GREENLIGHT CAPITAL RE, LTD.

Investments

The following table provides a breakdown of our total investments:

At March 31, 2026, our total investments increased by $99.5 million, or 15.7%, to $732.6 million from December 31, 2025, primarily as we transferred some of our restricted cash balances into fixed maturities investments.

Investments in Solasglas

Our investment in Solasglas increased by $10.7 million to $515.2 million at March 31, 2026, driven by the $33.7 million net investment income for the current quarter, partially offset by net redemptions.

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 March 31, 2026, Solasglas’ exposure to gold on a delta-adjusted basis was 10.2% (December 31, 2025: 11.9%).

At March 31, 2026, 96.4% of Solasglas’ portfolio was valued based on quoted prices in actively traded markets (Level 1), 2.4% 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 March 31, 2026, 1.2% of Solasglas’ portfolio consisted of private equity funds valued using the funds’ net asset values as a practical expedient.

Fixed Maturities

Our investment in fixed maturities increased by $85.3 million to $150.9 million at March 31, 2026, driven by further net contributions to the managed fixed maturity portfolio from restricted cash and cash equivalents, coupled with a new investment in a liquid fund approved by Lloyd’s. The funding for this new investment came from funds previously held by Lloyd’s and included in our reinsurance balances receivable (see below).

The following table provides the credit quality distribution of our fixed maturity portfolio at March 31, 2026.

At March 31, 2026, the fixed maturity portfolio had a weighted average credit rating of AA, a book yield of 3.9%, and an average duration of 2.1 years. See Note 4 “Fixed Maturity Investments” and Note 7 “Fair Value Measurements” for further details.

Other Investments

The other investment holdings relate to private investments made by the Innovations segment. The increase of $3.5 million to $66.4 million from December 31, 2025 was predominantly due to additional investments on two existing holdings and three new investments.

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 increased by $3.2 million, or 0.6%, from $532.0 million at December 31, 2025, to $535.2 million at March 31, 2026. During Q1 2026, the increase in restricted cash and cash equivalents was primarily driven from business growth in our Innovations segment, partially offset by the transfer of restricted cash and cash equivalents to our fixed maturity portfolio to further enhance net investment return.

Reinsurance balances receivable

Our reinsurance balances receivable increased by $8.1 million, or 1.2%, to $672.5 million from $664.4 million at December 31, 2025. This was driven primarily by $39.2 million increase in premiums receivable, net of collections, and $12.3 million in premiums held by Lloyds’ syndicates from new and renewed reinsurance treaties; partially offset by $44.2 million net release of Funds at Lloyds. The latter was invested in a liquidity fund (see fixed maturity portfolio).

Loss and LAE Reserves; Loss and LAE Recoverable

Our total gross loss and LAE reserves decreased by $1.6 million, or 0.2%, to $966.3 million from $968.0 million at December 31, 2025. The decrease was predominantly due to the total incurred losses on earned premiums being offset by paid losses during the quarter. See Note 8 of the condensed consolidated financial statements for a summary of changes in outstanding loss and LAE reserves and a description of prior period reserve developments.

Our total loss and LAE recoverable increased by $4.8 million, or 6.0%, to $86.2 million from $81.4 million at December 31, 2025. The increase is driven predominantly by an increase in whole-account quota share retrocession agreements based on assumed premiums. See Note 9 of the condensed consolidated financial statements for a description of the credit risk associated with our retrocessionaires.

Probable Maximum Loss (“PML”)

At April 1, 2026, our estimated largest PML at a 1-in-250-year return period for a single event, and in aggregate, was $143.4 million and $157.5 million, respectively, both relating to the peril of North Atlantic Hurricane, compared to $138.8 million and $151.2 million, respectively, at January 1, 2026. 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

At March 31, 2026, our total outstanding debt remained unchanged from $4.7 million at December 31, 2025. Refer to Note 10 “Debt and Credit Facilities” of the condensed consolidated financial statements for further information.

Total shareholders’ equity

Total shareholders’ equity increased by $33.2 million to $741.2 million, compared to $708.0 million at December 31, 2025. The increase was primarily due to the net income of $35.8 million reported for the period, coupled with share-based compensation adjustment to additional paid-in capital. This was partially offset by $5.0 million of stock repurchases during the quarter.