Company: GLRE
Filing Date: 2025-03-10
Form Type: 10-K
Source: 0001385613-25-000007
Chunk: 570

Company: GREENLIGHT CAPITAL RE, LTD.
Filing Date: 2025-03-10
Form: 10-K
Item: Item 1A
Chunk 570
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able by applying a Probability of Default (“PD”) / Loss Given Default (“LGD”) model. The PD / LGD approach considers the Company’s collectibility history on its reinsurance assets and representative external loss history. In calculating the probability of default, the Company also considers the estimated duration of its reinsurance assets. The Company evaluates each counterparty’s creditworthiness based on credit ratings that independent agencies assign to the counterparty. The Company manages its credit risk in its reinsurance assets by transacting only with insurers and reinsurers that it considers financially sound. Credit ratings of the counterparties are forward-looking and consider various economic scenarios. The Company's evaluation of the required allowance for reinsurance balances receivable and loss and LAE recoverable considers the current economic environment as well as potential macroeconomic developments.For its retrocessional counterparties that are unrated, the Company may hold collateral in the form of funds withheld, trust accounts, or irrevocable letters of credit. In evaluating credit risk associated with reinsurance balances receivable, the Company considers its right to offset loss obligations against premiums receivable. The Company regularly evaluates its net credit exposure to assess the ability of cedents and retrocessionaires to honor their respective obligations.

F-13

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, the Company recognizes an asset or liability based on its paid or received consideration. The deposit asset or liability balance is subsequently adjusted using the interest method with the corresponding income and expense recorded in the Company’s consolidated statements of operations under “Other income” and “Deposit interest expense,” respectively. The Company records deposit assets and liabilities in its consolidated balance sheets in  “Reinsurance balances receivable” and “Reinsurance balances payable,” respectively. At December 31, 2024, deposit assets and liabilities were nil and $3.6 million, respectively (December 31, 2023: $0.9 million and $5.2 million, respectively). Net investment income (loss)The Company records interest income and interest expense on an accrual basis. Any realized and unrealized gains or losses from other investments are determined on the basis of the specific identification method (by reference to cost or amortized cost, as appropriate). Additionally, net investment income (loss) includes realized and unrealized gains (losses) on derivative instruments.In connection with the Company’s participation interest in Lloyd’s syndicates, the Lloyd’s syndicates