Company: GLRE
Filing Date: 2025-05-07
Form Type: 10-Q
Source: 0001385613-25-000058
Chunk: 13

Company: GREENLIGHT CAPITAL RE, LTD.
Filing Date: 2025-05-07
Form: 10-Q
Item: Part I, Item 2
Chunk 13
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 to $508.6 million from December 31, 2024.  The increase was primarily driven by $16.0 million of net contributions into Solasglas, coupled with the net investment return for Q1 2025. 

Investments in Solasglas

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

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The following table represents the composition of Solasglas’ investments:

March 31December 3120252024Long %Short %Long %Short %Equities and related derivatives82.9 %(65.6)%73.9 %(43.3)%Private and unlisted equity securities2.3 — 2.1 — Debt instruments0.1 — 0.1 — Total85.3 %(65.6)%76.1 %(43.3)%

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, 2025, Solasglas’ exposure to gold on a delta-adjusted basis was 10.9% (2024: 10.1%). 

At March 31, 2025, 92.8% of Solasglas’ portfolio was valued based on quoted prices in actively traded markets (Level 1), 5.6% 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, 2025, 1.6% of Solasglas’ portfolio consisted of private equity funds valued using the funds’ net asset values as a practical expedient. 

Other Investments

The other investment holdings relate to private investments made by the Innovations segment.  There