SEC Info - Everest Reinsurance Holdings Inc.

Annual

Report

Form

10-K for

the

year

ended December 31, 2021.

There were no

new material accounting

standards issued

in the six months

ended June

30, 2022, that impacted Holdings.

Any

issued

guidance

and

pronouncements,

other

than

those

directly

referenced

above,

are

deemed

the

Company to be either not applicable or immaterial to

its financial statements.

INVESTMENTS

The

following

tables

show

amortized

cost,

allowance

for

credit

losses,

gross

unrealized

appreciation,

gross

unrealized

depreciation

and

fair

value

available

for

sale,

fixed

maturity

securities

available

for

sale

the

dates indicated:

At June 30, 2022

Amortized

Allowances for

Unrealized

Fair

(Dollars in thousands)

Cost

Credit Losses

Appreciation

Depreciation

Value

Fixed maturity securities – available for sale

U.S. Treasury securities and obligations of

U.S. government agencies and corporations

i 615,312

i 618

( i 26,187)

i 589,743

Obligations of U.S. states and political

subdivisions

i 528,830

( i 151)

i 3,951

( i 24,349)

i 508,281

Corporate securities

i 4,355,517

( i 25,584)

i 15,127

( i 337,377)

i 4,007,683

Asset-backed securities

i 3,928,582

i 679

( i 177,890)

i 3,751,371

Mortgage-backed securities

Commercial

i 566,417

( i 41,999)

i 524,418

Agency residential

i 1,522,073

i 185

( i 112,358)

i 1,409,900

Non-agency residential

i 3,536

( i 143)

i 3,393

Foreign government securities

i 697,135

i 6,339

( i 38,860)

i 664,614

Foreign corporate securities

i 1,537,170

( i 1,539)

i 4,439

( i 126,052)

i 1,414,018

Total fixed maturity securities – available for sale

i 13,754,572

( i 27,274)

i 31,338

( i 885,215)

i 12,873,421

At December 31, 2021

Amortized

Allowances for

Unrealized

Fair

(Dollars in thousands)

Cost

Credit Losses

Appreciation

Depreciation

Value

Fixed maturity securities – available for sale

U.S. Treasury securities and obligations of

U.S. government agencies and corporations

i 656,742

i 9,303

( i 3,296)

i 662,749

Obligations of U.S. states and political

subdivisions

i 558,842

( i 151)

i 29,080

( i 1,150)

i 586,621

Corporate securities

i 4,036,000

( i 19,267)

i 89,172

( i 31,000)

i 4,074,905

Asset-backed securities

i 3,464,248

( i 7,680)

i 20,732

( i 11,014)

i 3,466,286

Mortgage-backed securities

Commercial

i 586,441

i 20,538

( i 4,085)

i 602,894

Agency residential

i 1,255,186

i 15,568

( i 10,076)

i 1,260,678

Non-agency residential

i 4,398

i 16

( i 6)

i 4,408

Foreign government securities

i 677,327

i 21,658

( i 7,005)

i 691,980

Foreign corporate securities

i 1,494,315

( i 393)

i 34,449

( i 18,497)

i 1,509,874

Total fixed maturity securities – available for sale

i 12,733,499

( i 27,491)

i 240,516

( i 86,129)

i 12,860,395

The amortized cost

and fair value of

fixed maturity securities

available for sale

are shown in the following

tables by

contractual maturity.

Mortgage-backed securities

are generally

more likely to

be prepaid than other

fixed maturity

securities.

the

stated

maturity

such

securities

may

not

indicative

actual

maturities,

the

totals

for

mortgage-backed and asset-backed

securities are shown separately.

At June 30, 2022

At December 31, 2021

Amortized

Fair

Amortized

Fair

(Dollars in thousands)

Cost

Value

Cost

Value

Fixed maturity securities – available for sale

Due in one year or less

i 550,584

i 545,751

i 586,432

i 583,676

Due after one year through five years

i 3,688,680

i 3,513,385

i 3,488,358

i 3,526,854

Due after five years through ten years

i 2,134,269

i 1,933,772

i 2,260,481

i 2,309,870

Due after ten years

i 1,360,431

i 1,191,431

i 1,087,955

i 1,105,729

Asset-backed securities

i 3,928,582

i 3,751,371

i 3,464,248

i 3,466,286

Mortgage-backed securities

Commercial

i 566,417

i 524,418

i 586,441

i 602,894

Agency residential

i 1,522,073

i 1,409,900

i 1,255,186

i 1,260,678

Non-agency residential

i 3,536

i 3,393

i 4,398

i 4,408

Total fixed maturity securities

i 13,754,572

i 12,873,421

i 12,733,499

i 12,860,395

During the second

quarter of 2022,

the Company

purchased fixed

maturity securities

classified as

held to maturity

with

amortized

cost

i 71.8

million

and

fair

value

i 71.2

million

2022.

Fixed

maturity

securities held to maturity

consist of debt securities

for which the Company

has both the positive intent

and ability

hold

maturity

redemption

and

are

reported

amortized

cost,

net

the

current

expected

credit

loss

allowance.

Interest

income

for

fixed

maturity

securities

held

maturity

determined

the

same

manner

interest income for fixed

maturity securities available for

sale.

These fixed

maturity securities

held to

maturity are

comprised of

asset-backed

securities, with

an amortized

cost

of $

i 62.8

million,

gross

unrealized

appreciation

of $

i 0.1

million,

gross

unrealized

depreciation

of $

i 0.2

million,

and

fair value of $

i 62.4

million, and corporate

securities, with an amortized

cost of $

i 9.0

million, unrealized appreciation

i 0.0

million,

unrealized

depreciation

i 0.1

million,

and

fair

value

i 8.8

million,

2022.

The

contractual maturity

of the corporate securities

held to maturity is

i 5 years

as of June 30, 2022. The stated

maturity

of asset-backed securities held to maturity

may not be indicative of actual maturities.

The Company evaluated

fixed maturity securities

classified as held to maturity

for current expected

credit losses as

of June

30, 2022

utilizing risk

characteristics

of each

security,

including credit

rating,

remaining time

maturity,

adjusted

for prepayment

considerations,

and subordination

level, and

applying default

and recovery

rates,

which

include the incorporation

of historical credit loss

experience and macroeconomic

forecasts, to

develop an estimate

of current

expected

credit

losses. These

fixed

maturities classified

as held

to maturity

are of

a high

credit quality

and are

all rated

investment

grade as

of June

30, 2022.

The allowance

for credit

losses expected

to be

recognized

over the

remaining life

of the

fixed maturity

securities classified

as held

to maturity

is $

i 0.4

million as

of June

2022.

The

changes

net

unrealized

appreciation

(depreciation)

for

the

Company’s

available

for

sale

and

short

term

investments are derived

from the following sources for

the periods as indicated:

Three Months Ended

Six Months Ended

June 30,

(Dollars in thousands)

2022

2021

2022

2021

Increase (decrease) during the period between the fair value and cost of

investments carried at fair value, and deferred taxes thereon:

Fixed maturity securities, available for sale and short-term investments

( i 512,342)

i 63,124

( i 1,008,216)

( i 74,026)

Change in unrealized appreciation (depreciation), pre-tax

( i 512,342)

i 63,124

( i 1,008,216)

( i 74,026)

Deferred tax benefit (expense)

i 107,410

( i 13,272)

i 211,260

i 15,510

Change in unrealized appreciation (depreciation), net of deferred taxes, included

in stockholder's equity

( i 404,932)

i 49,852

( i 796,956)

( i 58,516)

The

tables

below

display

the

aggregate

fair

value

and

gross

unrealized

depreciation

fixed

maturity

securities

available

for

sale, by

security type

and contractual

maturity,

in each

case subdivided

according

length

of time

that individual securities had been in a continuous unrealized

loss position for the periods indicated:

Duration of Unrealized Loss at June 30, 2022 By Security Type

Less than 12 months

Greater than 12 months

Total

Gross

Fair

Unrealized

Fair

Unrealized

Fair

Unrealized

(Dollars in thousands)

Value

Depreciation

Value

Depreciation

Value

Depreciation

Fixed maturity securities -

available for sale

U.S. Treasury securities and

obligations of U.S. government

agencies and corporations

i 520,687

( i 23,947)

i 26,566

( i 2,240)

i 547,253

( i 26,187)

Obligations of U.S. states and

political subdivisions

i 207,489

( i 21,199)

i 15,223

( i 3,102)

i 222,712

( i 24,301)

Corporate securities

i 2,907,008

( i 282,978)

i 411,811

( i 53,735)

i 3,318,819

( i 336,713)

Asset-backed securities

i 3,518,224

( i 177,153)

i 9,307

( i 737)

i 3,527,531

( i 177,890)

Mortgage-backed securities

Commercial

i 515,599

( i 40,620)

i 8,818

( i 1,379)

i 524,417

( i 41,999)

Agency residential

i 1,130,396

( i 77,988)

i 266,332

( i 34,370)

i 1,396,728

( i 112,358)

Non-agency residential

i 3,393

( i 143)

i 3,393

( i 143)

Foreign government securities

i 475,696

( i 29,114)

i 66,955

( i 9,746)

i 542,651

( i 38,860)

Foreign corporate securities

i 1,102,644

( i 109,378)

i 132,205

( i 16,531)

i 1,234,849

( i 125,909)

Total

i 10,381,136

( i 762,520)

i 937,217

( i 121,840)

i 11,318,353

( i 884,360)

Securities where an allowance for

credit losses was recorded

i 7,054

( i 855)

i 7,054

( i 855)

Total fixed maturity securities

i 10,388,190

( i 763,375)

i 937,217

( i 121,840)

i 11,325,407

( i 885,215)

Duration of Unrealized Loss at June 30, 2022 By Maturity

Less than 12 months

Greater than 12 months

Total

Gross

Fair

Unrealized

Fair

Unrealized

Fair

Unrealized

(Dollars in thousands)

Value

Depreciation

Value

Depreciation

Value

Depreciation

Fixed maturity securities - available for sale

Due in one year or less

i 342,251

( i 2,566)

i 39,994

( i 3,187)

i 382,245

( i 5,753)

Due in one year through five years

i 2,518,832

( i 149,344)

i 315,227

( i 23,856)

i 2,834,059

( i 173,200)

Due in five years through ten years

i 1,401,318

( i 158,998)

i 248,982

( i 46,474)

i 1,650,300

( i 205,472)

Due after ten years

i 951,123

( i 155,708)

i 48,557

( i 11,837)

i 999,680

( i 167,545)

Asset-backed securities

i 3,518,224

( i 177,153)

i 9,307

( i 737)

i 3,527,531

( i 177,890)

Mortgage-backed securities

i 1,649,388

( i 118,751)

i 275,150

( i 35,749)

i 1,924,538

( i 154,500)

Total

i 10,381,136

( i 762,520)

i 937,217

( i 121,840)

i 11,318,353

( i 884,360)

Securities where an allowance for credit

losses was recorded

i 7,054

( i 855)

i 7,054

( i 855)

Total fixed maturity securities

i 10,388,190

( i 763,375)

i 937,217

( i 121,840)

i 11,325,407

( i 885,215)

The

aggregate

fair

value

and

gross

unrealized

losses

fixed

maturity

securities

available

for

sale

unrealized

loss

position

2022

were

i 11.3

billion

and

i 885.2

million,

respectively.

The

fair

value

securities for

the single

issuer

(the United

States

government)

whose securities

comprised

the largest

unrealized

loss

position

2022,

did

not

exceed

i 4.3

the

overall

fair

value

the

Company’s

fixed

maturity

securities available

for

sale.

The fair

value

of the

securities

for

the issuer

with the

second

largest

unrealized

loss

position at June 30, 2022,

comprised less than

i 2.2

% of the Company’s

fixed maturity securities available

for sale. In

addition,

as indicated

on the

above

table,

there

was

no significant

concentration

of unrealized

losses

in any

one

market

sector.

The

i 763.4

million

unrealized

losses

fixed

maturity

securities

available

for

sale

that

have been

in an

unrealized

loss position

for less

than one

year were

generally

comprised of

domestic and

foreign

corporate

securities,

asset

backed

securities

and

agency

residential

mortgage

backed

securities.

these

unrealized

losses,

i 662.6

million

were

securities

that

were

rated

investment

grade

least

one

nationally

recognized

rating

agency.

The

i 121.8

million

unrealized

losses

fixed

maturity

securities

available

for sale

in an

unrealized

loss position

for more

than one

year related

primarily to

domestic and

foreign

corporate

securities

well

agency

residential

mortgage-backed

securities.

these

unrealized

losses

i 114.2

million

were

securities

that

were

rated

investment

grade

least

one

nationally

recognized

rating

agency.

all

instances,

there

were

projected

cash

flow

shortfalls

recover

the

full

book

value

the

investments

and the

related interest

obligations.

The mortgage-backed

securities still

have excess

credit coverage

and are

current on

interest and

principal payments.

Based upon

current evaluation

of securities

an unrealized

loss position as

of June 30,

2022, the unrealized

losses are due

to changes in

interest rates

and non-

issuer

specific credit

spreads

and are

not credit

related.

addition,

the contractual

terms of

these securities

not permit these securities to be settled at a price less than

their amortized cost.

The Company,

given the size

of its investment

portfolio and capital

position, does not

have the

intent to

sell these

securities; and

it is

more likely

than not

that the

Company will

not have

to sell

the security

before

recovery

of its

cost

basis.

addition,

all

securities

currently

unrealized

loss

position

are

current

with

respect

principal

and interest payments.

The

tables

below

display

the

aggregate

fair

value

and

gross

unrealized

depreciation

fixed

maturity

securities

available

for

sale, by

security type

and contractual

maturity,

in each

case subdivided

according

length

of time

that individual securities

had been in a

continuous unrealized

loss position for

the periods indicated.

The amounts

presented in

the tables below include

i 15.7

million of fair value

and $(

i 0.4

) million of gross

unrealized depreciation

as of December 31, 2021 related

to fixed maturity securities

available for sale

for which the Company

has recorded

an allowance for credit losses.

Duration of Unrealized Loss at December 31, 2021 By Security Type

Less than 12 months

Greater than 12 months

Total

Gross

Fair

Unrealized

Fair

Unrealized

Fair

Unrealized

(Dollars in thousands)

Value

Depreciation

Value

Depreciation

Value

Depreciation

Fixed maturity securities -

available for sale

U.S. Treasury securities and

obligations of U.S. government

agencies and corporations

i 266,953

( i 3,296)

i 266,953

( i 3,296)

Obligations of U.S. states and

political subdivisions

i 51,094

( i 1,038)

i 2,558

( i 112)

i 53,652

( i 1,150)

Corporate securities

i 1,465,259

( i 24,853)

i 200,637

( i 6,147)

i 1,665,896

( i 31,000)

Asset-backed securities

i 1,890,876

( i 10,713)

i 37,910

( i 301)

i 1,928,786

( i 11,014)

Mortgage-backed securities

Commercial

i 138,934

( i 2,467)

i 34,967

( i 1,618)

i 173,901

( i 4,085)

Agency residential

i 698,896

( i 6,879)

i 167,923

( i 3,197)

i 866,819

( i 10,076)

Non-agency residential

i 1,401

( i 4)

i 156

( i 2)

i 1,557

( i 6)

Foreign government securities

i 200,294

( i 4,778)

i 14,612

( i 2,227)

i 214,906

( i 7,005)

Foreign corporate securities

i 676,609

( i 16,871)

i 33,057

( i 1,626)

i 709,666

( i 18,497)

Total fixed maturity securities

i 5,390,316

( i 70,899)

i 491,820

( i 15,230)

i 5,882,136

( i 86,129)

Duration of Unrealized Loss at December 31, 2021 By Maturity

Less than 12 months

Greater than 12 months

Total

Gross

Fair

Unrealized

Fair

Unrealized

Fair

Unrealized

(Dollars in thousands)

Value

Depreciation

Value

Depreciation

Value

Depreciation

Fixed maturity securities - available for

sale

Due in one year or less

i 81,412

( i 1,878)

i 35,515

( i 3,829)

i 116,927

( i 5,707)

Due in one year through five years

i 1,209,378

( i 18,614)

i 154,449

( i 3,418)

i 1,363,827

( i 22,032)

Due in five years through ten years

i 852,857

( i 20,678)

i 34,164

( i 1,977)

i 887,021

( i 22,655)

Due after ten years

i 516,562

( i 9,666)

i 26,736

( i 888)

i 543,298

( i 10,554)

Asset-backed securities

i 1,890,876

( i 10,713)

i 37,910

( i 301)

i 1,928,786

( i 11,014)

Mortgage-backed securities

i 839,231

( i 9,350)

i 203,046

( i 4,817)

i 1,042,277

( i 14,167)

Total fixed maturity securities

i 5,390,316

( i 70,899)

i 491,820

( i 15,230)

i 5,882,136

( i 86,129)

The

aggregate

fair

value

and

gross

unrealized

losses

investments

unrealized

loss

position

December 31, 2021

were $

i 5.9

billion and $

i 86.1

million, respectively.

The fair value

of securities for

the issuer (the

United States

government)

whose securities

comprised the

largest unrealized

loss position

at December

31, 2021,

did not

exceed

i 2.1

% of the

overall

fair value

of the

Company’s

fixed maturity

securities available

for sale.

The fair

value

the

securities

for

the

issuer

with

the

second

largest

unrealized

loss

comprised

less

than

i 0.4

the

Company’s

fixed

maturity

securities available

for

sale. In

addition, as

indicated

on the

above

table,

there

was

significant

concentration

unrealized

losses

any

one

market

sector.

The

i 70.9

million

unrealized

losses

fixed

maturity

securities

that

have

been

unrealized

loss

position

for

less

than

one

year

were

generally

comprised

domestic

and

foreign

corporate

securities,

foreign

government

securities,

asset

backed

securities

and

agency

residential

mortgage

backed

securities.

these

unrealized

losses,

i 61.5

million

were

securities

that

were

rated

investment

grade

least

one

nationally

recognized

rating

agency.

The

i 15.2

million of unrealized losses related

to fixed maturity securities available

for sale in an unrealized loss

position

for more than

one year related

primarily to domestic

and foreign corporate

securities as well

as agency residential

mortgage

backed

securities.

these

unrealized

losses

i 12.3

million

were

securities

that

were

rated

investment grade by

at least one nationally recognized

rating agency.

In all instances, there were no projected

cash

flow shortfalls to recover the

full book value of the investments

and the related interest

obligations. The mortgage-

backed securities still have

excess credit coverage

and are current on interest

and principal payments.

The components of net investment

income are presented in the tables

below for the periods indicated:

Three Months Ended

Six Months Ended

June 30,

(Dollars in thousands)

2022

2021

2022

2021

Fixed maturities

i 115,510

i 91,895

i 209,941

i 177,016

Equity securities

i 4,600

i 3,385

i 8,746

i 6,308

Short-term investments and cash

i 635

i 83

i 850

i 236

Other invested assets

Limited partnerships

i 45,244

i 126,407

i 88,766

i 178,558

Dividends from preferred shares of affiliate

i 7,758

i 15,516

Other

i 13,991

i 25,856

i 25,822

i 31,875

Gross investment income before adjustments

i 187,738

i 255,384

i 349,641

i 409,509

Funds held interest income (expense)

i 525

i 2,732

i 3,348

i 6,221

Interest income from Parent

i 1,800

i 1,281

i 3,568

i 2,549

Gross investment income

i 190,063

i 259,397

i 356,557

i 418,279

Investment expenses

( i 13,564)

( i 11,262)

( i 23,924)

( i 22,421)

Net investment income

i 176,499

i 248,135

i 332,633

i 395,858

(Some amounts may not reconcile due to rounding.)

The

Company

records

results

from

limited

partnership

investments

the

equity

method

accounting

with

changes in value reported through

net investment income.

The net investment income

from limited partnerships

dependent upon the Company’s

share of the net asset

values of interests

underlying each limited partnership.

Due

the

timing

receiving

financial

information

from

these

partnerships,

the

results

are

generally

reported

one

month

quarter

lag.

If the

Company

determines

there

has

been

significant

decline

value

limited

partnership during this lag period, a loss will be recorded

in the period in which the Company identifies the

decline.

The

Company

had

contractual

commitments

invest

additional

i 983.5

million

limited

partnerships

and

private

placement

loan

securities

2022.

These

commitments

will

funded

when

called

accordance

with

the

partnership

and

loan

agreements,

which

have

investment

periods

that

expire,

unless

extended, through

i 2026

The Company participates in

a private placement liquidity sweep

facility (“the facility”). The primary purpose of the

facility is to

enhance the Company’s

return on its

short-term investments

and cash positions.

The facility invests

high quality,

short-duration securities

and permits daily liquidity.

The Company consolidates

its participation in

the

facility.

As of June 30, 2022,

the fair value

of investments

in the facility consolidated

within the Company’s

balance

sheets was $

i 262.3

million.

Other

invested

assets,

fair

value,

and

were

comprised

preferred

held in

Everest

Preferred

International

Holdings, Ltd.

(“Preferred

Holdings”), a

wholly-owned

subsidiary

Group.

Variable Interest

Entities

The

Company

engaged

with

various

special

purpose

entities

and

other

entities

that

are

deemed

VIEs

primarily as an investor

through normal investment

activities but also as

an investment manager.

A VIE is an

entity

that either has

investors

that lack certain

essential characteristics

of a controlling

financial interest,

such as simple

majority kick-out

rights, or lacks

sufficient funds

to finance its

own activities without

financial support provided

other

entities.

The

Company

performs

ongoing

qualitative

assessments

its

VIEs

determine

whether

the

Company

has

controlling

financial

interest

in the

VIE and

therefore

the

primary

beneficiary.

The Company

deemed

have

controlling

financial

interest

when

has

both

the

ability

direct

the

activities

that

most

significantly

impact

the

economic

performance

of the

VIE

and

the

obligation

absorb

losses

right

receive

benefits

from

the

VIE

that

could

potentially

significant

the

VIE.

Based

the

Company’s

assessment,

determines

the

primary

beneficiary,

the

Company

consolidates

the

VIE

the

Company’s

Consolidated

Financial

Statements.

and

the

Company

did

not

hold

any

securities

for

which it is the primary beneficiary.

The

Company,

through

normal

investment

activities,

makes

passive

investments

general

and

limited

partnerships

and other

alternative investments.

For these

non-consolidated

VIEs, the

Company has

determined it

not

the

primary

beneficiary

has

ability

direct

activities

that

could

significantly

affect

the

economic

performance of the investments.

The Company’s maximum

exposure to loss

as of June 30, 2022 and December

31,

2021 is limited to the

total carrying value of $

i 1.8

billion and $

i 1.7

billion, respectively,

which are included in general

and

limited

partnerships

and

other

alternative

investments

Other

Invested

Assets

the

Company's

Consolidated Balance Sheets.

As of June 30, 2022, the

Company has outstanding

commitments totaling

i 0.8

billion

whereby

the Company

is committed

fund these

investments

and may

be called

by the

partnership

during

the

commitment

period

fund

the

purchase

of new

investments

and

partnership

expenses.

These investments

are

generally of a passive nature

in that the Company does not take

an active role in management.

In addition, the Company

makes passive investments

in structured securities issued

by VIEs for which the Company

is not

the manager.

These investments

are

included in

asset-backed

securities,

which includes

collateralized

loan

obligations

and

are

reported

fixed

maturities

available-for-sale

and

fixed

maturities

held

maturity.

The

Company

has

not

provided

financial

other

support

with

respect

these

investments

other

than

its

original

investment.

For these

investments,

the Company

determined it

is not

the primary

beneficiary due

to the

relative

size of

investment in

comparison to

the principal amount

of the structured

securities issued by

the

VIEs, the level

of credit subordination

which reduces

obligation to

absorb losses or

right to

receive

benefits

and

the

Company’s

inability

direct

the

activities

that

most

significantly

impact

the

economic

performance of the VIEs.

The Company’s maximum

exposure to loss

on these investments

is limited to the amount

of the Company’s investment.

The components of net gains (losses) on investments

are presented in the table below for

the periods indicated:

Three Months Ended

Six Months Ended

June 30,

(Dollars in thousands)

2022

2021

2022

2021

Fixed maturity securities:

Allowances for credit losses

i 1,500

( i 15,075)

( i 149)

( i 22,217)

Net realized gains (losses) from dispositions

( i 9,875)

i 4,128

( i 14,964)

i 8,055

Equity securities, fair value:

Net realized gains (losses) from dispositions

( i 30,009)

i 585

( i 38,277)

i 6,823

Gains (losses) from fair value adjustments

( i 185,865)

i 103,824

( i 316,667)

i 141,375

Other invested assets

i 583

i 2,748

i 4,502

i 4,094

Other invested assets, fair value:

Gains (losses) from fair value adjustments

( i 154,658)

i 87,552

( i 239,277)

i 180,630

Short-term investment gains (losses)

i 51

i 1

( i 28)

i 14

Total net gains (losses) on investments

( i 378,273)

i 183,763

( i 604,860)

i 318,774

Roll Forward of Allowance for Credit Losses – Fixed maturities,

available for sale

Three Months Ended June 30, 2022

Six Months Ended June 30, 2022

Asset

Obligations of U.S.

states and

political

subdivisions

Foreign

Asset

Obligations of

U.S. states and

political

subdivisions

Foreign

Corporate

Backed

Corporate

Backed

Corporate

Securities

Total

Securities

Total

Beginning Balance

( i 20,049)

( i 7,680)

( i 151)

( i 1,260)

( i 29,140)

( i 19,267)

( i 7,680)

( i 151)

( i 393)

( i 27,491)

Credit losses on securities where credit

losses were not previously recorded

( i 4,888)

( i 172)

( i 5,060)

( i 6,817)

( i 1,141)

( i 7,958)

Increases in allowance on previously

impaired securities

( i 653)

( i 107)

( i 760)

( i 653)

( i 107)

( i 760)

Decreases in allowance on previously

impaired securities

Reduction in allowance due to disposals

i 6

i 7,680

i 7,686

i 1,153

i 7,680

i 102

i 8,935

Balance as of June 30, 2022

( i 25,584)

( i 151)

( i 1,539)

( i 27,274)

( i 25,584)

( i 151)

( i 1,539)

( i 27,274)

Roll Forward of Allowance

for Credit Losses – Fixed maturities,

available for sale

Three Months Ended June 30, 2021

Six Months Ended June 30, 2021

Asset

Foreign

Asset

Foreign

Corporate

Backed

Corporate

Backed

Corporate

Securities

Total

Securities

Total

Beginning Balance

( i 3,588)

( i 4,915)

( i 205)

( i 8,708)

( i 1,205)

( i 361)

( i 1,566)

Credit losses on securities where credit

losses were not previously recorded

( i 13,538)

( i 188)

( i 13,726)

( i 15,921)

( i 4,915)

( i 188)

( i 21,024)

Increases in allowance on previously

impaired securities

( i 1,468)

Decreases in allowance on previously

impaired securities

Reduction in allowance due to disposals

i 119

i 156

i 275

Balance as of June 30, 2021

( i 18,475)

( i 4,915)

( i 393)

( i 23,783)

( i 18,475)

( i 4,915)

( i 393)

( i 23,783)

The proceeds and split between gross

gains and losses from dispositions of fixed

maturity and equity securities, are

presented in the table below for

the periods indicated:

Three Months Ended

Six Months Ended

June 30,

(Dollars in thousands)

2022

2021

2022

2021

Proceeds from sales of fixed maturity securities, available for sale

i 244,553

i 165,443

i 511,218

i 242,072

Gross gains from dispositions

i 3,119

i 8,850

i 6,274

i 15,199

Gross losses from dispositions

( i 12,994)

( i 4,722)

( i 21,238)

( i 7,144)

Proceeds from sales of equity securities

i 343,405

i 64,775

i 425,380

i 346,088

Gross gains from dispositions

i 4,126

i 2,633

i 7,634

i 14,937

Gross losses from dispositions

( i 34,135)

( i 2,048)

( i 45,911)

( i 8,114)

RESERVES FOR LOSSES, LAE

AND FUTURE POLICY BENEFIT RESERVE

Activity in the reserve for losses and LAE is summarized

for the periods indicated:

Six Months Ended June 30,

(Dollars in thousands)

2022

2021

Gross reserves beginning of period

i 13,121,177

i 11,578,096

Less reinsurance recoverables on unpaid losses

( i 3,650,716)

( i 3,951,474)

Net reserves beginning of period

i 9,470,461

i 7,626,622

Incurred related to:

Current year

i 2,520,596

i 2,450,567

Prior years

i 9,031

( i 865)

Total incurred losses and LAE

i 2,529,627

i 2,449,702

Paid related to:

Current year

i 775,023

i 550,907

Prior years

i 1,063,144

i 903,025

Total paid losses and LAE

i 1,838,167

i 1,453,932

Foreign exchange/translation adjustment

( i 16,668)

i 9,986

Net reserves end of period

i 10,145,252

i 8,632,376

Plus reinsurance recoverables on unpaid losses

i 3,593,105

i 3,772,228

Gross reserves end of period

i 13,738,357

i 12,404,604

(Some amounts may not reconcile due to rounding.)

Current

year incurred

losses were

i 2.5

billion and

i 2.5

billion for

the six

months

ended June

30, 2022

and 2021,

respectively.

Gross

and

net

reserves

increased

for

the

six

months

ended

2022, reflecting

increase

underlying

exposure

due

premium

growth

and

the

impact

i 24.6

million

incurred

losses

the

Ukraine/Russia

war,

partially offset

by a

reduction of

i 150.0

million in

current

year catastrophe

losses. Prior

year

incurred development of $

i 9.0

million is primarily driven by unfavorable

movement on prior year catastrophes.

The war

in the

Ukraine

is ongoing

and an

evolving

event.

Economic

and legal

sanctions

have

been levied

against

Russia, specific named individuals

and entities connected

to the Russian government,

as well as businesses

located

in the

Russian Federation

and/or owned

by Russian

nationals by

numerous countries,

including the

United States.

The

significant

political

and

economic

uncertainty

surrounding

the

war

and

associated

sanctions

have

impacted

economic

and

investment

markets

both

within

Russia

and

around

the

world.

The

Company

has

recorded

i 24.6

million

incurred

underwriting

losses

the

Ukraine

and

Russia

conflict

for

the

three

and

six

months

ended June 30, 2022.

FAIR VALUE

GAAP guidance regarding fair

value measurements addresses

how companies should measure fair value

when they

are required to use fair value

measures for recognition or disclosure

purposes under GAAP and provides a common

definition of fair

value to be

used throughout GAAP.

It defines fair

value as the

price that would

be received to

sell

an asset or

paid to transfer

a liability in

an orderly fashion

between market

participants at

the measurement date.

addition,

establishes

three-level

valuation

hierarchy

for

the

disclosure

fair

value

measurements.

The

valuation

hierarchy

is based

on the

transparency

of inputs to

the valuation

of an

asset or

liability.

The level

in the

hierarchy

within which

a given

fair value

measurement

falls is

determined based

on the

lowest level

input that

significant to the measurement,

with Level 1 being the highest priority and Level 3 being the lowest

priority.

The levels in the hierarchy

are defined as follows:

Level 1

Inputs to

the valuation

methodology are

observable inputs

that reflect

unadjusted

quoted prices

for

identical assets or liabilities in an active market;

Level 2:

Inputs

the valuation

methodology

include

quoted

prices

for

similar

assets

and liabilities

active

markets,

and

inputs

that

are

observable

for

the

asset

liability,

either

directly

indirectly,

for

substantially the full term of the financial instrument;

Level 3:

Inputs to the valuation methodology are

unobservable and significant to the fair value

measurement.

The

Company’s

fixed

maturity

and

equity

securities

are

primarily

managed

third

party

investment

asset

managers.

The

investment

asset

managers

managing

publicly

traded

securities

obtain

prices

from

nationally

recognized pricing services.

These services seek to utilize

market data

and observations in their evaluation

process.

They use pricing

applications that vary

by asset class and

incorporate available

market information

and when fixed

maturity

securities

not

trade

daily

basis

the

services

will

apply

available

information

through

processes

such as

benchmark curves,

benchmarking of

securities,

sector groupings

and matrix

pricing. In

addition, they

use

model

processes,

such

the

Option

Adjusted

Spread

model

develop

prepayment

and

interest

rate

scenarios for securities that have prepayment

features.

The investment

asset managers

do not make

any changes to

prices received from

either the pricing

services or the

investment

brokers.

addition,

the

investment

asset

managers

have

procedures

place

review

the

reasonableness

of the

prices from

the service

providers

and may

request verification

of the

prices. The

Company

also

continually

performs

quantitative

and

qualitative

analysis

prices,

including

but

not

limited

initial

and

ongoing

review

pricing

methodologies,

review

prices

obtained

from

pricing

services

and

third

party

investment

asset managers,

review of

pricing statistics

and trends,

and comparison

of prices

for certain

securities

with a

secondary price

source for

reasonableness. No

material variances

were noted

during these

price validation

procedures.

In limited

situations,

where

financial

markets

are

inactive

illiquid,

the

Company

may

use its

own

assumptions

about

future

cash

flows

and

risk-adjusted

discount

rates

determine

fair

value.