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INVESTMENT IN RELATED PARTY INVESTMENT FUND
 9 Months Ended
Sep. 30, 2020
Equity Method Investments and Joint Ventures [Abstract]  
INVESTMENT IN RELATED PARTY INVESTMENT FUND 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 (as amended by that certain letter agreement dated as of August 5, 2020, 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.

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 December 31, 2019. On August 5, 2020, the Company entered into an amended and restated letter agreement with DME Advisors and DME II whereby the deployed Investment Portfolio can not exceed an amount equal to 50% of the Company’s shareholders’ equity, as reported in the Company’s then most recent quarterly U.S. GAAP financial statements, adjusted monthly for investment gains and losses as reported by SILP during any intervening period.

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 September 30, 2020, the net asset value of the GLRE Limited Partners’ investment in SILP was $185.0 million (December 31, 2019: $240.1 million), representing 81.0% (December 31, 2019: 81.0%) of SILP’s total net assets. The remaining 19.0% (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 September 30, 2020, the majority of SILP’s long investments are composed of cash and publicly-traded equity securities, which can be readily liquidated to meet GLRE Limited Partners’ redemption requests.

The Company’s share of the change in the net asset value of SILP for the three and nine months ended September 30, 2020 was $6.4 million and $(34.1) million, respectively, (three and nine months ended September 30, 2019: $6.6 million and $51.8 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 nine months ended September 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.
Summarized Statement of Assets and Liabilities of Solasglas Investments, LP
September 30, 2020December 31, 2019
($ in thousands)
Assets
Investments, at fair value$220,116 $162,928 
Derivative contracts, at fair value3,097 6,324 
Due from brokers130,220 68,060 
Cash and cash equivalents2,202 111,046 
Interest and dividends receivable281 47 
Total assets355,916 348,405 
Liabilities and partners’ capital
Liabilities
Investments sold short, at fair value(116,336)(47,834)
Derivative contracts, at fair value(10,962)(2,054)
Due to brokers— (1,180)
Interest and dividends payable(32)(828)
Other liabilities(233)(101)
Total liabilities(127,563)(51,997)
Net Assets$228,353 $296,408 
GLRE Limited Partners’ share of Net Assets$184,956 $240,056 
Summarized Statement of Operations of Solasglas Investments, LP
Three months ended September 30Nine months ended September 30
2020201920202019
($ in thousands)
Investment income
Dividend income (net of withholding taxes)$170 $652 $1,204 $2,334 
Interest income36 279 262 1,869 
Total Investment income206 931 1,466 4,203 
Expenses
Management fee(703)(653)(1,981)(4,235)
Interest(176)(89)(518)(2,308)
Dividends(213)(96)(612)(1,532)
Professional fees and other(432)(204)(764)(1,009)
Total expenses(1,524)(1,042)(3,875)(9,084)
Net investment income (loss)(1,318)(111)(2,409)(4,881)
Realized and change in unrealized gains (losses)
Net realized gain (loss) (1,412)14,760 (44,972)26,989 
Net change in unrealized appreciation (depreciation) 10,832 (5,675)5,811 45,708 
Net gain (loss) on investment transactions9,420 9,085 (39,161)72,697 
Net income (loss)$8,102 $8,974 $(41,570)$67,816 
GLRE Limited Partners’ share of net income (loss) (1)$6,431 $6,609 $(34,086)$51,770 

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

Three months ended September 30Nine months ended September 30
2020201920202019
($ in thousands)
Management fees$703 $652 $1,981 $4,234 
Performance allocation$— $673 $— $5,654