GREENLIGHT CAPITAL RE, LTD.GLRE
GREENLIGHT CAPITAL RE, LTD. Fair Value Disclosure
FAIR VALUE MEASUREMENTS
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 the extent to which the inputs are observable in the market. 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 supported by little or no market activity and significant to the fair value of the assets and liabilities. The term “unobservable inputs” includes certain pricing models, discounted cash flow methodologies, and similar techniques.
There have been no material change in the Company’s valuation techniques, nor have there been any transfers between Level 1 and Level 2, or Level 2 and Level 3 for the years presented in these consolidated financial statements.
Assets measured at fair value on a nonrecurring basis
At December 31, 2025 and 2024, the Company held $53.3 million and $63.4 million, respectively, of private equities measured at fair value on a nonrecurring basis. At December 31, 2025, the Company held $9.6 million (2024: $8.5 million) of private equities measured at cost. The Company classifies these investments as Level 3 within the fair value hierarchy.
The following table summarizes the periods between the most recent fair value measurement dates and December 31, 2025, for the private equities measured at fair value on a nonrecurring basis:
| Less than 6 months | 6 to 12 months | Over 1 year | Total | ||||||||||||||||||||
| Fair values measured on a nonrecurring basis | $ | 25,197 | $ | 4,376 | $ | 23,712 | $ | 53,285 | |||||||||||||||
Assets measured at fair value on a recurring basis
Fixed maturity investments
The following table summarizes the fair value hierarchy for the Company’s fixed maturity portfolio.
| At December 31, 2025 | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
| U.S. government and government agencies | $ | 11,988 | $ | 5,991 | $ | — | $ | 17,979 | ||||||||||||||||||
| Agency RMBS | — | 18,258 | — | 18,258 | ||||||||||||||||||||||
| Corporate bonds | — | 9,769 | — | 9,769 | ||||||||||||||||||||||
| ABS | — | 5,565 | — | 5,565 | ||||||||||||||||||||||
| Non-agency RMBS | — | 600 | 600 | |||||||||||||||||||||||
| Municipal bonds | $ | — | $ | 857 | $ | — | 857 | |||||||||||||||||||
| Total | $ | 11,988 | $ | 41,040 | $ | — | $ | 53,028 | ||||||||||||||||||
The following describes the valuation methodologies used to determine the fair value of the fixed maturity securities by asset class:
•U.S. government and government agencies: include bonds issued by the U.S. Treasury and mortgage pass-through agencies such as the Federal National Mortgage Association (“FNMA”), the Federal Home Loan Mortgage Corporation (“FHLMC”) and the Government National Mortgage Association (“GNMA”). The fair value of U.S. Treasury securities is based on unadjusted quoted market prices in active markets; accordingly, these are classified as Level 1. The fair value of U.S. government agency securities is determined using the spread above the risk-free yield curve. As the yields for the risk-free yield curve and the spreads are observable market inputs, these are classified as Level 2.
•RMBS: consist of bonds issued by FNMA, FHLMC, and GNMA. The fair value of these securities is priced using a mortgage pool specific model which uses daily inputs from the active to be announced market and the spread associated with each mortgage pool based on vintage. As the significant inputs used to price these securities are observable market inputs, these are classified as Level 2.
•Corporate bonds: consist of investment grade debt of a variety of corporate issuers and industries. The fair value for these securities is generally determined using the spread above the risk-free yield curve. These spreads are generally obtained from the new issue market, secondary trading and broker-dealer quotes. As the yields for the risk-free yield curve and the spreads are observable market inputs, these are classified as Level 2.
•ABS: include investment grade bonds backed by pools of loans with a variety of underlying collateral, including auto loans, credit card receivables, and collateralized loan obligations, originated by a variety of financial institutions. The fair value of these securities is determined using a model which uses prepayment speeds and spreads sourced primarily from the new issue market. As the significant inputs used to price these securities are observable market inputs, these are classified as Level 2.
•Municipal bonds: consist revenue bonds and general obligation bonds by U.S. domiciled state and municipal entities. The fair value for these securities is determined using spreads obtained from the new issue market, trade prices, and broker-dealers quotes. As the significant inputs used to price these securities are observable market inputs, these are classified as Level 2.
The fair value for the liquidity fund is based on the NAV published by the fund and therefore the fair value of this fund has not been classified within the fair value hierarchy. The liquidity fund has daily redemption with proceeds available the next day.
Derivative financial instruments
The Company used interest rate swaps in connection with its risk management activities to hedge 50% of the interest rate risk relating to the outstanding Term Loans (see Note 10). As a result of the new Revolving Credit Facility, the Company has terminated this hedging program in August 2025.
For the years ended December 31, 2025, 2024 and 2023, the Company recognized unrealized gain of nil, unrealized gain of $0.4 million, and an unrealized loss of $0.6 million, respectively, for the above derivatives. This is included in “Interest expense” in the consolidated statements of operations and is reported as “Net realized and unrealized losses (gains) on derivatives” in the consolidated statements of cash flows.
Financial Instruments Disclosed, But Not Carried, at Fair Value
At December 31, 2025, the carrying value of private debt securities (see Note 4) and the outstanding debt under the Revolving Credit Facility (see Note 10) approximates their fair values. The Company classifies these financial instruments as Level 2 within the fair value hierarchy.Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 9, 2026 | Showing above |
| 2024 | Mar 10, 2025 | |
| 2023 | Mar 5, 2024 | |
About Fair Value Disclosures
Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.
Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.