GREENLIGHT CAPITAL RE, LTD. 10-Q

Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK We believe we are principally exposed to the following types of market risk: • equity price risk; • commodity price risk; • foreign currency risk; • interest rate risk; • credit risk; and • political risk. See “Part II, Item 7A. Quantitative and Qualitative Disclosures about Market Risk” in our Annual Report on Form 10-K for the year ended December 31, 2022, for a discussion of our exposure to these risks. The following is an update of the material changes in our exposure to market risk at March 31, 2023 since December 31, 2022: Equity Price Risk At March 31, 2023, a 10% decline in the price of each of the underlying listed equity securities and equity-based derivative instruments would result in a $12.0 million loss to our Investment Portfolio and $2.1 million loss to our proportionate share of the equity exposure held by the Lloyd’s syndicates. 37 Return to table of contents Commodity Price Risk The following table summarizes the net impact that a 10% increase and decrease in commodity prices would have on the value of our Investment Portfolio at March 31, 2023. The below table excludes the indirect effect that changes in commodity prices might have on equity securities in our Investment Portfolio. 10% increase in commodity prices 10% decrease in commodity prices Commodity Change in fair value Change in fair value ($ in millions) Gold $ 4.1 $ (4.1) Silver 0.3 (0.3) Uranium 0.3 (0.3) Crude oil 0.2 (0.2) Total $ 4.9 $ (4.9) Foreign Currency Risk The following table summarizes the net impact of a hypothetical 10% currency rate movement relating to our GBP and Euro denominated reinsurance net liabilities (including balances held at Lloyd's) at March 31, 2023: Currency Net Exposure 10% increase in currency rate 10% decrease in currency rate ($ in thousands) GBP £ 6,589 $ 812 $ (812) Euro € (10,477) (1,136) 1,136 Total foreign exchange loss (gain) $ (324) $ 324 Additionally, a 10% increase or decrease in the value of the U.S. dollar against foreign currencies would have no meaningful impact on the value of our Investment Portfolio at March 31, 2023. Interest Rate Risk There was no material change in our exposure to interest rate risk at March 31, 2023 since December 31, 2022, except for our investment in SILP, which includes interest-rate sensitive securities, such as corporate and sovereign debt instruments and interest rate options. At March 31, 2023, a 100 basis points increase or decrease in interest rates would result in a $7.5 million gain or a $5.8 million loss, respectively, to our Investment Portfolio.