of operations. Forfeiture recoveries were immaterial for both periods.

12. EARNINGS PER SHARE

The following table reconciles net income and weighted average shares used in computing basic and diluted EPS for the three and six months ended June 30, 2024 and 2023:

13. NET INVESTMENT INCOME

The following table provides a breakdown of net investment income:

14. RELATED PARTY TRANSACTIONS

Investment Advisory Agreement

There has been no change to the Company’s agreement with Solasglas as described in its 2023 Form 10-K. Refer to Note 3 for a breakdown of management fees and performance fees for the six months ended June 30, 2024 and 2023.

Green Brick Partners, Inc.

David Einhorn also serves as the Chairman of the Board of Directors of Green Brick Partners, Inc. (“GRBK”), a publicly-traded company. At June 30, 2024, Solasglas, along with certain affiliates of DME Advisors, collectively owned 25.2% of the issued and outstanding common shares of GRBK. Under applicable securities laws, DME Advisors may sometimes be limited in its ability to trade GRBK shares held in Solasglas. At June 30, 2024, Solasglas held 1.8 million shares of GRBK. Subsequent to June 30, 2024, Solasglas reduced its exposure to GRBK and as of July 31, 2024 held 1.3 million shares of GRBK.

Service Agreement

The Company has entered into a service agreement with DME Advisors, pursuant to which DME Advisors provides certain investor relations services to the Company for compensation offive thousand dollars per month (plus expenses). The agreement automatically renews annually until terminated by either the Company or DME Advisors for any reason with 30 days prior written notice to the other party.

Collateral Assets Investment Management Agreement

Effective January 1, 2019, the Company (and its subsidiaries) entered into a collateral assets investment management agreement (the “CMA”) with DME Advisors, pursuant to which DME Advisors manages certain assets of the Company that are not subject to the Solasglas LPA and are held by the Company to provide collateral required by the cedents in the form of trust accounts and letters of credit. In accordance with the CMA, DME Advisors receives no fees and is required to comply with the collateral investment guidelines. The CMA can be terminated by any of the parties upon 30 days’ prior written notice to the other parties.

15. COMMITMENTS AND CONTINGENCIES

a) Concentration of Credit Risk

Cash and cash equivalents

The Company monitors its concentration of credit risk with financial institutions and limits acceptable counterparties based on current rating, outlook and other relevant factors.

Investments

The Company’s credit risk exposure to private debt and convertible debt securities within its “Other investments” are immaterial (see Note 4).

Reinsurance balances receivable, net

The following table shows the breakdown of reinsurance balances receivable:

The Company has posted deposits at Lloyd’s to support underwriting capacity for certain syndicates, including Syndicate 3456. Lloyd’s has a credit rating of “A” (Excellent) from A.M. Best.

Premiums receivable includes a significant portion of estimated premiums not yet due. Brokers and other intermediaries are responsible for collecting premiums from customers on the Company’s behalf. The Company monitors its concentration of credit risks from brokers. The diversity in the Company’s client base limits credit risk associated with premiums receivable and funds (premiums) held by cedents. Further, under the reinsurance contracts the Company has contractual rights to offset premium balances receivable and funds held by cedants against corresponding payments for losses and loss expenses.

Loss and loss adjustment expenses recoverable, net

The Company regularly evaluates its net credit exposure to the retrocessionaires and their abilities to honor their respective obligations. See Note 8 for analysis of concentration of credit risk relating to retrocessionaires.

b) Lease Obligations

There was no material change to the Company’s operating lease agreements subsequent to its 2023 Form 10-K.

c) Litigation

From time to time, in the ordinary course of business, the Company may be involved in formal and informal dispute resolution procedures, which may include arbitration or litigation. The outcomes of these procedures determine the rights and obligations under the Company’s reinsurance contracts and other contractual agreements. In some disputes, the Company may seek to enforce its rights under an agreement or collect funds owed. In other matters, the Company may resist attempts by others to collect funds or enforce alleged rights. While the Company cannot predict the outcome of legal disputes with certainty, the Company does not believe that any existing dispute, when finally resolved, will have a material adverse effect on the Company’s business, financial condition, or operating results.

16. SEGMENT REPORTING

The Company hasone operating segment: Property & Casualty Reinsurance.

The following tables provide a breakdown of the Company’s gross premiums written by line and class of business, and by geographic area of risks insured for the periods indicated:

Gross Premiums Written by Line of Business

Gross Premiums Written by Geographic Area of Risks Insured

(1) “Worldwide” is composed of contracts that reinsure risks in more than one geographic area and may include risks in the U.S.