GREENLIGHT CAPITAL RE, LTD.

Investments

The following table provides a breakdown of our total investments:

At September 30, 2026, our total investments increased by $98.7 million, or 15.6%, to $731.7 million from December 31, 2025.

Investments in Solasglas

Our investment in Solasglas decreased by $17.2 million to $487.4 million at September 30, 2026, driven by $7.9 million net redemptions and $9.3 million net investment loss for YTD 2026.

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 September 30, 2026, Solasglas’ exposure to gold on a delta-adjusted basis was 10.2% (December 31, 2025: 11.9%).

At September 30, 2026, 95.8% of Solasglas’ portfolio was valued based on quoted prices in actively traded markets (Level 1), 2.1% 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 September 30, 2026, 2.1% 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 $113.3 million to $178.9 million at September 30, 2026 from December 31, 2025, driven by further transfers 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 previously reported in our reinsurance balances receivable.

The following table provides the credit quality distribution of our fixed maturity portfolio at September 30, 2026.

At September 30, 2026, the fixed maturity portfolio had a weighted average credit rating of AA, a book yield of 4.1%, and an average duration of 2.0 years. See Note 4 and Note 7 of the financial statements for further details.

Other Investments

The other investment holdings relate to private investments made by the Innovations segment. The increase of $2.5 million to $65.5 million from December 31, 2025 was predominantly due to $3.8 million of new investments and favorable fair value adjustments for certain holdings. This was partially offset by $4.1 million of YTD impairment charge, in addition to partial divestitures.

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 $20.0 million, or 3.8%, from $532.0 million at December 31, 2025, to $512.0 million at September 30, 2026. This decrease was primarily due to the transfer of restricted cash and cash equivalents to our fixed maturity portfolio to further enhance net investment return, partially offset by additional cash collateral driven from business growth and renewals.

Reinsurance balances receivable

Our reinsurance balances receivable increased by $19.0 million, or 2.9%, to $683.4 million at September 30, 2026, from $664.4 million at December 31, 2025. While there was an increase of $64.9 million in premiums receivable, net of collections, this was partially offset by $44.2 million net release of Funds at Lloyds, which was transferred to a liquidity fund, as described above under “Fixed Maturities”. Additionally, there was a $7.9 million reduction in premiums held by Lloyds’ syndicates mainly due to the final release for the syndicates’ 2023 year of account, net of receivables from open years of account (2024 through 2026).

Loss and LAE Reserves; Loss and LAE Recoverable

Our total gross loss and LAE reserves increased by $56.9 million, or 5.9%, to $1,024.9 million from $968.0 million at December 31, 2025. The increase was predominantly due to the total incurred losses on earned premiums being offset by paid losses during the quarter. See Note 8 of the 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 $37.0 million, or 45.4%, to $118.4 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 financial statements for a description of the credit risk associated with our retrocessionaires.

Probable Maximum Loss (“PML”)

At October 1, 2026, our estimated largest PML at a 1-in-250-year return period for a single event, and in aggregate, was $146.3 million and $159.9 million, respectively, both relating to the peril of North Atlantic Hurricane, with relatively no significant change since July 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, net of estimated reinstatement premiums and loss recoverables.

Total shareholders’ equity

Total shareholders’ equity decreased by $13.4 million to $694.5 million, compared to $708.0 million at December 31, 2025. The decrease was due to $27.2 million of stock repurchases; partially offset by the YTD 2026 net income of $9.4 million and share-based compensation adjustment to additional paid-in capital.