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INVESTMENT IN RELATED PARTY INVESTMENT FUND
 6 Months Ended
Jun. 30, 2022
Equity Method Investments and Joint Ventures [Abstract]  
INVESTMENT IN RELATED PARTY INVESTMENT FUND INVESTMENT IN RELATED PARTY INVESTMENT FUND
The Company has entered into the Second 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”). SILP has entered into a SILP investment advisory agreement (“IAA”) with DME Advisors. LP (“DME Advisors”) pursuant to which DME Advisors is the investment manager for SILP. DME II and DME Advisors are related to the Company, and each is an affiliate of David Einhorn, Chairman of the Company’s Board of Directors.

The SILP LPA includes the following proviso: “The Investment Portfolio of each Partner will not exceed the product of (a) such Partner’s surplus (Greenlight Re Surplus or GRIL Surplus, as the case may be) multiplied by (b) the Investment Cap (50%), and the General Partner will designate any portion of a Partner’s Investment Portfolio as Designated Securities to effectuate such limit.”

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, 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 presents its investment in SILP in its condensed consolidated balance sheets in the caption “Investment in related party investment fund.”

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. At June 30, 2022, the net asset value of the GLRE Limited Partners’ investment in SILP was $189.3 million (December 31, 2021: $183.6 million), representing 76.0% (December 31, 2021: 78.2%) of SILP’s total net assets. DME II held the remaining 24.0% (December 31, 2021: 21.8%) of SILP’s total net assets. 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. At June 30, 2022, the majority of SILP’s long investments were composed of cash and publicly traded equity securities, which could be readily liquidated to meet the GLRE Limited Partners’ 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, 2022, was $11.9 million and $16.0 million, respectively (three and six months ended June 30, 2021: $(2.0) million and $2.0 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 summarized financial statements of SILP are presented below.
Summarized Statement of Assets and Liabilities of Solasglas Investments, LP
June 30, 2022December 31, 2021
($ in thousands)
Assets
Investments, at fair value$247,121 $297,937 
Derivative contracts, at fair value12,934 2,542 
Due from brokers111,050 84,775 
Cash and cash equivalents8,689 — 
Interest and dividends receivable11 28 
Total assets379,805 385,282 
Liabilities and partners’ capital
Liabilities
Investments sold short, at fair value(121,531)(132,360)
Derivative contracts, at fair value(8,154)(7,253)
Capital withdrawals payable— (10,000)
Due to brokers(730)— 
Interest and dividends payable(324)(580)
Other liabilities(156)(358)
Total liabilities(130,895)(150,551)
Net Assets$248,910 $234,731 
GLRE Limited Partners’ share of Net Assets$189,256 $183,591 
Summarized Statement of Operations of Solasglas Investments, LP
Three months ended June 30Six months ended June 30
2022202120222021
($ in thousands)
Investment income
Dividend income (net of withholding taxes)$303 $159 $623 $363 
Interest income286 570 335 719 
Total Investment income589 729 958 1,082 
Expenses
Management fee(894)(895)(1,785)(1,749)
Interest(479)(427)(735)(669)
Dividends(200)(301)(582)(546)
Professional fees and other(230)(337)(494)(559)
Total expenses(1,803)(1,960)(3,596)(3,523)
Net investment income (loss)(1,214)(1,231)(2,638)(2,441)
Realized and change in unrealized gains (losses)
Net realized gain (loss) 26,827 (6,332)50,975 (13,398)
Net change in unrealized appreciation (depreciation) (6,699)4,789 (23,491)17,580 
Net gain (loss) on investment transactions20,128 (1,543)27,484 4,182 
Net income (loss)$18,914 $(2,774)$24,846 $1,741 
GLRE Limited Partners’ share of net income (loss) (1)
$11,876 $(2,006)$15,953 $2,018 

(1) Net income (loss) is net of management fees and performance allocation presented below:

Three months ended June 30Six months ended June 30
2022202120222021
($ in thousands)
Management fees$894 $895 $1,785 $1,749 
Performance allocation1,319 $(223)1,772 224 
Total$2,213 $672 $3,557 $1,973 

See Note 11 for further details on related party management fees and performance allocation.