000138561312/31Accelerated Filer2020Q2falseus-gaap:AccountingStandardsUpdate201613MemberP3DP3YP5Y120000000013856132020-01-012020-06-30xbrli:shares0001385613us-gaap:CommonClassAMember2020-07-310001385613us-gaap:CommonClassBMember2020-07-31iso4217:USD00013856132020-06-3000013856132019-12-31iso4217:USDxbrli:shares0001385613us-gaap:CommonClassAMember2020-06-300001385613us-gaap:CommonClassAMember2019-12-310001385613us-gaap:CommonClassBMember2020-06-300001385613us-gaap:CommonClassBMember2019-12-3100013856132020-04-012020-06-3000013856132019-04-012019-06-3000013856132019-01-012019-06-300001385613us-gaap:CommonStockMember2018-12-310001385613us-gaap:AdditionalPaidInCapitalMember2018-12-310001385613us-gaap:RetainedEarningsMember2018-12-310001385613us-gaap:ParentMember2018-12-310001385613us-gaap:NoncontrollingInterestMember2018-12-3100013856132018-12-310001385613us-gaap:CommonStockMember2019-01-012019-06-300001385613us-gaap:ParentMember2019-01-012019-06-300001385613us-gaap:AdditionalPaidInCapitalMember2019-01-012019-06-300001385613us-gaap:NoncontrollingInterestMember2019-01-012019-06-300001385613us-gaap:RetainedEarningsMember2019-01-012019-06-300001385613us-gaap:CommonStockMember2019-06-300001385613us-gaap:AdditionalPaidInCapitalMember2019-06-300001385613us-gaap:RetainedEarningsMember2019-06-300001385613us-gaap:ParentMember2019-06-300001385613us-gaap:NoncontrollingInterestMember2019-06-3000013856132019-06-300001385613us-gaap:CommonStockMember2019-12-310001385613us-gaap:AdditionalPaidInCapitalMember2019-12-310001385613us-gaap:RetainedEarningsMember2019-12-310001385613us-gaap:ParentMember2019-12-310001385613us-gaap:NoncontrollingInterestMember2019-12-3100013856132019-01-012019-12-310001385613srt:RevisionOfPriorPeriodAccountingStandardsUpdateAdjustmentMemberus-gaap:RetainedEarningsMember2019-12-310001385613srt:RevisionOfPriorPeriodAccountingStandardsUpdateAdjustmentMemberus-gaap:ParentMember2019-12-310001385613srt:RevisionOfPriorPeriodAccountingStandardsUpdateAdjustmentMember2019-12-310001385613us-gaap:CommonStockMember2020-01-012020-06-300001385613us-gaap:ParentMember2020-01-012020-06-300001385613us-gaap:AdditionalPaidInCapitalMember2020-01-012020-06-300001385613us-gaap:RetainedEarningsMember2020-01-012020-06-300001385613us-gaap:CommonStockMember2020-06-300001385613us-gaap:AdditionalPaidInCapitalMember2020-06-300001385613us-gaap:RetainedEarningsMember2020-06-300001385613us-gaap:ParentMember2020-06-300001385613us-gaap:NoncontrollingInterestMember2020-06-300001385613srt:CumulativeEffectPeriodOfAdoptionAdjustmentMember2020-06-300001385613srt:CumulativeEffectPeriodOfAdoptionAdjustmentMember2020-01-012020-06-300001385613srt:CumulativeEffectPeriodOfAdoptionAdjustmentMember2019-01-012019-06-300001385613us-gaap:EmployeeStockOptionMember2020-04-012020-06-300001385613us-gaap:EmployeeStockOptionMember2019-04-012019-06-300001385613us-gaap:EmployeeStockOptionMember2020-01-012020-06-300001385613us-gaap:EmployeeStockOptionMember2019-01-012019-06-300001385613us-gaap:RestrictedStockMember2020-04-012020-06-300001385613us-gaap:RestrictedStockMember2019-04-012019-06-300001385613us-gaap:RestrictedStockMember2020-01-012020-06-300001385613us-gaap:RestrictedStockMember2019-01-012019-06-300001385613us-gaap:AccountingStandardsUpdate201613Membersrt:CumulativeEffectPeriodOfAdoptionAdjustmentMember2019-12-310001385613glre:SILPMemberglre:GreenlightCapitalReLimitedPartnersMember2020-06-300001385613glre:SILPMemberglre:GreenlightCapitalReLimitedPartnersMember2019-12-31xbrli:pure0001385613us-gaap:GeneralPartnerMember2020-06-300001385613us-gaap:GeneralPartnerMember2019-12-310001385613glre:LimitedPartnershipAgreementMember2020-01-012020-06-300001385613glre:SolasglasInvestmentLPSILPMemberus-gaap:EquityMethodInvestmentNonconsolidatedInvesteeOrGroupOfInvesteesMember2020-06-300001385613glre:SolasglasInvestmentLPSILPMemberus-gaap:EquityMethodInvestmentNonconsolidatedInvesteeOrGroupOfInvesteesMember2019-12-310001385613glre:SolasglasInvestmentLPSILPMember2020-04-012020-06-300001385613glre:SolasglasInvestmentLPSILPMember2019-04-012019-06-300001385613glre:SolasglasInvestmentLPSILPMember2020-01-012020-06-300001385613glre:SolasglasInvestmentLPSILPMember2019-01-012019-06-300001385613glre:PrivateAndUnlistedEquitySecuritiesMember2020-06-300001385613us-gaap:EquityMethodInvestmentsMember2020-06-300001385613glre:PrivateAndUnlistedEquitySecuritiesMember2019-12-310001385613us-gaap:EquityMethodInvestmentsMember2019-12-310001385613glre:PrivateAndUnlistedEquitySecuritiesMember2020-04-012020-06-300001385613glre:PrivateAndUnlistedEquitySecuritiesMember2020-01-012020-06-300001385613glre:PrivateAndUnlistedEquitySecuritiesMember2018-04-012018-06-300001385613glre:PrivateAndUnlistedEquitySecuritiesMember2019-01-012019-06-300001385613us-gaap:VariableInterestEntityNotPrimaryBeneficiaryMemberglre:AccuRiskHoldingsLLCMember2020-06-302020-06-300001385613us-gaap:VariableInterestEntityNotPrimaryBeneficiaryMemberglre:AccuRiskHoldingsLLCMember2019-12-312019-12-310001385613us-gaap:VariableInterestEntityNotPrimaryBeneficiaryMemberglre:AccuRiskHoldingsLLCMember2020-01-012020-06-300001385613us-gaap:VariableInterestEntityNotPrimaryBeneficiaryMemberglre:AccuRiskHoldingsLLCMember2020-04-012020-06-300001385613us-gaap:VariableInterestEntityNotPrimaryBeneficiaryMemberglre:AccuRiskHoldingsLLCMember2019-04-012019-06-300001385613us-gaap:VariableInterestEntityNotPrimaryBeneficiaryMemberglre:AccuRiskHoldingsLLCMember2019-01-012019-06-300001385613us-gaap:HealthInsuranceProductLineMember2019-12-310001385613us-gaap:HealthInsuranceProductLineMember2018-12-310001385613us-gaap:HealthInsuranceProductLineMember2020-01-012020-06-300001385613us-gaap:HealthInsuranceProductLineMember2019-01-012019-06-300001385613us-gaap:HealthInsuranceProductLineMember2020-06-300001385613us-gaap:HealthInsuranceProductLineMember2019-06-300001385613glre:UnratedMemberus-gaap:CededCreditRiskUnsecuredMember2020-06-300001385613glre:UnratedMemberus-gaap:CededCreditRiskUnsecuredMember2019-12-310001385613glre:UnratedMemberus-gaap:CededCreditRiskSecuredMember2020-06-300001385613glre:UnratedMemberus-gaap:CededCreditRiskSecuredMember2019-12-310001385613srt:AMBestAMinusRatingMember2020-06-300001385613srt:AMBestAMinusRatingMember2019-12-310001385613glre:SeniorUnsecuredConvertibleNotesMemberus-gaap:SeniorNotesMember2018-08-070001385613glre:SeniorUnsecuredConvertibleNotesMemberus-gaap:SeniorNotesMembersrt:ProFormaMember2020-06-3000013856132018-08-070001385613glre:SeniorUnsecuredConvertibleNotesMemberus-gaap:SeniorNotesMember2020-06-300001385613glre:SeniorUnsecuredConvertibleNotesMemberus-gaap:SeniorNotesMember2019-12-310001385613glre:SeniorUnsecuredConvertibleNotesMemberus-gaap:SeniorNotesMember2020-04-012020-06-300001385613glre:SeniorUnsecuredConvertibleNotesMemberus-gaap:SeniorNotesMember2020-01-012020-06-300001385613glre:SeniorUnsecuredConvertibleNotesMemberus-gaap:SeniorNotesMember2019-04-012019-06-300001385613glre:SeniorUnsecuredConvertibleNotesMemberus-gaap:SeniorNotesMember2019-01-012019-06-300001385613us-gaap:CommonClassAMember2017-04-262017-04-260001385613us-gaap:CommonClassAMember2017-04-250001385613us-gaap:CommonClassAMember2017-04-260001385613glre:SeniorUnsecuredConvertibleNotesMemberus-gaap:SeniorNotesMember2020-03-260001385613us-gaap:CommonClassAMember2020-01-012020-06-300001385613us-gaap:CommonClassAMember2019-01-012019-06-300001385613us-gaap:CommonClassAMemberus-gaap:SubsequentEventMember2020-07-310001385613glre:SeniorUnsecuredConvertibleNotesMemberus-gaap:SeniorNotesMemberus-gaap:SubsequentEventMember2020-07-310001385613us-gaap:CommonClassAMember2018-12-310001385613us-gaap:CommonClassBMember2018-12-310001385613us-gaap:CommonClassBMember2020-01-012020-06-300001385613us-gaap:CommonClassBMember2019-01-012019-06-300001385613us-gaap:CommonClassAMember2019-06-300001385613us-gaap:CommonClassBMember2019-06-300001385613us-gaap:CommonClassAMemberus-gaap:RestrictedStockMember2020-01-012020-06-300001385613us-gaap:CommonClassAMemberus-gaap:RestrictedStockMember2019-01-012019-06-300001385613us-gaap:RestrictedStockMember2020-01-012020-06-300001385613us-gaap:CommonClassAMemberus-gaap:RestrictedStockMembersrt:ChiefExecutiveOfficerMember2020-01-012020-06-300001385613us-gaap:CommonClassAMemberus-gaap:RestrictedStockMembersrt:ChiefExecutiveOfficerMember2019-01-012019-06-300001385613us-gaap:RestrictedStockMembersrt:ChiefExecutiveOfficerMember2020-01-012020-06-300001385613us-gaap:RestrictedStockMembersrt:ChiefExecutiveOfficerMember2019-01-012019-06-300001385613us-gaap:RestrictedStockMemberus-gaap:SubsequentEventMembersrt:ChiefExecutiveOfficerMember2020-07-302020-07-300001385613us-gaap:RestrictedStockMember2019-01-012019-06-300001385613us-gaap:RestrictedStockMember2020-06-300001385613us-gaap:RestrictedStockMember2019-12-310001385613us-gaap:RestrictedStockMember2020-06-302020-06-300001385613us-gaap:RestrictedStockMember2019-12-312019-12-310001385613us-gaap:EmployeeStockOptionMemberus-gaap:CommonClassAMembersrt:ChiefExecutiveOfficerMember2020-01-012020-06-300001385613us-gaap:EmployeeStockOptionMember2020-01-012020-06-300001385613us-gaap:EmployeeStockOptionMember2019-01-012019-06-300001385613us-gaap:EmployeeStockOptionMember2020-06-300001385613us-gaap:EmployeeStockOptionMember2019-06-300001385613us-gaap:EmployeeStockOptionMember2019-12-310001385613us-gaap:EmployeeStockOptionMember2020-06-302020-06-300001385613us-gaap:EmployeeStockOptionMember2019-12-312019-12-310001385613us-gaap:RestrictedStockUnitsRSUMember2020-01-012020-06-300001385613us-gaap:RestrictedStockUnitsRSUMember2019-01-012019-06-300001385613us-gaap:RestrictedStockUnitsRSUMember2019-12-310001385613us-gaap:RestrictedStockUnitsRSUMember2020-06-300001385613us-gaap:GeneralAndAdministrativeExpenseMember2020-01-012020-06-300001385613us-gaap:GeneralAndAdministrativeExpenseMember2019-01-012019-06-300001385613srt:BoardOfDirectorsChairmanMemberglre:LimitedPartnershipAgreementMember2018-09-012018-09-010001385613srt:BoardOfDirectorsChairmanMemberglre:LimitedPartnershipAgreementMember2020-01-012020-06-300001385613glre:InvestmentAdvisoryAgreementMembersrt:BoardOfDirectorsChairmanMember2018-09-012018-09-010001385613srt:AffiliatedEntityMemberglre:GreenBricksPartnersIncGRBKMember2020-06-300001385613glre:ServiceAgreementMembersrt:BoardOfDirectorsChairmanMember2020-01-012020-06-300001385613glre:CollateralAssetsInvestementManagementAgreementMembersrt:BoardOfDirectorsChairmanMember2019-01-012019-01-01glre:facility0001385613glre:CitibankEuropePlcMemberus-gaap:FinancialStandbyLetterOfCreditMember2020-06-30iso4217:EUR0001385613glre:GreenlightReinsuranceIrelandDACMember2020-01-012020-06-300001385613us-gaap:ConvertibleDebtMember2020-06-300001385613glre:CitibankEuropePlcMemberus-gaap:FinancialStandbyLetterOfCreditMember2020-01-012020-06-30glre:segment0001385613us-gaap:PropertyAndCasualtyCommercialInsuranceProductLineMember2020-04-012020-06-300001385613us-gaap:PropertyAndCasualtyCommercialInsuranceProductLineMember2019-04-012019-06-300001385613us-gaap:PropertyAndCasualtyCommercialInsuranceProductLineMember2020-01-012020-06-300001385613us-gaap:PropertyAndCasualtyCommercialInsuranceProductLineMember2019-01-012019-06-300001385613glre:MotorVehiclePhysicalDamageProductLineMember2020-04-012020-06-300001385613glre:MotorVehiclePhysicalDamageProductLineMember2019-04-012019-06-300001385613glre:MotorVehiclePhysicalDamageProductLineMember2020-01-012020-06-300001385613glre:MotorVehiclePhysicalDamageProductLineMember2019-01-012019-06-300001385613us-gaap:PropertyAndCasualtyPersonalInsuranceProductLineMember2020-04-012020-06-300001385613us-gaap:PropertyAndCasualtyPersonalInsuranceProductLineMember2019-04-012019-06-300001385613us-gaap:PropertyAndCasualtyPersonalInsuranceProductLineMember2020-01-012020-06-300001385613us-gaap:PropertyAndCasualtyPersonalInsuranceProductLineMember2019-01-012019-06-300001385613us-gaap:PropertyInsuranceProductLineMember2020-04-012020-06-300001385613us-gaap:PropertyInsuranceProductLineMember2019-04-012019-06-300001385613us-gaap:PropertyInsuranceProductLineMember2020-01-012020-06-300001385613us-gaap:PropertyInsuranceProductLineMember2019-01-012019-06-300001385613us-gaap:GeneralLiabilityMember2020-04-012020-06-300001385613us-gaap:GeneralLiabilityMember2019-04-012019-06-300001385613us-gaap:GeneralLiabilityMember2020-01-012020-06-300001385613us-gaap:GeneralLiabilityMember2019-01-012019-06-300001385613glre:MotorVehicleLiabilityCasualtyProductLineMember2020-04-012020-06-300001385613glre:MotorVehicleLiabilityCasualtyProductLineMember2019-04-012019-06-300001385613glre:MotorVehicleLiabilityCasualtyProductLineMember2020-01-012020-06-300001385613glre:MotorVehicleLiabilityCasualtyProductLineMember2019-01-012019-06-300001385613us-gaap:ProfessionalMalpracticeLiabilityMember2020-04-012020-06-300001385613us-gaap:ProfessionalMalpracticeLiabilityMember2019-04-012019-06-300001385613us-gaap:ProfessionalMalpracticeLiabilityMember2020-01-012020-06-300001385613us-gaap:ProfessionalMalpracticeLiabilityMember2019-01-012019-06-300001385613glre:WorkersCompensationInsuranceProductLineMember2020-04-012020-06-300001385613glre:WorkersCompensationInsuranceProductLineMember2019-04-012019-06-300001385613glre:WorkersCompensationInsuranceProductLineMember2020-01-012020-06-300001385613glre:WorkersCompensationInsuranceProductLineMember2019-01-012019-06-300001385613glre:MultilineMember2020-04-012020-06-300001385613glre:MultilineMember2019-04-012019-06-300001385613glre:MultilineMember2020-01-012020-06-300001385613glre:MultilineMember2019-01-012019-06-300001385613glre:LiabilityandCasualtyInsuranceProductLineMember2020-04-012020-06-300001385613glre:LiabilityandCasualtyInsuranceProductLineMember2019-04-012019-06-300001385613glre:LiabilityandCasualtyInsuranceProductLineMember2020-01-012020-06-300001385613glre:LiabilityandCasualtyInsuranceProductLineMember2019-01-012019-06-300001385613us-gaap:HealthInsuranceProductLineMember2020-04-012020-06-300001385613us-gaap:HealthInsuranceProductLineMember2019-04-012019-06-300001385613glre:FinancialGuaranteeInsuranceandSuretyProductLineMember2020-04-012020-06-300001385613glre:FinancialGuaranteeInsuranceandSuretyProductLineMember2019-04-012019-06-300001385613glre:FinancialGuaranteeInsuranceandSuretyProductLineMember2020-01-012020-06-300001385613glre:FinancialGuaranteeInsuranceandSuretyProductLineMember2019-01-012019-06-300001385613glre:MarineCasualtyInsuranceMember2020-04-012020-06-300001385613glre:MarineCasualtyInsuranceMember2019-04-012019-06-300001385613glre:MarineCasualtyInsuranceMember2020-01-012020-06-300001385613glre:MarineCasualtyInsuranceMember2019-01-012019-06-300001385613us-gaap:OtherInsuranceProductLineMember2020-04-012020-06-300001385613us-gaap:OtherInsuranceProductLineMember2019-04-012019-06-300001385613us-gaap:OtherInsuranceProductLineMember2020-01-012020-06-300001385613us-gaap:OtherInsuranceProductLineMember2019-01-012019-06-300001385613glre:TotalSpecialtyDomain2020-04-012020-06-300001385613glre:TotalSpecialtyDomain2019-04-012019-06-300001385613glre:TotalSpecialtyDomain2020-01-012020-06-300001385613glre:TotalSpecialtyDomain2019-01-012019-06-300001385613srt:NorthAmericaMember2020-04-012020-06-300001385613srt:NorthAmericaMember2019-04-012019-06-300001385613srt:NorthAmericaMember2020-01-012020-06-300001385613srt:NorthAmericaMember2019-01-012019-06-300001385613glre:WorldwideMember2020-04-012020-06-300001385613glre:WorldwideMember2019-04-012019-06-300001385613glre:WorldwideMember2020-01-012020-06-300001385613glre:WorldwideMember2019-01-012019-06-300001385613srt:EuropeMember2020-04-012020-06-300001385613srt:EuropeMember2019-04-012019-06-300001385613srt:EuropeMember2020-01-012020-06-300001385613srt:EuropeMember2019-01-012019-06-300001385613srt:AsiaMember2020-04-012020-06-300001385613srt:AsiaMember2019-04-012019-06-300001385613srt:AsiaMember2020-01-012020-06-300001385613srt:AsiaMember2019-01-012019-06-30

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549 
__________________________
FORM 10-Q 
__________________________
(Mark One)
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 2020

or
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from to
Commission file number 001-33493
____________________________________________________________________________________
GREENLIGHT CAPITAL RE, LTD.
(Exact name of registrant as specified in its charter)
____________________________________________________________________________________
Cayman IslandsN/A
(State or other jurisdiction of incorporation or organization)(I.R.S. employer identification no.)
65 Market Street
Suite 1207, Jasmine Court
P.O. Box 31110
Camana Bay
Grand Cayman
Cayman IslandsKY1-1205
(Address of principal executive offices)(Zip code)

(345) 943-4573
(Registrant’s telephone number, including area code)

Not Applicable
(Former name, former address and former fiscal year, if changed since last report) 

Securities registered pursuant to Section 12(b) of the Act:
Title of each classTrading Symbol(s)Name of each exchange on which registered
Class A Ordinary SharesGLRENasdaq Global Select Market

Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. 
Yes No ☐
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). 
Yes No ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act. (Check one): 
Large accelerated filer ☐          Accelerated filer ☒          Non-accelerated filer ☐          Smaller reporting company           Emerging growth company

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act) 
Yes No ☒

Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the latest practicable date.
Class A Ordinary Shares, $0.10 par value29,741,459
Class B Ordinary Shares, $0.10 par value6,254,715
(Class)Outstanding as of July 31, 2020



GREENLIGHT CAPITAL RE, LTD.
 
TABLE OF CONTENTS
 
  Page
 Condensed Consolidated Balance Sheets as of June 30, 2020 (unaudited) and December 31, 2019
 Condensed Consolidated Statements of Operations for the three and six months ended June 30, 2020 and 2019 (unaudited)
 Condensed Consolidated Statements of Shareholders' Equity for the six months ended June 30, 2020 and 2019 (unaudited)
 Condensed Consolidated Statements of Cash Flows for the six months ended June 30, 2020 and 2019 (unaudited)
 Notes to the Condensed Consolidated Financial Statements (unaudited)


 
2

Return to table of contents

PART I — FINANCIAL INFORMATION
Item 1. FINANCIAL STATEMENTS 
GREENLIGHT CAPITAL RE, LTD.
CONDENSED CONSOLIDATED BALANCE SHEETS 
June 30, 2020 and December 31, 2019
(expressed in thousands of U.S. dollars, except per share and share amounts)
 June 30, 2020December 31, 2019
(unaudited)(audited)
Assets  
Investments  
Investment in related party investment fund$177,658  $240,056  
Other investments22,045  16,384  
Total investments199,703  256,440  
Cash and cash equivalents7,318  25,813  
Restricted cash and cash equivalents731,292  742,093  
Reinsurance balances receivable (net of allowance for expected credit losses of $89)
251,163  230,384  
Loss and loss adjustment expenses recoverable (net of allowance for expected credit losses of $47)
20,225  27,531  
Deferred acquisition costs 49,227  49,665  
Unearned premiums ceded165  901  
Notes receivable (net of allowance for expected credit losses of $1,000)
18,842  20,202  
Other assets1,521  2,164  
Total assets$1,279,456  $1,355,193  
Liabilities and equity 
Liabilities 
Loss and loss adjustment expense reserves$467,655  $470,588  
Unearned premium reserves185,378  179,460  
Reinsurance balances payable94,217  122,665  
Funds withheld4,644  4,958  
Other liabilities3,021  6,825  
Convertible senior notes payable94,637  93,514  
Total liabilities849,552  878,010  
Shareholders' equity 
Preferred share capital (par value $0.10; authorized, 50,000,000; none issued)
    
Ordinary share capital (Class A: par value $0.10; authorized, 100,000,000; issued and outstanding, 30,017,870 (2019: 30,739,395): Class B: par value $0.10; authorized, 25,000,000; issued and outstanding, 6,254,715 (2019: 6,254,715))
3,627  3,699  
Additional paid-in capital497,559  503,547  
Retained earnings (deficit)(71,282) (30,063) 
Total shareholders' equity429,904  477,183  
Total liabilities and equity$1,279,456  $1,355,193  
 
  The accompanying Notes to the Condensed Consolidated Financial Statements are an
integral part of the Condensed Consolidated Financial Statements.
3

Return to table of contents

GREENLIGHT CAPITAL RE, LTD.
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS
(UNAUDITED)
 
For the three and six months ended June 30, 2020 and 2019
(expressed in thousands of U.S. dollars, except per share and share amounts)
Three months ended June 30Six months ended June 30
 2020201920202019
Revenues 
Gross premiums written$116,689  $152,340  $226,476  $314,900  
Gross premiums ceded(132) (23,141) (810) (44,542) 
Net premiums written116,557  129,199  225,666  270,358  
Change in net unearned premium reserves(8,143) (8,758) (6,231) (24,555) 
Net premiums earned108,414  120,441  219,435  245,803  
Income (loss) from investment in related party investment fund [net of related party expenses of $616 and $1,278, (three and six months ended June 30, 2019: $3,131 and $8,563, respectively)]
1,609  14,405  (40,517) 45,161  
Net investment income 3,934  4,386  10,771  5,953  
Other income (expense), net788  1,117  1,001  2,186  
Total revenues114,745  140,349  190,690  299,103  
Expenses
Net loss and loss adjustment expenses incurred89,194  78,476  164,891  201,341  
Acquisition costs17,903  37,172  49,642  58,698  
General and administrative expenses6,149  7,919  12,943  14,759  
Interest expense1,562  1,562  3,123  3,106  
Total expenses114,808  125,129  230,599  277,904  
Income (loss) before income tax(63) 15,220  (39,909) 21,199  
Income tax (expense) benefit0  94  (424) 21  
Net income (loss)$(63) $15,314  $(40,333) $21,220  
Earnings (loss) per share
Basic$0.00  $0.42  $(1.12) $0.59  
Diluted$0.00  $0.42  $(1.12) $0.58  
Weighted average number of ordinary shares used in the determination of earnings and loss per share
Basic35,776,736  36,100,665  35,958,965  36,037,177  
Diluted35,776,736  36,829,963  35,958,965  36,592,318  
 

 
The accompanying Notes to the Condensed Consolidated Financial Statements are an
integral part of the Condensed Consolidated Financial Statements. 


 
 
4

Return to table of contents

GREENLIGHT CAPITAL RE, LTD.
CONDENSED CONSOLIDATED STATEMENTS OF SHAREHOLDERS’ EQUITY
(UNAUDITED)
 
For the six months ended June 30, 2020 and 2019
(expressed in thousands of U.S. dollars)

Ordinary share capitalAdditional paid-in capitalRetained earnings (deficit)Shareholders’ equity attributable to Greenlight Capital Re, Ltd.Non-controlling
interest in joint venture
Total equity
Balance at December 31, 2018$3,638  $499,726  $(26,077) $477,287  $485  $477,772  
Issue of Class A ordinary shares, net of forfeitures41  —  —  41  —  41  
Share-based compensation expense—  2,190  —  2,190  —  2,190  
Change in non-controlling interest in related party joint venture—  —  —  —  (485) (485) 
Net income (loss)—  —  21,220  21,220  —  21,220  
Balance at June 30, 2019$3,679  $501,916  $(4,857) $500,738  $  $500,738  
Balance at December 31, 2019$3,699  $503,547  $(30,063) $477,183  $  $477,183  
Cumulative effect of adoption of accounting guidance for expected credit losses at January 1, 2020
—  —  (886) (886) —  (886) 
Issue of Class A ordinary shares, net of forfeitures44  —  —  44  —  44  
Repurchase of Class A ordinary shares(116) (7,656) —  (7,772) —  (7,772) 
Share-based compensation expense—  1,668  —  1,668  —  1,668  
Net income (loss)—  —  (40,333) (40,333) —  (40,333) 
Balance at June 30, 2020$3,627  $497,559  $(71,282) $429,904  $  $429,904  


The accompanying Notes to the Condensed Consolidated Financial Statements are an
integral part of the Condensed Consolidated Financial Statements. 


 
5

Return to table of contents

GREENLIGHT CAPITAL RE, LTD.
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS
(UNAUDITED)
For the six months ended June 30, 2020 and 2019
(expressed in thousands of U.S. dollars) 
Six months ended June 30
 20202019
Cash provided by (used in) operating activities 
Net income (loss)$(40,333) $21,220  
Adjustments to reconcile net income or loss to net cash provided by (used in) operating activities
Loss (income) from investments in related party investment fund40,517  (45,161) 
Loss (income) from equity accounted investment(790) (450) 
Net change in unrealized gains and losses on investments and notes receivable(19,106) (14,350) 
Net realized (gains) losses on investments15,000  14,150  
Foreign exchange (gains) losses on investments276  60  
Current expected credit losses recognized on notes receivable and reinsurance assets 250    
Share-based compensation expense1,712  2,231  
Amortization and interest expense, net of accruals1,123  1,172  
Depreciation expense14  14  
Net change in
Reinsurance balances receivable(20,868) 12,512  
Loss and loss adjustment expenses recoverable7,259  2,918  
Deferred acquisition costs438  (6,825) 
Unearned premiums ceded736  (743) 
Other assets629  (77) 
Loss and loss adjustment expense reserves(2,933) (12,596) 
Unearned premium reserves5,918  25,310  
Reinsurance balances payable(28,448) (2,746) 
Funds withheld(314) (3,510) 
Other liabilities(3,804) 1,096  
Net cash provided by (used in) operating activities(42,724) (5,775) 
Investing activities
Proceeds from redemptions from related party investment fund58,120  79,422  
Contributions to related party investment fund(36,239) (748) 
Purchases of investments(919) (4,347) 
Change in due to related party investment fund  (9,642) 
Net change in notes receivable360  59  
Non-controlling interest contribution into (withdrawal from) related party joint venture, net  (1,278) 
Net cash provided by (used in) investing activities21,322  63,466  
Financing activities
Repurchase of Class A ordinary shares(7,772)   
Net cash provided by (used in) financing activities(7,772)   
Effect of foreign exchange rate changes on cash, cash equivalents and restricted cash(122) (80) 
Net increase (decrease) in cash, cash equivalents and restricted cash(29,296) 57,611  
Cash, cash equivalents and restricted cash at beginning of the period (see Note 2)767,906  703,231  
Cash, cash equivalents and restricted cash at end of the period (see Note 2)$738,610  $760,842  
Supplementary information 
Interest paid in cash$2,000  $1,933  
Non-cash transfer of investments (Note 3)  36,673  
Non-cash addition of right-of-use asset  323  

The accompanying Notes to the Condensed Consolidated Financial Statements are an
integral part of the Condensed Consolidated Financial Statements. 
6

Return to table of contents

GREENLIGHT CAPITAL RE, LTD.
NOTES TO THE CONDENSED CONSOLIDATED FINANCIAL STATEMENTS
(UNAUDITED)
 
June 30, 2020
 
 
1. ORGANIZATION AND BASIS OF PRESENTATION
 
Greenlight Capital Re, Ltd. (“GLRE”) was incorporated as an exempted company under the Companies Law of the Cayman Islands on July 13, 2004. GLRE’s principal wholly-owned subsidiary, Greenlight Reinsurance, Ltd. (“Greenlight Re”), provides global specialty property and casualty reinsurance. Greenlight Re has a Class D insurer license issued in accordance with the terms of The Insurance Law, 2010 and underlying regulations thereto (the “Law”) and is subject to regulation by the Cayman Islands Monetary Authority, in terms of the Law. Greenlight Re commenced underwriting in April 2006. Verdant Holding Company, Ltd. (“Verdant”), a wholly-owned subsidiary of GLRE, was incorporated in 2008 in the state of Delaware. During 2010, GLRE established Greenlight Reinsurance Ireland, Designated Activity Company (“GRIL”), a wholly-owned reinsurance subsidiary based in Dublin, Ireland. GRIL is authorized as a non-life reinsurance undertaking in accordance with the provisions of the European Union (Insurance and Reinsurance) Regulations 2015. GRIL provides multi-line property and casualty reinsurance capacity to the European broker market and provides GLRE with an additional platform to serve clients located in Europe and North America.  As used herein, the “Company” refers collectively to GLRE and its consolidated subsidiaries.

The Class A ordinary shares of GLRE are listed on Nasdaq Global Select Market under the symbol “GLRE”.

These unaudited condensed consolidated financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and in accordance with the instructions to Form 10-Q and Article 10 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by U.S. GAAP for complete consolidated financial statements. These unaudited condensed consolidated financial statements should be read in conjunction with the Company’s audited consolidated financial statements for the year ended December 31, 2019. In the opinion of management, these unaudited condensed consolidated financial statements reflect all of the normal recurring adjustments considered necessary for a fair presentation of the Company’s financial position and results of operations as of the dates and for the periods presented.

The global pandemic related to the novel coronavirus (the “COVID-19 pandemic”) is expected to have a significant adverse impact on the property and casualty insurance and reinsurance industry. The Company has included in the loss and loss adjustment reserves, its best estimate of losses arising from the COVID-19 pandemic. However, there remains considerable uncertainty relating to the ultimate losses, which will depend on the extent and duration of economic contraction, particularly in the United States. Accordingly, significant estimates used in the preparation of the Company’s consolidated financial statements including those associated with premiums, expected credit losses on amounts owed to us and the estimations of loss and loss adjustment expense reserves may be subject to significant adjustments in future periods.

The results for the six months ended June 30, 2020 are not necessarily indicative of the results expected for the full calendar year.


2. SIGNIFICANT ACCOUNTING POLICIES
 
In the first quarter of 2020, The Company adopted ASU No. 2016-13, Financial Instruments - Credit Losses (“ASU 2016-13”) which requires an entity to estimate its lifetime “expected credit loss” and record an allowance that, when deducted from the amortized cost basis of the financial asset, presents the net amount expected to be collected on the financial asset. ASU 2016-13 was effective for public business entities for annual and interim periods beginning after December 15, 2019. The financial assets included in the captions “Reinsurance balances receivable”, “Loss and loss adjustment expenses recoverable” (collectively, “Reinsurance Assets”) and “Notes receivable”, in the Company’s condensed consolidated balance sheets are carried at amortized cost and therefore affected by ASU 2016-13. Other than the changes relating to the adoption of ASU 2016-13, there have been no other changes to the Company’s significant accounting policies as described in its Annual Report on Form 10-K for the year ended December 31, 2019.
7

Return to table of contents


Use of Estimates
 
The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the condensed consolidated financial statements and the reported amounts of income and expenses during the period. Actual results could differ from these estimates. 

Restricted Cash and Cash Equivalents
 
The Company maintains cash and cash equivalent balances to collateralize regulatory trusts and letters of credit issued to cedents (see Note 11). The following table reconciles the cash, cash equivalents, and restricted cash reported within the condensed consolidated balance sheets to the total presented in the condensed consolidated statements of cash flows:

 June 30, 2020December 31, 2019
 ($ in thousands)
Cash and cash equivalents$7,318  $25,813  
Restricted cash and cash equivalents731,292  742,093  
Total cash, cash equivalents and restricted cash presented in the condensed consolidated statements of cash flows$738,610  $767,906  

Reinsurance Assets

Upon adoption of ASU 2016-13, the Company calculated an allowance for expected credit losses for its reinsurance balances receivable and loss and loss adjustment expenses recoverable by applying a Probability of Default (“PD”) / Loss Given Default (“LGD”) model that considers both the Company’s collectibility history on its reinsurance assets as well as representative external loss history. The external loss history that the Company used included a long-term probability of liquidation study specific to insurance companies. Additionally, the life of each of the Company’s reinsurance treaties was also considered as the probability of default was calculated over the contractual length of the reinsurance contracts.

The credit worthiness of a counterparty is evaluated by considering the credit ratings assigned by independent agencies and individually evaluating all the counterparties. The Company manages its credit risk in its reinsurance assets by transacting with insurers and reinsurers that it considers financially sound.

For its retrocessionaire counterparties that are unrated, the Company may hold collateral in the form of funds withheld, trust accounts and/or irrevocable letters of credit. For credit risk associated with reinsurance balances receivable, the Company considers the fact that in certain instances credit risk may be reduced by the Company's right to offset loss obligations or unearned premiums against premiums receivable. The Company regularly evaluates its net credit exposure to assess the ability of the retrocessionaires to honor their respective obligations.

Upon adoption of ASU 2016-13, the Company recorded an allowance for expected credit loss on its Reinsurance Assets of $0.1 million with an offset to retained earnings. At June 30, 2020, the allowance for expected credit losses was $0.1 million.

Notes Receivable
 
Notes receivable represent promissory notes receivable from third parties. These notes are recorded at cost plus accrued interest, if any, net of valuation allowance for expected credit losses. The Company calculates the allowance for expected credit losses to provide for the risk of credit losses inherent in the lending process. Interest income, change in the allowance for expected credit losses (excluding changes due to charge-offs) and unrealized and realized gains or losses on the notes receivable are included in the caption “Net investment income (loss)” in the Company’s condensed consolidated statements of operations.

The allowance for expected credit losses is calculated using a PD / LGD model that takes into account the Company’s collectibility history on its notes receivable as well as representative external loss history. The expected loss, as a percentage, is calculated as the product of the PD and LGD and is calculated for each period over the life of a note. The Company evaluates the financial condition of the notes receivable counterparties and monitors its exposure on a regular basis. At June 30, 2020, the
8

Return to table of contents

Company considers the notes receivable balance to be collectible and has not experienced any default on payments since inception of these notes. The notes receivable originated between 2015 and 2018.

At June 30, 2020 and December 31, 2019, $0.1 million and $0.1 million, respectively, of accrued interest was included in the caption “Notes receivable” in the Company’s condensed consolidated balance sheets. When there is uncertainty as to the collection of interest contractually due, the Company places the note on non-accrual status. For notes receivable placed on non-accrual status, the notes are presented excluding any accrued interest amount. The Company resumes the accrual of interest on a note when none of the principal or interest remains past due, and the Company expects to collect the remaining contractual principal and interest. Interest collected on notes that are placed on non-accrual status is recorded as interest income when collected, provided that the recorded value of the note is deemed to be fully collectible. Where doubt exists as to the collectibility of the remaining recorded value of the notes placed on non-accrual status, the Company immediately reverses any previous accrued interest through interest income and any payments received are applied to reduce the recorded value of the notes. The allowance for expected credit losses for notes receivable is calculated on the amortized cost excluding accrued interest and interest written off due to non-accrual status.

Charge offs of notes receivable are recorded when all or a portion of the financial asset is deemed uncollectible. Full or partial charge offs are recorded as reductions to the amortized cost and deducted from the allowance in the period in which the note receivable is deemed uncollectible. In instances where the Company collects cash that it has previously charged off, the recovery will be recognized through earnings or as a reduction of the amortized cost for interest and principal, respectively.

The following table provides a roll-forward of the Company’s allowance for credit losses on notes receivable:
Six months ended June 30
20202019
($ in thousands)
Balance at beginning of period$15,000  $9,012  
Cumulative effect of adoption of ASU 2016-13 at January 1, 2020750    
Charge offs(15,000)   
Net increase (decrease) in allowance250    
Balance at end of period$1,000  $9,012  

Deposit Assets and Liabilities
 
The Company applies deposit accounting to reinsurance contracts that do not transfer sufficient insurance risk to merit reinsurance accounting. Under deposit accounting, an asset or liability is recognized based on the consideration paid or received. The deposit asset or liability balance is subsequently adjusted using the interest method with a corresponding income or expense recorded in the Company’s condensed consolidated statements of operations under the caption “Other income (expense)”. The Company’s deposit assets and liabilities are recorded in the Company’s condensed consolidated balance sheets in the caption “Reinsurance balances receivable” and “Reinsurance balances payable,” respectively. At June 30, 2020, deposit assets and deposit liabilities were $4.7 million and $47.9 million, respectively (December 31, 2019: $5.2 million and $56.9 million, respectively). For the three and six months ended June 30, 2020 and 2019, the interest income/(expense) on deposit accounted contracts was as follows:
 Three months ended June 30Six months ended June 30
 2020201920202019
($ in thousands)($ in thousands)
Deposit interest income$645  $1,697  $1,252  $2,745  
Deposit interest expense$  $(705) $  $(753) 
Deposit interest income/(expense), net$645  $992  $1,252  $1,992  
9

Return to table of contents


Other Assets

Other assets consist primarily of prepaid expenses, fixed assets, right-of-use lease assets, other receivables and deferred tax assets.

Other Liabilities

Other liabilities consist primarily of accruals for legal and other professional fees, employee bonuses and lease liabilities.

Earnings (Loss) Per Share
 
The Company’s unvested restricted stock awards, which contain non-forfeitable rights to dividends or dividend equivalents, whether paid or unpaid, are considered “participating securities” for the purposes of calculating earnings (loss) per share. Basic earnings per share is calculated on the basis of the weighted average number of common shares and participating securities outstanding during the period. Diluted earnings (or loss) per share includes the dilutive effect of the following:

Restricted Stock Units (“RSUs”) issued that would convert to common shares upon vesting;
additional potential common shares issuable when stock options are exercised, determined using the treasury stock method; and
those common shares with the potential to be issued by virtue of convertible debt and other such convertible instruments, determined using the treasury stock method.

Diluted earnings (or loss) per share contemplates a conversion to common shares of all convertible instruments only if they are dilutive in nature with regards to earnings per share. In the event of a net loss, all RSUs, stock options outstanding, convertible debt and participating securities are excluded from the calculation of both basic and diluted loss per share as their inclusion would be anti-dilutive.

The table below presents the shares outstanding for the purposes of the calculation of earnings (loss) per share for the three and six months ended June 30, 2020 and 2019:
 Three months ended June 30Six months ended June 30
 2020201920202019
Weighted average shares outstanding - basic35,776,736  36,100,665  35,958,965  36,037,177  
Effect of dilutive employee and director share-based awards  729,298    555,141  
Weighted average shares outstanding - diluted35,776,736  36,829,963  35,958,965  36,592,318  
Anti-dilutive stock options outstanding875,627  935,627  875,627  935,627  
Participating securities excluded from calculation of loss per share 1,259,173    1,259,173    

Taxation
 
Under current Cayman Islands law, no corporate entity, including GLRE and Greenlight Re, is obligated to pay taxes in the Cayman Islands on either income or capital gains. The Company has an undertaking from the Governor-in-Cabinet of the Cayman Islands, pursuant to the provisions of the Tax Concessions Law, as amended, that, in the event that the Cayman Islands enacts any legislation that imposes tax on profits, income, gains or appreciations, or any tax in the nature of estate duty or inheritance tax, such tax will not be applicable to GLRE, Greenlight Re nor their respective operations, or to the Class A or Class B ordinary shares or related obligations, before February 1, 2025.
 
Verdant is incorporated in Delaware and therefore is subject to taxes in accordance with the U.S. federal rates and regulations prescribed by the U.S. Internal Revenue Service (“IRS”). Verdant’s taxable income is generally expected to be taxed at a marginal rate of 21% (2019: 21%). Verdant’s tax years 2014 and beyond remain open and subject to examination by the IRS.

10

Return to table of contents

GRIL is incorporated in Ireland and therefore is subject to the Irish corporation tax rate of 12.5% on its trading income, and 25% on its non-trading income.

The Company records a valuation allowance to the extent that the Company considers it more likely than not that all or a portion of the deferred tax asset will not be realized in the future. Other than this valuation allowance, the Company has not taken any income tax positions that are subject to significant uncertainty that is reasonably likely to have a material impact on the Company. 

Recent Accounting Pronouncements

Recently Issued Accounting Standards Adopted

As discussed above, the Company adopted ASU 2016-13 during the first quarter of 2020 using a modified retrospective transition method. The adoption resulted in a cumulative-effect adjustment to retained earnings of $0.9 million as of January 1, 2020.

Recently Issued Accounting Standards Not Yet Adopted

In January 2020, the FASB issued ASU No. 2020-01, Investments-Equity Securities (Topic 321), Investments - Equity Method and Joint Ventures (Topic 323), and Derivatives and Hedging (Topic 815) - Clarifying the Interactions between Topic 321, Topic 323, and Topic 815 (a consensus of the Emerging Issues Task Force) (“ASU 2020-01”). The amendments in ASU 2020-01 clarify certain interactions between the guidance to account for certain equity securities under Topic 321, the guidance to account for investments under the equity method of accounting in Topic 323, and the guidance in Topic 815, which could change how an entity accounts for an equity security under the measurement alternative or a forward contract or purchased option to purchase securities that, upon settlement of the forward contract or exercise of the purchased option, would be accounted for under the equity method of accounting or the fair value option in accordance with Topic 825, Financial Instruments. These amendments improve current GAAP by reducing diversity in practice and increasing comparability of the accounting for these interactions. ASU 2020-01 is effective for public business entities for fiscal years beginning after December 15, 2020, and interim periods within those fiscal years. The adoption of ASU 2020-01 is not expected to have a material impact on the Company’s consolidated financial statements.


3. INVESTMENT IN RELATED PARTY INVESTMENT FUND

Prior to January 2, 2019, the Company and its reinsurance subsidiaries were party to a joint venture agreement (the “venture agreement”) with DME Advisors, LP (“DME Advisors”) and DME Advisors LLC (“DME”) under which the Company, its reinsurance subsidiaries and DME were participants in a joint venture (the “Joint Venture”) for the purpose of managing certain jointly held assets. DME and DME Advisors are related to the Company and each is an affiliate of David Einhorn, Chairman of the Company’s Board of Directors.

On September 1, 2018, the Company entered into an amended and restated exempted limited partnership agreement (the “SILP LPA”) of Solasglas Investments, LP (“SILP”), with DME Advisors II, LLC (“DME II”), as General Partner, Greenlight Re and GRIL, (together the “GLRE Limited Partners”), and the initial limited partner (each, a “Partner”). The SILP LPA, in conjunction with a participation agreement, replaced the venture agreement and assigned and/or transferred Greenlight Re’s and GRIL’s invested assets in the Joint Venture to SILP. The Joint Venture was terminated on January 2, 2019 by which date all assets were transferred to SILP. On September 1, 2018, SILP also entered into a SILP investment advisory agreement (“IAA”) with DME Advisors pursuant to which DME Advisors is the investment manager for SILP.

The Company has concluded that SILP qualifies as a variable interest entity (“VIE”) under U.S. GAAP. In assessing its interest in SILP, the Company noted the following:

DME II serves as SILP’s general partner and has the power of appointing the investment manager. The Company does not have the power to appoint, change or replace the investment manager or the general partner except “for cause.” Neither of the GLRE Limited Partners can participate in the investment decisions of SILP as long as SILP adheres to the investment guidelines provided within the SILP LPA. For these reasons, the GLRE Limited Partners are not considered to have substantive participating rights or kick-out rights.

DME II holds an interest in excess of 10% of SILP’s net assets which the Company considers to represent an obligation to absorb losses and a right to receive benefits of SILP that are significant to SILP.
11

Return to table of contents


Consequently, the Company has concluded that DME II’s interests, and not the Company’s, meet both the “power” and “benefits” criteria associated with VIE accounting guidance, and therefore DME II is SILP’s primary beneficiary. The Company’s investment in SILP is presented in the Company’s condensed consolidated balance sheets in the caption “Investment in related party investment fund.”

During 2019, SILP’s investment portfolio was de-risked in order to reduce the Company’s investment volatility in the near-term. As a result, a significant proportion of the Company’s investment assets in SILP was held in cash and short-term treasuries as of June 30, 2020 and December 31, 2019.

The Company’s maximum exposure to loss relating to SILP is limited to the net asset value of the GLRE Limited Partners’ investment in SILP. As of June 30, 2020, the net asset value of the GLRE Limited Partners’ investment in SILP was $177.7 million (December 31, 2019: $240.1 million), representing 79.1% (December 31, 2019: 81.0%) of SILP’s total net assets. The remaining 20.9% (December 31, 2019: 19.0%) of SILP’s total net assets was held by DME II. The investment in SILP is recorded at the GLRE Limited Partners’ share of the net asset value of SILP as reported by SILP’s third-party administrator. The GLRE Limited Partners can redeem their assets from SILP for operational purposes by providing three business days’ notice to DME II. As of June 30, 2020, the majority of SILP’s long investments are composed of cash, short-term U.S. treasuries and publicly-traded equity securities, which can be readily liquidated to meet any GLRE Limited Partner’s redemption requests.

The Company’s share of the change in the net asset value of SILP for the three and six months ended June 30, 2020 was $1.6 million and $(40.5) million, respectively, (three and six months ended June 30, 2019: $14.4 million and $45.2 million, respectively), and shown in the caption “Income (loss) from investment in related party investment fund” in the Company’s condensed consolidated statements of operations. The change in the net asset value of SILP for the six months ended June 30, 2020 was primarily driven by the impact of changes in fair value primarily attributable to the disruptions in global financial markets associated with the COVID–19 pandemic.

The summarized financial statements of SILP are presented below.

12

Return to table of contents


Summarized Statement of Assets and Liabilities of Solasglas Investments, LP
June 30, 2020December 31, 2019
($ in thousands)
Assets
Investments, at fair value$150,204  $162,928  
Derivative contracts, at fair value2,909  6,324  
Due from brokers88,268  68,060  
Cash and cash equivalents54,719  111,046  
Interest and dividends receivable27  47  
Total assets296,127  348,405  
Liabilities and partners’ capital
Liabilities
Investments sold short, at fair value(59,791) (47,834) 
Derivative contracts, at fair value(10,814) (2,054) 
Due to brokers(745) (1,180) 
Interest and dividends payable(197) (828) 
Other liabilities(89) (101) 
Total liabilities(71,636) (51,997) 
Net Assets$224,491  $296,408  
GLRE Limited Partners’ share of Net Assets$177,658  $240,056  


13

Return to table of contents

Summarized Statement of Operations of Solasglas Investments, LP
Three months ended June 30Six months ended June 30
2020201920202019
($ in thousands)
Investment income
Dividend income (net of withholding taxes)$287  $442  $1,034  $1,682  
Interest income17  904  226  1,590  
Total Investment income304  1,346  1,260  3,272  
Expenses
Management fee(616) (1,568) (1,278) (3,582) 
Interest(325) (845) (342) (2,219) 
Dividends(254) (366) (399) (1,436) 
Professional fees and other(124) (425) (332) (805) 
Total expenses(1,319) (3,204) (2,351) (8,042) 
Net investment income (loss)(1,015) (1,858) (1,091) (4,770) 
Realized and change in unrealized gains (losses)
Net realized gain (loss) (31,607) 19,404  (43,560) 12,229  
Net change in unrealized appreciation (depreciation) 34,772  1,630  (5,021) 51,383  
Net gain (loss) on investment transactions3,165  21,034  (48,581) 63,612  
Net income (loss)$2,150  $19,176  $(49,672) $58,842  
GLRE Limited Partners’ share of net income (loss) (1)$1,609  $14,405  $(40,517) $45,161  

(1) Net of management fees and accrued performance allocation as follows:

Three months ended June 30Six months ended June 30
2020201920202019
($ in thousands)
Management fees616  1,567  1,278  3,582  
Performance allocation  1,564    4,981  



4. FINANCIAL INSTRUMENTS 
 
Investments
  
Other Investments
 
“Other investments” include unlisted securities and investments accounted for under the equity method.

14

Return to table of contents

At June 30, 2020, the following securities were included in the caption “Other investments”:
June 30, 2020CostUnrealized
gains
Unrealized
losses
Fair value / carrying value
 ($ in thousands)
Private investments and unlisted equities $11,339  $5,325  $(1,111) $15,553  
Investment accounted for under the equity method —  —  —  6,492  
Total other investments$22,045  

At December 31, 2019, the following securities were included in the caption “Other investments”: 
December 31, 2019CostUnrealized
gains
Unrealized
losses
Fair value / carrying value
 ($ in thousands)
Private investments and unlisted equities$10,420  $265  $(4) $10,681  
Investment accounted for under the equity method—  —  —  5,703  
Total other investments$16,384  

Private investments and unlisted equities include securities that do not have readily determinable fair values. The carrying values of these holdings are determined based on their original cost minus impairment, if any, plus or minus changes resulting from observable price changes. At June 30, 2020, the carrying value of private investments and unlisted equities was $15.6 million (December 31, 2019: $10.7 million), and incorporated upward adjustments of $3.3 million and $4.1 million during the three and six months ended June 30, 2020, respectively (2019: $0.2 million and $0.2 million, respectively), excluding any unrealized gains or losses related to changes in foreign currency exchange rates.

 The Company’s investment accounted for under the equity method represents its investment in AccuRisk Holdings LLC (“AccuRisk”), a Chicago, Illinois-based managing general underwriter focused on employee and health insurance benefits. At June 30, 2020, the Company held a 58% (December 31, 2019: 58%) economic interest in AccuRisk and had provided a $6.0 million credit facility. In addition to providing capital and funding in support of AccuRisk’s expansion plans, the Company also provides reinsurance capacity for business produced by AccuRisk. The Company has determined that AccuRisk is a VIE, of which the Company is not the primary beneficiary. The Company’s carrying value represents its ownership share of AccuRisk’s net assets. The Company’s maximum exposure to loss relating to AccuRisk is limited to the carrying amount of its investment, plus the credit facility extended. For the three and six months ended June 30, 2020, the Company’s share of AccuRisk’s net income was $(0.1) million and $0.8 million, respectively (2019: $0.0 million and $0.5 million, respectively), which was included in the caption “Net investment income” in the Company’s condensed consolidated statements of operations.

Fair Value Hierarchy

The fair value of a financial instrument is the amount that would be received in an asset sale or paid to transfer a liability in an orderly transaction between unaffiliated market participants. Assets and liabilities measured at fair value are categorized based on whether the inputs are observable in the market and the degree that the inputs are observable. The categorization of financial instruments within the valuation hierarchy is based on the lowest level of input that is significant to the fair value measurement. The hierarchy is prioritized into three levels (with Level 3 being the lowest) defined as follows:

Level 1: Quoted prices in active markets for identical assets or liabilities that the entity has the ability to access.
Level 2: Observable inputs other than prices included in Level 1, such as quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar assets and liabilities in markets that are not active; or other inputs that are observable or can be corroborated with observable market data.
Level 3: Unobservable inputs that are supported by little or no market activity and that are significant to the fair value of the assets and liabilities. This includes certain pricing models, discounted cash flow methodologies, and similar techniques that use significant unobservable inputs.

As of June 30, 2020 and December 31, 2019, the Company did not carry any investments at fair value that were assigned a Level within the fair value hierarchy. The Company’s investment in the related party investment fund is measured at fair value using the net asset value practical expedient, and is therefore not classified within the fair value hierarchy. (See Note 3 for further details.)
15

Return to table of contents


Financial Instruments Disclosed, But Not Carried, at Fair Value

The captions “Notes receivable (net of allowance for expected credit loss)” and “Convertible senior notes payable” represent financial instruments that are carried at amortized cost. The carrying values of the notes receivable (net of allowance for expected credit loss) approximate their fair values, which the Company has determined on the basis of Level 3 inputs. The fair value of the convertible senior notes payable is estimated based on the bid price observed in an inactive market for the identical instrument (Level 2 input).


5. LOSS AND LOSS ADJUSTMENT EXPENSE RESERVES

At June 30, 2020, the loss and loss adjustment expenses reserves included estimated amounts for several catastrophe events. For significant catastrophe events including, but not limited to, hurricanes, typhoons, floods, wildfires and pandemics, loss reserves are generally established based on loss payments and case reserves reported by clients when, and if, received. To establish IBNR loss estimates, the Company makes use of, among other things, the following:

estimates communicated by ceding companies;
industry data;
information received from clients, brokers and loss adjusters;
an understanding of the underlying business written and its exposures to catastrophe event related losses;
catastrophe scenario modelling software; and
management’s judgement.

The COVID-19 pandemic is unprecedented. Therefore, the Company does not have previous loss experience on which to base its estimates for loss and loss adjustment expenses related to the COVID-19 pandemic. The determination of the Company's estimate was based on:

a review of in-force treaties that may provide coverage and incur losses;