UNITED STATES

SECURITIES AND EXCHANGE

COMMISSION

Washington, D.C.

20549

FORM

10-Q

☑

Quarterly Report Pursuant to

Section 13 or 15(d) of the Securities Exchange Act of 1934

For the quarterly period ended ~~March 31,~~

September 30, 2022

☐

Transition Report

Pursuant to Section 13 or 15(d) of the Securities Exchange

Act of 1934

Commission file number

1-14527

EVEREST REINSURANCE HOLDINGS, INC.

(Exact name of registrant as specified in its charter)

~~Delaware~~

~~22-3263609~~

~~(State or other jurisdiction of~~

~~incorporation or organization)~~

~~(I.R.S. Employer~~

~~Identification No.)~~

Delaware

22-3263609

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)

100 Everest Way

Warren

New Jersey

07059

~~(908)~~

(

908

)

604-3000

(Address, including zip code, and telephone number, including area code, of registrant’s principal executive office)

Indicate

check

mark

whether

the

registrant

(1)

has

filed

all

reports

required

filed

Section

15(d)

the

Securities Exchange Act of

1934 during the preceding

12 months (or

for such shorter period

that the registrant

was required to

file such reports), and (2) has been subject to such filing requirements for the past 90 days.

YES

☑

☐

Indicate by check mark whether the

registrant has submitted

electronically every Interactive

Data File required to be

submitted

pursuant

Rule

405

Regulation

S-T

during

the

preceding

months ~~(or~~

(or

for

such

shorter

period

that

the

registrant

was

required to submit such files).

YES

☑

☐

Indicate by check mark

whether the registrant

is a large

accelerated filer,

an accelerated filer,

a non-accelerated filer,

a smaller

reporting

company

emerging

growth

company.

See

the

definitions

of ~~“large~~

“large

accelerated

filer,” ~~“accelerated~~

“accelerated

filer,” ~~“smaller~~

“smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange

Act.

~~Large accelerated filer~~ ☐		~~Accelerated filer~~ ☐
~~Non-accelerated Filer~~ ☑		~~Smaller reporting company~~ ☐
		~~Emerging growth company~~ ☐

Large accelerated filer

☐

Accelerated filer

☐

Non-accelerated Filer

☑

Smaller reporting company

☐

Emerging growth company

☐

Indicate

by check

mark if

the registrant

is an

emerging

growth

company

and has

elected

not to

use the

extended

transition

period

for

complying

with

any

new

revised

financial

accounting

standards

provided

pursuant

Section

13(a)

the

Exchange act.

YES

☐

☑

Indicate by check mark whether the registrant is a shell company (as defined in

Rule 12b-2 of the Exchange Act).

YES

☐

☑

Indicate the number of shares outstanding of each of the issuer’s classes of common stock,

as of the latest practicable date.

		~~Number of Shares Outstanding~~
~~Class~~		~~At May 1, 2022~~
~~Common Shares, $0.01 par value~~		~~1,000~~

Number of Shares Outstanding

Class

At November 1, 2022

Common Shares, $0.01 par value

1,000

The Registrant

meets the

conditions set

forth

in General

Instruction

H (1)(a)

and (b)

of Form

10-Q and

is therefore

filing this

form with the reduced disclosure format permitted by General Instruction

H of Form 10-Q.

EVEREST REINSURANCE HOLDINGS, INC.

Table of Contents

Form 10-Q

		~~Page~~
~~PART I~~

~~FINANCIAL INFORMATION~~

~~Item 1.~~	~~Financial Statements~~

	~~Consolidated Balance Sheets as of March 31, 2022 (unaudited) and December 31, 2021~~	1

	~~Consolidated Statements of Operations and Comprehensive Income (Loss) for the three months ended March 31, 2022 and 2021 (unaudited)~~	2

	~~Consolidated Statements of Changes in Stockholder’s Equity for the three months ended March 31, 2022 and 2021 (unaudited)~~	3

	~~Consolidated Statements of Cash Flows for the three months ended March 31, 2022 and 2021 (unaudited)~~	4

	~~Notes to Consolidated Interim Financial Statements (unaudited)~~	5

~~Item 2.~~	~~Management’s Discussion and Analysis of Financial Condition and Results of Operation~~	29

~~Item 3.~~	~~Quantitative and Qualitative Disclosures About Market Risk~~	40

~~Item 4.~~	~~Controls and Procedures~~	41

~~PART II~~

~~OTHER INFORMATION~~

~~Item 1.~~	~~Legal Proceedings~~	41

~~Item 1A.~~	~~Risk Factors~~	41

~~Item 2.~~	~~Unregistered Sales of Equity Securities and Use of Proceeds~~	41

~~Item 3.~~	~~Defaults Upon Senior Securities~~	41

~~Item 4.~~	~~Mine Safety Disclosures~~	41

~~Item 5.~~	~~Other Information~~	42

~~Item 6.~~	~~Exhibits~~	42

Page

PART I

FINANCIAL INFORMATION

Item 1.

Financial Statements

Consolidated Balance Sheets as of September 30,

2022 (unaudited) and

December 31, 2021

Consolidated Statements of Operations

and Comprehensive Income (Loss) for

the three and nine months ended September 30, 2022

and 2021 (unaudited)

Consolidated Statements of Changes

in Stockholder’s Equity for the three

and

nine months ended September 30, 2022 and 2021 (unaudited)

Consolidated Statements of Cash

Flows for the nine months ended September

30, 2022 and 2021 (unaudited)

Notes to Consolidated Interim

Financial Statements (unaudited)

Item 2.

Management’s Discussion and Analysis of

Financial Condition and Results of

Operation

Item 3.

Quantitative and Qualitative

Disclosures About Market Risk

Item 4.

Controls and Procedures

PART II

OTHER INFORMATION

Item 1.

Legal Proceedings

Item 1A.

Risk Factors

Item 2.

Unregistered Sales of Equity

Securities and Use of Proceeds

Item 3.

Defaults Upon Senior Securities

Item 4.

Mine Safety Disclosures

Item 5.

Other Information

Item 6.

Exhibits

EVEREST REINSURANCE HOLDINGS, INC.

CONSOLIDATED

BALANCE SHEETS

(Dollars in thousands, except share amounts and par value per share)
March 31, 2022

December 31, 2021

(unaudited)

ASSETS:

Fixed maturities – available for sale, (amortized cost: 2022, $13,182,332; 2021, $12,733,499, allowances for credit losses: 2022, $(29,140); 2021, $(27,491))
$
12,811,657

$
12,860,395
Equity securities, at fair value

1,731,774

1,757,792
Short-term investments (cost: 2022, $573,473; 2021, $695,935)

573,473

695,886
Other invested assets

1,689,961

1,674,639
Other invested assets, at fair value

1,946,197

2,030,816
Cash

787,481

699,266
Total investments and cash

19,540,543

19,718,794
Note receivable - affiliated

500,000

500,000
Accrued investment income

98,956

89,966
Premiums receivable

1,618,574

1,719,961
Reinsurance recoverables - unaffiliated

1,622,579

1,569,328
Reinsurance recoverables - affiliated

2,117,624

2,298,769
Funds held by reinsureds

300,214

299,204
Deferred acquisition costs

451,952

471,931
Prepaid reinsurance premiums

418,775

431,055
Other assets

636,311

595,970
TOTAL ASSETS
$
27,305,528

27,694,978

LIABILITIES:

Reserve for losses and loss adjustment expenses
$
13,403,565

$
13,121,177
Unearned premium reserve

2,947,792

2,992,878
Funds held under reinsurance treaties

34,512

48,410
Other net payable to reinsurers

399,471

391,577
Losses in course of payment

138,570

272,592
Income taxes

129,948

246,348
Senior notes

2,346,147

2,345,800
Long term notes

223,799

223,774
Borrowings from FHLB

519,000

519,000
Accrued interest on debt and borrowings

38,843

17,348
Unsettled securities payable

47,518

15,196
Other liabilities

430,355

462,831
Total liabilities

20,659,520

20,656,931
Commitments and Contingencies (Note 6)

(nil)

(nil)

STOCKHOLDER'S EQUITY:

Common shares, par value: $0.01; 3,000 shares authorized; 1,000 shares issued and outstanding (2022 and 2021)

-

-
Additional paid-in capital

1,101,640

1,101,527
Accumulated other comprehensive income (loss), net of deferred income tax expense (benefit) $(79,871) at 2022 and $24,279 at 2021

(301,735)

91,469
Retained earnings

5,846,103

5,845,051
Total stockholder's equity

6,646,008

7,038,047
TOTAL LIABILITIES AND STOCKHOLDER'S EQUITY
$
27,305,528

$
27,694,978

The accompanying notes are an integral part of the consolidated financial statements.

September 30,

December 31,

(Dollars in millions, except share amounts and par value per share)

2022

2021

(unaudited)

ASSETS:

Fixed maturities - available for sale, at fair value

12,070

12,860

(amortized cost: 2022, $

13,207

; 2021, $

12,733

, allowances for credit losses: 2022, ($

); 2021, ($

))

Fixed maturities - held to maturity, at amortized cost, net of credit allowances

(fair value: 2022, $

789

, credit allowances: 2022, ($

))

809

Equity securities, at fair value

1,258

1,758

Short-term investments (cost: 2022, $

454

; 2021, $

696

)

454

696

Other invested assets

1,797

1,675

Other invested assets, at fair value

1,680

2,031

Cash

878

699

Total investments and cash

18,946

19,719

Notes receivable - affiliated

715

500

Accrued investment income

139

Premiums receivable

1,763

1,720

Reinsurance recoverables - unaffiliated

1,786

1,569

Reinsurance recoverables - affiliated

2,017

2,299

Funds held by reinsureds

291

299

Deferred acquisition costs

473

472

Prepaid reinsurance premiums

458

431

Income tax asset, net

379

Other assets

689

596

TOTAL

ASSETS

27,656

27,695

LIABILITIES:

Reserve for losses and loss adjustment expenses

14,849

13,121

Unearned premium reserve

3,145

2,993

Funds held under reinsurance treaties

Other net payable to reinsurers

432

392

Losses in course of payment

141

273

Income tax liability, net

246

Senior notes

2,347

2,346

Long term notes

218

224

Borrowings from FHLB

519

Accrued interest on debt and borrowings

Unsettled securities payable

109

Other liabilities

476

463

Total liabilities

22,322

20,657

Commitments and Contingencies (Note 6)

(nil)

STOCKHOLDER'S EQUITY:

Common stock, par value: $

0.01

;

3,000

shares authorized;

1,000

shares issued and outstanding (2022 and 2021)

Additional paid-in capital

1,102

Accumulated other comprehensive income (loss), net of deferred income

tax expense (benefit) of ($

262

) at 2022 and $

at 2021

(987)

Retained earnings

5,219

5,845

Total stockholder's equity

5,334

7,038

TOTAL LIABILITIES AND STOCKHOLDER'S EQUITY

27,656

27,695

The accompanying notes are an integral part of the consolidated

financial statements.

EVEREST REINSURANCE HOLDINGS, INC.

CONSOLIDATED

STATEMENTS

OF OPERATIONS

AND COMPREHENSIVE INCOME (LOSS)

Three Months Ended

March 31,
(Dollars in thousands)
2022

2021

(unaudited)
REVENUES:

Premiums earned
$
1,828,592

$
1,696,900
Net investment income

156,134

147,723
Net gains (losses) on investments:

Credit allowances on fixed maturity securities

(1,649)

(7,142)
Gains (losses) from fair value adjustments

(215,421)

130,629
Net realized gains (losses) from dispositions

(9,517)

11,524
Total net gains (losses) on investments

(226,587)

135,011
Other income (expense)

(9,397)

3,979
Total revenues

1,748,742

1,983,613

CLAIMS AND EXPENSES:

Incurred losses and loss adjustment expenses

1,225,690

1,354,084
Commission, brokerage, taxes and fees

384,630

349,854
Other underwriting expenses

117,755

109,795
Corporate expenses

5,766

4,581
Interest, fees and bond issue cost amortization expense

24,078

15,534
Total claims and expenses

1,757,919

1,833,848

INCOME (LOSS) BEFORE TAXES

(9,177)

149,765
Income tax expense (benefit)

(10,229)

30,322

NET INCOME (LOSS)
$
1,052

$
119,443

Other comprehensive income (loss), net of tax:

Unrealized appreciation (depreciation) ("URA(D)")
on securities arising during the period

(394,279)

(109,858)
Less: reclassification adjustment for realized
losses (gains) included in net income (loss)

2,255

1,490
Total URA(D) on securities arising during
the period

(392,024)

(108,368)

Foreign currency translation adjustments

(1,939)

2,262
Reclassification adjustment for amortization of net
(gain) loss included in net income (loss)

758

2,043
Total benefit plan net gain (loss) for the period

758

2,043
Total other comprehensive income (loss), net of tax

(393,205)

(104,063)

COMPREHENSIVE INCOME (LOSS)
$
(392,153)

$
15,380

The accompanying notes are an integral part of the consolidated financial statements.

Three Months Ended

Nine Months Ended

September 30,

(Dollars in millions)

2022

2021

2022

2021

(unaudited)

REVENUES:

Premiums earned

2,104

1,851

5,887

5,315

Net investment income

124

197

457

593

Net gains (losses) on investments:

Credit allowances on fixed maturity securities

(12)

(7)

(12)

(30)

Gains (losses) from fair value adjustments

(245)

(48)

(801)

274

Net realized gains (losses) from dispositions

(29)

Total net gains (losses) on investments

(237)

(51)

(842)

267

Other income (expense)

(2)

Total revenues

1,998

2,007

5,500

6,187

CLAIMS AND EXPENSES:

Incurred losses and loss adjustment expenses

2,094

1,653

4,624

4,103

Commission, brokerage, taxes and fees

423

389

1,216

1,126

Other underwriting expenses

127

110

365

329

Corporate expenses

Interest, fees and bond issue cost amortization expense

Total claims and expenses

2,675

2,178

6,296

5,627

INCOME (LOSS) BEFORE TAXES

(677)

(171)

(796)

560

Income tax expense (benefit)

(135)

(28)

(170)

118

NET INCOME (LOSS)

(542)

(143)

(626)

442

Other comprehensive income (loss), net of tax:

Unrealized appreciation (depreciation) ("URA(D)") on securities arising during the period

(282)

(43)

(1,087)

(110)

Less: reclassification adjustment for realized losses (gains) included in net income (loss)

Total URA(D) on securities arising during the period

(242)

(41)

(1,039)

(100)

Foreign currency translation adjustments

(29)

(21)

(41)

(5)

Reclassification adjustment for amortization of net (gain) loss included in net income (loss)

Total benefit plan net gain (loss) for the period

Total other comprehensive income (loss), net of tax

(271)

(61)

(1,078)

(99)

COMPREHENSIVE INCOME (LOSS)

(813)

(204)

(1,704)

343

The accompanying notes are an integral part of the consolidated

financial statements.

EVEREST REINSURANCE HOLDINGS, INC.

CONSOLIDATED

STATEMENTS

CHANGES IN STOCKHOLDER’S EQUITY

(Dollars in thousands, except share amounts)
2022

2021

(unaudited)
COMMON STOCK (shares outstanding):

Balance, January 1

1,000

1,000
Balance, March 31

1,000

1,000

ADDITIONAL PAID-IN CAPITAL:

Balance, January 1
$
1,101,527

$
1,101,092
Share-based compensation plans

113

108
Balance, March 31

1,101,640

1,101,200

ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS),
NET OF DEFERRED INCOME TAXES:

Balance, January 1

91,469

268,018
Net increase (decrease) during the period

(393,205)

(104,063)
Balance, March 31

(301,735)

163,955

RETAINED EARNINGS:

Balance, January 1

5,845,051

5,045,203
Net income (loss)

1,052

119,443
Balance, March 31

5,846,103

5,164,646

TOTAL STOCKHOLDER'S EQUITY, March 31
$
6,646,008

$
6,429,801

The accompanying notes are an integral part of the consolidated financial statements.

Three Months Ended

Nine Months Ended

September 30,

(Dollars in millions, except share amounts)

2022

2021

2022

2021

(unaudited)

COMMON STOCK (shares outstanding):

Balance, beginning of period

1,000

Balance, end of period

1,000

ADDITIONAL PAID-IN CAPITAL:

Balance, beginning of period

1,102

1,101

1,102

1,101

Share-based compensation plans

Balance, end of period

1,102

1,101

1,102

1,101

ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS),

NET OF DEFERRED INCOME TAXES:

Balance, beginning of period

(716)

230

268

Net increase (decrease) during the period

(271)

(61)

(1,078)

(99)

Balance, end of period

(987)

169

(987)

169

RETAINED EARNINGS:

Balance, beginning of period

5,760

5,630

5,845

5,045

Net income (loss)

(542)

(143)

(626)

442

Balance, end of period

5,219

5,487

5,219

5,487

TOTAL STOCKHOLDER'S

EQUITY, END OF PERIOD

5,334

6,758

5,334

6,758

The accompanying notes are an integral part of the consolidated

financial statements.

EVEREST REINSURANCE HOLDINGS, INC.

CONSOLIDATED

STATEMENTS

OF CASH FLOWS

Three Months Ended

March 31,
(Dollars in thousands)
2022

2021

(unaudited)
CASH FLOWS FROM OPERATING ACTIVITIES:

Net income (loss)
$
1,052

$
119,443
Adjustments to reconcile net income to net cash provided by operating activities:

Decrease (increase) in premiums receivable

100,613

(20,229)
Decrease (increase) in funds held by reinsureds, net

(15,006)

(9,734)
Decrease (increase) in reinsurance recoverables

126,897

70,548
Decrease (increase) in income taxes

(12,263)

28,199
Decrease (increase) in prepaid reinsurance premiums

12,266

404
Increase (decrease) in reserve for losses and loss adjustment expenses

287,533

528,078
Increase (decrease) in unearned premiums

(44,708)

68,743
Increase (decrease) in other net payable to reinsurers

7,902

80,245
Increase (decrease) in losses in course of payment

(133,786)

(19,876)
Change in equity adjustments in limited partnerships

(52,915)

(54,558)
Distribution of limited partnership income

39,589

11,015
Change in other assets and liabilities, net

(31,102)

(25,992)
Non-cash compensation expense

9,792

9,004
Amortization of bond premium (accrual of bond discount)

8,217

6,823
Net (gains) losses on investments

226,587

(135,011)
Net cash provided by (used in) operating activities

530,668

657,102

CASH FLOWS FROM INVESTING ACTIVITIES:

Proceeds from fixed maturities matured/called - available for sale

518,038

492,943
Proceeds from fixed maturities sold - available for sale

266,665

76,628
Proceeds from equity securities sold - at fair value

81,975

281,313
Proceeds from distributions and sales of other invested assets

75,895

32,201
Cost of fixed maturities acquired - available for sale

(1,253,493)

(1,140,719)
Cost of equity securities acquired - at fair value

(195,026)

(174,877)
Cost of other invested assets acquired

(74,708)

(51,719)
Net change in short-term investments

122,545

87,694
Net change in unsettled securities transactions

29,268

(99,747)
Net cash provided by (used in) investing activities

(428,842)

(496,283)

CASH FLOWS FROM FINANCING ACTIVITIES:

Tax benefit from share-based compensation, net of expense

(9,679)

(8,896)
Net cash provided by (used in) financing activities

(9,679)

(8,896)

EFFECT OF EXCHANGE RATE CHANGES ON CASH

(3,932)

(11,760)

Net increase (decrease) in cash

88,215

140,163
Cash, beginning of period

699,266

378,518
Cash, end of period
$
787,481

$
518,681

SUPPLEMENTAL CASH FLOW INFORMATION:

Income taxes paid (recovered)
$
1,916

$
2,001
Interest paid

2,210

1,775

The accompanying notes are an integral part of the consolidated financial statements.

Nine Months Ended

September 30,

(Dollars in millions)

2022

2021

(unaudited)

CASH FLOWS FROM OPERATING ACTIVITIES:

Net income (loss)

(626)

442

Adjustments to reconcile net income to net cash provided by operating activities:

Decrease (increase) in premiums receivable

(50)

(261)

Decrease (increase) in funds held by reinsureds, net

(26)

Decrease (increase) in reinsurance recoverables

172

Decrease (increase) in income taxes

(341)

Decrease (increase) in prepaid reinsurance premiums

(30)

(81)

Increase (decrease) in reserve for losses and loss adjustment expenses

1,791

1,657

Increase (decrease) in unearned premiums

159

530

Increase (decrease) in other net payable to reinsurers

151

Increase (decrease) in losses in course of payment

(131)

(11)

Change in equity adjustments in limited partnerships

(94)

(311)

Distribution of limited partnership income

Change in other assets and liabilities, net

(62)

(87)

Non-cash compensation expense

Amortization of bond premium (accrual of bond discount)

Net (gains) losses on investments

842

(267)

Net cash provided by (used in) operating activities

1,671

2,106

CASH FLOWS FROM INVESTING ACTIVITIES:

Proceeds from fixed maturities matured/called/repaid - available for sale

1,124

1,640

Proceeds from fixed maturities sold - available for sale

812

394

Proceeds from fixed maturities matured/called/repaid - held to maturity

Proceeds from equity securities sold - at fair value

1,016

450

Proceeds from distributions and sales of other invested assets

126

135

Cost of fixed maturities acquired - available for sale

(3,358)

(3,485)

Cost of fixed maturities acquired - held to maturity

(105)

Cost of equity securities acquired - at fair value

(949)

(507)

Cost of other invested assets acquired

(224)

(396)

Net change in short-term investments

243

171

Net change in unsettled securities transactions

(194)

Proceeds from repayment (cost of issuance) of note receivable - affiliated

(215)

(200)

Net cash provided by (used in) investing activities

(1,433)

(1,992)

CASH FLOWS FROM FINANCING ACTIVITIES:

Tax benefit from share-based compensation, net of expense

(28)

(27)

Cost of debt repurchase

(6)

Net cash provided by (used in) financing activities

(34)

(27)

EFFECT OF EXCHANGE RATE CHANGES ON CASH

(25)

(12)

Net increase (decrease) in cash

179

Cash, beginning of period

699

379

Cash, end of period

878

453

SUPPLEMENTAL CASH FLOW INFORMATION:

Income taxes paid (recovered)

170

Interest paid

NON-CASH TRANSACTIONS

Reclassification of specific investments from fixed maturity securities, available for sale

at fair value to fixed maturity securities, held to maturity at amortized cost net of credit allowances

722

The accompanying notes are an integral part of the consolidated

financial statements.

NOTES TO CONSOLIDATED

INTERIM FINANCIAL STATEMENTS

(UNAUDITED)

For the Three and Nine Months Ended ~~March 31,~~September

30, 2022,

and 2021

1. GENERAL

Everest Reinsurance

Holdings, Inc. (“Holdings”), a Delaware

company and direct

subsidiary of Everest

Underwriting

Group

(Ireland)

Limited (“

(“Holdings

Ireland”),

which

direct

subsidiary

Everest

Group,

Ltd.

(“Group”),

through its

subsidiaries, principally

provides property

and casualty

reinsurance and

insurance in

the United

States

America

and

internationally.

used

this

document, ~~“Company”~~

“Company”

means

Holdings

and

its

subsidiaries. ~~“Bermuda~~

“Bermuda

Re”

means

Everest

Reinsurance

(Bermuda),

Ltd.,

subsidiary

Group; ~~“Everest~~

“Everest

Re”

means

Everest

Reinsurance Company and its subsidiaries,

a subsidiary of Holdings (unless the context otherwise requires).

BASIS OF PRESENTATION

The

unaudited

consolidated

financial

statements

the

Company

of ~~March~~

September

30,

2022

and

December

31, ~~2022 and December 31,~~

2021 and for the three and nine months

ended ~~March 31,~~September 30, 2022 and 2021 include all

adjustments, consisting of

normal recurring

accruals, which,

in the

opinion of

management, are

necessary for

a fair

statement

of the

results

interim

basis.

Certain

financial

information,

which

normally

included

annual

financial

statements

prepared

accordance

with

accounting

principles

generally

accepted

the

United

States

of America

(“GAAP”),

has

been

omitted

since

not

required

for

interim

reporting

purposes.

The

December

31,

2021

consolidated

balance sheet data

was derived

from audited

financial statements

but does not

include all disclosures

required by

GAAP.

The

results

for

the

three

and

nine

months

ended

September

30,

2022

and

2021

are

not

necessarily

indicative

of the

results for ~~the three months ended March 31, 2022 and 2021 are not necessarily indicative of the results for~~

a full

year.

These financial

statements

should be

read in

conjunction with

the audited

consolidated

financial

statements

and

notes

thereto

for

the

years

ended

December

31,

2021,

2020

and

2019,

included in the Company’s most

recent Form 10-K filing.

The Company

consolidates

the results

of operations

and financial

position of

all voting

interest

entities ("VOE")

which

the

Company

has

controlling

financial

interest

and

all

variable

interest

entities

("VIE")

which

the

Company

is considered

to be

the primary

beneficiary.

The consolidation

assessment,

including the

determination

as to whether an entity qualifies as a VIE or VOE,

depends on the facts and circumstances

surrounding each entity.

The

preparation

financial

statements

conformity

with

GAAP

requires

management

make

estimates

and

assumptions

that

affect

the

reported

amounts

assets

and

liabilities

(and

disclosure

contingent

assets

and

liabilities) at

the date

of the

financial statements ~~in conformity with GAAP requires management to make estimates~~

and ~~assumptions that affect~~ the

reported amounts ~~of assets and liabilities (and disclosure of contingent assets and liabilities) at the date of the financial statements and the reported amounts~~

of revenues

and expenses

during the

reporting period. Ultimate actual results

could differ,

possibly materially,

from those estimates.

All intercompany accounts

and transactions have been eliminated.

Certain

reclassifications

and

format

changes

have

been

made

prior

years’

amounts

conform

the

2022

presentation.

Application of Recently Issued Accounting

Standard Changes.

The Company

did not

adopt any

new accounting

standards

that had

a material

impact during

the three

and nine

months

ended ~~March 31,~~

September

30,

2022.

The

Company

assessed

the

adoption

impacts

recently

issued

accounting

standards by the Financial Accounting

Standards Board on the Company’s

consolidated financial statements

as well

as material updates

to previous assessments,

if any,

from the Company’s

Annual Report on

Form 10-K for

the year

ended December

31, 2021.

There were

no ~~new material~~ accounting

standards

issued in

the ~~three~~ nine

months ended ~~March 31,~~

September 30,

2022, that ~~impacted~~are expected to have

a material impact to Holdings.

Any

issued

guidance

and

pronouncements,

other

than

those

directly

referenced

above,

are

deemed

the

~~Any issued guidance and pronouncements, other than those directly referenced above, are deemed by 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 September 30, 2022

Amortized

Allowances for

Unrealized

Fair

(Dollars in millions)

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

602

(40)

562

Obligations of U.S. states and political

subdivisions

519

(38)

481

Corporate securities

3,962

(29)

(382)

3,564

Asset-backed securities

3,801

(157)

3,645

Mortgage-backed securities

Commercial

556

(61)

495

Agency residential

1,562

(195)

1,367

Non-agency residential

Foreign government securities

688

(65)

626

Foreign corporate securities

1,515

(1)

(192)

1,326

Total fixed maturity securities - available for sale

13,207

(30)

(1,130)

12,070

(Some amounts may not reconcile due to rounding.)

At December 31, 2021

Amortized

Allowances for

Unrealized

Fair

(Dollars in millions)

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

657

(3)

663

Obligations of U.S. states and political

subdivisions

559

(1)

587

Corporate securities

4,036

(19)

(31)

4,075

Asset-backed securities

3,464

(8)

(11)

3,466

Mortgage-backed securities

Commercial

586

(4)

603

Agency residential

1,255

(10)

1,261

Non-agency residential

Foreign government securities

677

(7)

692

Foreign corporate securities

1,494

(18)

1,510

Total fixed maturity securities - available for sale

12,733

(27)

241

(86)

12,860

(Some amounts may not reconcile due to rounding.)

The following tables

show amortized cost,

allowance for credit

losses, gross unrealized ~~appreciation, gross unrealized depreciation~~

appreciation/(depreciation)

and ~~market~~fair value of ~~available for sale,~~ fixed maturity

securities held to maturity as of the dates indicated:

At March 31, 2022

Amortized

Allowances for

Unrealized

Unrealized

Market
(Dollars in thousands)
Cost

Credit Losses

Appreciation

Depreciation

Value
Fixed maturity securities

U.S. Treasury securities and obligations of
U.S. government agencies and corporations
$
614,399

$
-

$
2,885

$
(18,958)

$
598,326
Obligations of U.S. states and political
subdivisions

560,375

(151)

9,538

(10,574)

559,188
Corporate securities

4,139,112

(20,049)

31,529

(161,092)

3,989,500
Asset-backed securities

3,902,584

(7,680)

12,954

(50,893)

3,856,965
Mortgage-backed securities

Commercial

560,337

-

2,092

(19,495)

542,934
Agency residential

1,219,867

-

2,080

(65,354)

1,156,593
Non-agency residential

3,828

-

-

(78)

3,750
Foreign government securities

663,651

-

8,220

(23,112)

648,759
Foreign corporate securities

1,518,179

(1,260)

9,482

(70,759)

1,455,642
Total fixed maturity securities
$
13,182,332

$
(29,140)

$
78,780

$
(420,315)

$
12,811,657

At December 31, 2021

Amortized

Allowances for

Unrealized

Unrealized

Market
(Dollars in thousands)
Cost

Credit Losses

Appreciation

Depreciation

Value
Fixed maturity securities

U.S. Treasury securities and obligations of
U.S. government agencies and corporations
$
656,742

$
-

$
9,303

$
(3,296)

$
662,749
Obligations of U.S. states and political
subdivisions

558,842

(151)

29,080

(1,150)

586,621
Corporate securities

4,036,000

(19,267)

89,172

(31,000)

4,074,905
Asset-backed securities

3,464,248

(7,680)

20,732

(11,014)

3,466,286
Mortgage-backed securities

Commercial

586,441

-

20,538

(4,085)

602,894
Agency residential

1,255,186

-

15,568

(10,076)

1,260,678
Non-agency residential

4,398

-

16

(6)

4,408
Foreign government securities

677,327

-

21,658

(7,005)

691,980
Foreign corporate securities

1,494,315

(393)

34,449

(18,497)

1,509,874
Total fixed maturity securities
$
12,733,499

$
(27,491)

$
240,516

$
(86,129)

$
12,860,395

~~The amortized cost and market value of~~

At September 30, 2022

Amortized

Allowances for

Unrealized

Fair

(Dollars in millions)

Cost

Credit Loss

Appreciation

Depreciation

Value

Fixed maturity securities – held to maturity

Corporate securities

159

(2)

(11)

147

Asset-backed securities

625

(6)

(10)

611

Mortgage-backed securities

Commercial

Foreign corporate securities

(1)

Total fixed maturity securities - held to maturity

818

(9)

(21)

789

(Some amounts may not reconcile due to rounding.)

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 March 31, 2022

At December 31, 2021

Amortized

Market

Amortized

Market
(Dollars in thousands)
Cost

Value

Cost

Value
Fixed maturity securities – available for sale

Due in one year or less
$
531,594

$
528,253

$
586,432

$
583,676
Due after one year through five years

3,581,700

3,492,586

3,488,358

3,526,854
Due after five years through ten years

2,212,469

2,120,957

2,260,481

2,309,870
Due after ten years

1,169,953

1,109,619

1,087,955

1,105,729
Asset-backed securities

3,902,584

3,856,965

3,464,248

3,466,286
Mortgage-backed securities

Commercial

560,337

542,934

586,441

602,894
Agency residential

1,219,867

1,156,593

1,255,186

1,260,678
Non-agency residential

3,828

3,750

4,398

4,408
Total fixed maturity securities
$
13,182,332

$
12,811,657

$
12,733,499

$
12,860,395

At September 30, 2022

At December 31, 2021

Amortized

Fair

Amortized

Fair

(Dollars in millions)

Cost

Value

Cost

Value

Fixed maturity securities – available for sale:

Due in one year or less

554

537

586

584

Due after one year through five years

3,730

3,455

3,488

3,527

Due after five years through ten years

2,034

1,752

2,260

2,310

Due after ten years

967

815

1,088

1,106

Asset-backed securities

3,801

3,645

3,464

3,466

Mortgage-backed securities

Commercial

556

495

586

603

Agency residential

1,562

1,367

1,255

1,261

Non-agency residential

Total fixed maturity securities - available for sale

13,207

12,070

12,733

12,860

(Some amounts may not reconcile due to rounding.)

The ~~changes~~amortized

cost and

fair value

of fixed

maturity securities

held to

maturity are

shown in

the following

table by

contractual maturity.

At September 30, 2022

Amortized

Fair

(Dollars in millions)

Cost

Value

Fixed maturity securities – held to maturity:

Due after one year through five years

Due after five years through ten years

Due after ten years

Asset-backed securities

625

611

Mortgage-backed securities

Commercial

Total fixed maturity securities - held to maturity

818

789

(Some amounts may not reconcile due to rounding.)

During

the

third

quarter

2022,

the

Company

re-designated

portion

its

fixed

maturity

securities

from

its

fixed maturity

– available

for sale

portfolio to

its fixed

maturity –

held to

maturity portfolio.

The fair

value of

the

securities reclassified

at the date

of transfer

was $

722

million, net

of allowance for

current expected

credit losses,

which

was

subsequently

recognized

the

new

amortized

cost

basis.

of the

date

of transfer,

these

securities

had an unrealized ~~appreciation (depreciation)~~ loss

of $

million, which remained in accumulated

other comprehensive income

on the balance

sheet, and will

be amortized into

income through an

adjustment to the

yields of the

underlying securities over

the

remaining life of the securities.

The Company evaluated

fixed maturity securities

classified as held to maturity

for current expected

credit losses as

September

30,

2022

utilizing

risk

characteristics

each

security,

including

credit

rating,

remaining

time

maturity,

adjusted

for

prepayment

considerations,

and

subordination

level,

and

applying

default

and

recovery

rates, which include the ~~Company’s investments~~incorporation

of historical credit loss experience and macroeconomic

forecasts, to develop

estimate

current

expected

credit

losses.

These

fixed

maturities

classified

held

maturity

are

high

credit quality and are all rated investment

grade as of September 30, 2022.

The

changes

net

unrealized

appreciation

(depreciation)

for

the

Company’s

investments

are

derived

from

the

following sources for the periods as

indicated:

Three Months Ended

March 31,
(Dollars in thousands)
2022

2021
Increase (decrease) during the period between the market value and cost of investments carried at market value, and deferred taxes thereon:

Fixed maturity securities and short-term investments
$
(495,874)

$
(137,150)
Change in unrealized appreciation (depreciation), pre-tax

(495,874)

(137,150)
Deferred tax benefit (expense)

103,850

28,782
Change in unrealized appreciation (depreciation), net of deferred taxes, included in stockholder's equity
$
(392,024)

$
(108,368)

Three Months Ended

~~The tables below display~~

Nine Months Ended

September 30,

(Dollars in millions)

2022

2021

2022

2021

Increase (decrease) during the ~~aggregate market~~period between the fair value and ~~gross unrealized depreciation~~cost of ~~fixed~~

investments carried at fair value, and deferred taxes thereon:

Fixed maturity securities - short-term investments

(307)

(52)

(1,315)

(126)

Change in unrealized appreciation (depreciation), pre-tax

(307)

(52)

(1,315)

(126)

Deferred tax benefit (expense)

276

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

included in stockholder's equity

(242)

(41)

(1,039)

(100)

(Some amounts may not reconcile due to rounding.)

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 March 31, 2022 By Security Type

Less than 12 months

Greater than 12 months

Total

Gross

Gross

Gross

Market

Unrealized

Market

Unrealized

Market

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
$
330,675

$
(17,107)

$
26,943

$
(1,851)

$
357,618

$
(18,958)
Obligations of U.S. states and
political subdivisions

135,080

(8,844)

12,751

(1,682)

147,831

(10,526)
Corporate securities

2,118,003

(123,492)

445,862

(36,858)

2,563,865

(160,350)
Asset-backed securities

2,960,529

(48,767)

24,846

(2,126)

2,985,375

(50,893)
Mortgage-backed securities

Commercial

374,658

(18,526)

7,679

(969)

382,337

(19,495)
Agency residential

645,068

(40,906)

291,443

(24,448)

936,511

(65,354)
Non-agency residential

3,750

(78)

-

-

3,750

(78)
Foreign government securities

408,626

(17,159)

58,514

(5,953)

467,140

(23,112)
Foreign corporate securities

919,482

(60,962)

121,714

(9,796)

1,041,196

(70,758)
Total

7,895,871

(335,841)

989,752

(83,683)

8,885,623

(419,524)
Securities where an allowance for credit losses was recorded

18,569

(791)

-

-

18,569

(791)
Total fixed maturity securities
$
7,914,440

$
(336,632)

$
989,752

$
(83,683)

$
8,904,192

$
(420,315)

Duration of Unrealized Loss at March 31, 2022 By Maturity

Less than 12 months

Greater than 12 months

Total

Gross

Gross

Gross

Market

Unrealized

Market

Unrealized

Market

Unrealized
(Dollars in thousands)
Value

Depreciation

Value

Depreciation

Value

Depreciation
Fixed maturity securities

Due in one year or less
$
74,178

$
(1,054)

$
40,190

$
(4,159)

$
114,368

$
(5,213)
Due in one year through five years

1,833,163

(80,465)

350,078

(18,791)

2,183,241

(99,256)
Due in five years through ten years

1,249,123

(79,621)

238,368

(27,751)

1,487,491

(107,372)
Due after ten years

755,402

(66,424)

37,148

(5,439)

792,550

(71,863)
Asset-backed securities

2,960,529

(48,767)

24,846

(2,126)

2,985,375

(50,893)
Mortgage-backed securities

1,023,476

(59,510)

299,122

(25,417)

1,322,598

(84,927)
Total

7,895,871

(335,841)

989,752

(83,683)

8,885,623

(419,524)
Securities where an allowance for credit losses was recorded

18,569

(791)

-

-

18,569

(791)
Total fixed maturity securities
$
7,914,440

$
(336,632)

$
989,752

$
(83,683)

$
8,904,192

$
(420,315)

indicated:

~~The aggregate market value~~

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

Less than 12 months

Greater than 12 months

Total

Gross

Fair

Unrealized

Fair

Unrealized

Fair

Unrealized

(Dollars in millions)

Value

Depreciation

Value

Depreciation

Value

Depreciation

Fixed maturity securities -available for sale

U.S. Treasury securities and ~~gross unrealized~~obligations of

U.S. government agencies and corporations

395

(22)

143

(18)

538

(40)

Obligations of U.S. states and political subdivisions

327

(30)

(8)

351

(38)

Corporate securities

2,447

(260)

550

(104)

2,997

(365)

Asset-backed securities

2,718

(153)

(4)

2,757

(157)

Mortgage-backed securities

Commercial

489

(61)

(1)

495

(61)

Agency residential

1,060

(133)

306

(62)

1,365

(195)

Non-agency residential

Foreign government securities

457

(43)

116

(22)

573

(65)

Foreign corporate securities

907

(112)

314

(80)

1,222

(192)

Total

8,802

(812)

1,499

(301)

10,302

(1,113)

Securities where an allowance for credit losses ~~related~~

was recorded

(17)

Total fixed maturity securities

8,822

(830)

1,499

(301)

10,322

(1,130)

(Some amounts may not reconcile due to ~~investments~~rounding.)

Duration of Unrealized Loss at September 30, 2022 By Maturity

Less than 12 months

Greater than 12 months

Total

Gross

Fair

Unrealized

Fair

Unrealized

Fair

Unrealized

(Dollars in millions)

Value

Depreciation

Value

Depreciation

Value

Depreciation

Fixed maturity securities - available for sale

Due in one year or less

399

(7)

(3)

440

(10)

Due in one year through five years

2,377

(184)

602

(88)

2,978

(272)

Due in five years through ten years

1,211

(182)

360

(101)

1,570

(283)

Due after ten years

546

(93)

146

(41)

692

(134)

Asset-backed securities

2,718

(153)

(4)

2,757

(157)

Mortgage-backed securities

1,551

(194)

313

(63)

1,864

(256)

Total

8,802

(812)

1,499

(301)

10,302

(1,113)

Securities where an allowance for credit losses

was recorded

(17)

Total fixed maturity securities

8,822

(830)

1,499

(301)

10,322

(1,130)

(Some amounts may not reconcile due to rounding.)

The

aggregate

fair

value

and

gross

unrealized

losses

fixed

maturity

securities

available

for

sale

unrealized

loss

position

September

30,

2022

were

billion

and

billion,

respectively.

The

fair

value

securities for

the single

issuer

(the United

States

government)

whose securities

comprised

the largest

unrealized

loss position

at March 31, 2022 were $8.9 billion and $420.3 million, respectively. The market value of securities for the single issuer (the United States government) whose securities comprised the largest unrealized loss position at March 31, September 30,

2022, did not

exceed ~~2.8%~~

4.5

% of the

overall ~~market~~ fair

value of

the Company’s

fixed maturity ~~securities. The market value of the~~

securities available

for ~~the issuer with the second largest unrealized loss position at March 31, 2022, comprised less than 0.6% of the Company’s fixed maturity securities.~~ sale.

In addition,

as indicated

on the above

table, there

was no

significant concentration

unrealized

losses

any

one

market

sector.

The

830

million

unrealized

losses

fixed

maturity

securities

available

for

sale

that

have

been

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. Of

these unrealized

losses,

723

million

were related

securities that

were rated

investment

grade

least

one

nationally

recognized

rating

agency.

The

301

million

unrealized

losses

fixed

maturity

securities

available

for

sale

unrealized

loss

position

for

than

one

year

primarily

domestic

and

foreign

corporate

securities

well

agency

residential

mortgage-backed

securities.

these

unrealized

losses

273

million

were

securities

that

were

rated

investment

grade

least

one

nationally recognized rating

agency.

In all instances, there were

no projected cash flow shortfalls

to recover the full

book

value

the

investments

and

the

interest

obligations.

The

mortgage-backed

securities

still

have

excess

credit

coverage

and

are

current

interest

and

principal

payments.

Based

upon

the

Company’s

current

evaluation

of securities

in an

unrealized

loss position

as of

September

30, 2022,

the unrealized

losses

are due

changes

interest

rates

and

non-issuer

specific

credit

spreads

and

are

not

credit

related.

addition,

the

contractual

terms

these

securities

not

permit

these

securities

settled

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 $

million of

fair value

and $(

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 millions)

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

267

(3)

267

(3)

Obligations of U.S. states and political subdivisions

(1)

Corporate securities

1,465

(25)

201

(6)

1,666

(31)

Asset-backed securities

1,891

(11)

1,929

(11)

Mortgage-backed securities

Commercial

139

(2)

174

(4)

Agency residential

699

(7)

168

(3)

867

(10)

Non-agency residential

Foreign government securities

200

(5)

(2)

215

(7)

Foreign corporate securities

677

(17)

(2)

710

(18)

Total fixed maturity securities

5,390

(71)

492

(15)

5,882

(86)

(Some amounts may not reconcile due to rounding.)

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 millions)

Value

Depreciatio

Value

Depreciatio

Value

Depreciatio

Fixed maturity securities - available for sale

Due in one year or less

(2)

(4)

117

(6)

Due in one year through five years

1,209

(19)

154

(3)

1,364

(22)

Due in five years through ten years

853

(21)

(2)

887

(23)

Due after ten years

517

(10)

(1)

543

(11)

Asset-backed securities

1,891

(11)

1,929

(11)

Mortgage-backed securities

839

(9)

203

(5)

1,042

(14)

Total fixed maturity securities

5,390

(71)

492

(15)

5,882

(86)

(Some amounts may not reconcile due to rounding.)

The

aggregate

fair

value

and

gross

unrealized

losses

investments

unrealized

loss

position

December 31,

2021 were

5.9

billion and

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

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

0.4

the

Company’s

fixed

maturity

securities available

for

sale. In

addition, as

indicated

on the

above

table,

there

was

significant concentration

of unrealized losses in

any one market sector.

The ~~$336.6~~ $

million of unrealized

losses related

fixed

maturity

securities

that

have

been

unrealized

loss

position

for

less

than

one

year

were

generally

comprised of domestic and foreign

corporate securities,

foreign government securities,

asset backed securities and

agency

residential

mortgage

backed

securities.

these

unrealized

losses, ~~$299.7~~

million

were

securities

that were rated investment

grade by at least one nationally

recognized rating agency.

The ~~$83.7~~ $

million of unrealized

losses related

to fixed

maturity securities

available

for

sale in

an unrealized

loss position

for more

than one

year

primarily

domestic

and

foreign

corporate

securities

well

agency

residential ~~mortgage-backed~~

mortgage

backed

securities. Of these unrealized

losses ~~$77.1~~ $

million were related

to securities that

were rated

investment grade

by at

least

one

nationally

recognized

rating

agency.

all

instances,

there

were

projected

cash

flow

shortfalls

recover the full book value

of the investments and the

related interest

obligations. The ~~mortgage-backed~~mortgage

-backed securities

still have excess credit

coverage and are current

on interest and principal payments. Based upon the Company’s current evaluation of securities in an unrealized loss position as of March 31, 2022, the unrealized losses are due to changes in interest rates and non-issuer specific credit spreads and are not credit related. In addition, the contractual terms of these securities do 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. In addition, all securities currently in an unrealized loss position are current with respect to principal and interest payments.

The tables below display the aggregate market value and gross unrealized depreciation of fixed maturity securities, by security type and contractual maturity, in each case subdivided according to 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 $15.7 million of market value and $(0.4) million of gross unrealized depreciation as of December 31, 2021 related to fixed maturity securities 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

Gross

Gross

Market

Unrealized

Market

Unrealized

Market

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
$
266,953

$
(3,296)

$
-

$
-

$
266,953

$
(3,296)
Obligations of U.S. states and
political subdivisions

51,094

(1,038)

2,558

(112)

53,652

(1,150)
Corporate securities

1,465,259

(24,853)

200,637

(6,147)

1,665,896

(31,000)
Asset-backed securities

1,890,876

(10,713)

37,910

(301)

1,928,786

(11,014)
Mortgage-backed securities

Commercial

138,934

(2,467)

34,967

(1,618)

173,901

(4,085)
Agency residential

698,896

(6,879)

167,923

(3,197)

866,819

(10,076)
Non-agency residential

1,401

(4)

156

(2)

1,557

(6)
Foreign government securities

200,294

(4,778)

14,612

(2,227)

214,906

(7,005)
Foreign corporate securities

676,609

(16,871)

33,057

(1,626)

709,666

(18,497)
Total fixed maturity securities
$
5,390,316

$
(70,899)

$
491,820

$
(15,230)

$
5,882,136

$
(86,129)

Duration of Unrealized Loss at December 31, 2021 By Maturity

Less than 12 months

Greater than 12 months

Total

Gross

Gross

Gross

Market

Unrealized

Market

Unrealized

Market

Unrealized
(Dollars in thousands)
Value

Depreciation

Value

Depreciation

Value

Depreciation
Fixed maturity securities

Due in one year or less
$
81,412

$
(1,878)

$
35,515

$
(3,829)

$
116,927

$
(5,707)
Due in one year through five years

1,209,378

(18,614)

154,449

(3,418)

1,363,827

(22,032)
Due in five years through ten years

852,857

(20,678)

34,164

(1,977)

887,021

(22,655)
Due after ten years

516,562

(9,666)

26,736

(888)

543,298

(10,554)
Asset-backed securities

1,890,876

(10,713)

37,910

(301)

1,928,786

(11,014)
Mortgage-backed securities

839,231

(9,350)

203,046

(4,817)

1,042,277

(14,167)
Total fixed maturity securities
$
5,390,316

$
(70,899)

$
491,820

$
(15,230)

$
5,882,136

$
(86,129)

The aggregate market value and gross unrealized losses related to investments in an unrealized loss position at December 31, 2021 were $5.9 billion and $86.1 million, respectively. The market 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 2.1% of the overall market value of the Company’s fixed maturity securities. The market value of the securities for the issuer with the second largest unrealized loss comprised less than 0.4% of the Company’s fixed maturity securities. In addition, as indicated on the above table, there was no significant concentration of unrealized losses in any one market sector. The $70.9 million of unrealized losses related to fixed maturity securities that have been in an unrealized loss position for less than one year were generally comprised of domestic and foreign corporate securities, foreign government securities, asset backed securities and agency residential mortgage backed securities. Of these unrealized losses, $61.5 million were related to securities that were rated investment grade by at least one nationally recognized rating agency. The $15.2 million of unrealized losses related to fixed maturity securities 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. Of these

unrealized losses $12.3 million were related to 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

March 31,
(Dollars in thousands)
2022

2021
Fixed maturities
$
94,431

$
85,121
Equity securities

4,146

2,923
Short-term investments and cash

215

153
Other invested assets

Limited partnerships

43,522

52,151
Dividends from preferred shares of affiliate

7,758

7,758
Other

11,831

6,019
Gross investment income before adjustments

161,903

154,125
Funds held interest income (expense)

2,823

3,489
Interest income from Parent

1,768

1,268
Gross investment income

166,494

158,882
Investment expenses

(10,360)

(11,159)
Net investment income
$
156,134

$
147,723

(Some amounts may not reconcile due to rounding.)

~~The Company records results~~

Three Months Ended

Nine Months Ended

September 30,

(Dollars in millions)

2022

2021

2022

2021

Fixed maturities

129

339

260

Equity securities

Short-term investments and cash

Other invested assets

Limited partnerships

(25)

260

Dividends from ~~limited partnership investments on the equity method~~preferred shares of affiliate

Other

Gross investment income before adjustments

132

208

482

617

Funds held interest income (expense)

Interest income from Parent

Gross investment income

137

210

494

629

Investment expenses

(13)

(37)

(36)

Net investment income

124

197

457

593

(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

up to

an additional ~~$985.6 million~~

1.1

billion in

limited partnerships

and

private

placement

loan

securities

at ~~March 31,~~

September

30,

2022.

These

commitments

will

funded

when

called

accordance

with

the

partnership

and

loan

agreements,

which

have

investment

periods

that

expire,

unless

extended, through ~~2026.~~

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 ~~March 31,~~

September 30,

2022, the ~~market~~

fair value

of investments

in the

facility consolidated

within the

Company’s

balance sheets was ~~$502.4~~ $

241

million.

Other

invested

assets,

fair

value,

of ~~March 31,~~

September

30,

2022

and

December 31,

2021,

were

comprised

preferred

held

Everest

Preferred

International

Holdings,

Ltd. (“

(“Preferred

Holdings”),

wholly-owned

subsidiary of 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

~~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 ~~performs ongoing qualitative assessments of its VIEs~~

deemed

to ~~determine whether~~

have

controlling

financial

interest

when

has

both

the ~~Company has a controlling financial interest in~~

ability

direct

the ~~VIE and therefore is~~

activities

that

most

significantly

impact

the ~~primary beneficiary. The Company is deemed to have a controlling financial interest when it has both the ability to 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.

As of ~~March 31,~~September

30, 2022 and

December 31, 2021,

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

the

investments.

The

Company’s

maximum

exposure

loss

of ~~March 31,~~

September

30,

2022

and

December 31,

2021

limited

the

total

carrying

value

of ~~$1.7~~

1.8

billion

and ~~$1.7~~

1.7

billion,

respectively,

which

are

included

general

and

limited

partnerships

and

other

alternative

investments

Other

Invested

Assets

the

Company's

Consolidated

Balance Sheets.

As of ~~March 31,~~

September

30, 2022,

the Company

has outstanding

commitments

totaling ~~$0.7 billion~~

766

million

whereby

the

Company

committed

fund

these

investments

and

may

called

the

partnership

during

the

commitment

period

fund

the

purchase

of new

investments

and

partnership

expenses.

These

investments

are

generally

passive

nature

that

the

Company

does

not

take

active

role

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.~~

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

the Company’s

investment in

comparison to

the principal amount

of the structured

securities issued by

the

VIEs, the level

of credit subordination

which reduces

the Company’s

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

March 31,
(Dollars in thousands)
2022

2021
Fixed maturity securities:

Allowances for credit losses
$
(1,649)

$
(7,142)
Net realized gains (losses) from dispositions

(5,089)

3,927
Equity securities, fair value:

Net realized gains (losses) from dispositions

(8,268)

6,238
Gains (losses) from fair value adjustments

(130,802)

37,551
Other invested assets

3,919

1,346
Other invested assets, fair value:

Gains (losses) from fair value adjustments

(84,619)

93,078
Short-term investment gains (losses)

(79)

13
Total net gains (losses) on investments
$
(226,587)

$
135,011

Roll Forward of Allowance for Credit Losses

Three Months Ended March 31, 2022

Asset

Obligations of U.S. states and political subdivisions

Foreign

Corporate

Backed

Corporate

Securities

Securities

Securities

Total
Beginning Balance
$
(19,267)

$
(7,680)

$
(151)

$
(393)

$
(27,491)
Credit losses on securities where credit

losses were not previously recorded

(1,929)

-

-

(969)

(2,898)
Increases in allowance on previously

impaired securities

-

-

-

-

-
Decreases in allowance on previously

impaired securities

-

-

-

-

-
Reduction in allowance due to disposals

1,147

-

-

102

1,249

Balance as of March 31, 2022
$
(20,049)

$
(7,680)

$
(151)

$
(1,260)

$
(29,140)

Roll Forward of Allowance for Credit Losses

Three Months Ended March 31, 2021

Asset

Foreign

Corporate

Backed

Corporate

Securities

Securities

Securities

Total

Beginning Balance
$
(1,205)

$
-

$
(361)

$
(1,566)
Credit losses on securities where credit

losses were not previously recorded

(2,383)

(4,915)

-

(7,298)
Increases in allowance on previously

impaired securities

-

-

-

-
Decreases in allowance on previously

impaired securities

-

-

-

-
Reduction in allowance due to disposals

-

-

156

156

Balance as of March 31, 2021
$
(3,588)

$
(4,915)

$
(205)

$
(8,708)

Three Months Ended

Nine Months Ended

September 30,

(Dollars in millions)

2022

2021

2022

2021

Fixed maturity securities:

Allowances for credit losses

(12)

(7)

(12)

(30)

Net realized gains (losses) from dispositions

(45)

(60)

Equity securities, fair value:

Net realized gains (losses) from dispositions

Gains (losses) from fair value adjustments

(134)

(4)

(451)

137

Other invested assets

Other invested assets, fair value:

Gains (losses) from fair value adjustments

(111)

(44)

(350)

137

Short-term investment gains (losses)

Total net gains (losses) on investments

(237)

(51)

(842)

267

(Some amounts may not reconcile due to rounding.)

Roll Forward of Allowance for Credit Losses – Fixed maturities

Three Months Ended September 30, 2022

Nine Months Ended September 30, 2022

Asset Backed

Securities

Foreign

Corporate

Securities

Asset Backed

Securities

Foreign

Corporate

Securities

Corporate

Securities

Corporate

Securities

Total

(Dollars in millions)

Beginning Balance

(26)

(2)

(28)

(19)

(8)

(27)

Credit losses on securities where credit

losses were not previously recorded

(2)

(6)

(1)

(9)

(6)

(2)

(17)

Increases in allowance on previously

impaired securities

(3)

(4)

Decreases in allowance on previously

impaired securities

Reduction in allowance due to disposals

Balance as of September 30, 2022

(31)

(6)

(2)

(39)

(31)

(6)

(2)

(39)

(Some amounts may not reconcile due to rounding.)

Roll Forward of Allowance for Credit Losses – Fixed maturities

Three Months Ended September 30, 2021

Nine Months Ended September 30, 2021

Asset

Corporate

Backed

Corporate

Backed

Securities

Total

Securities

Total

(Dollars in millions)

Beginning Balance

(18)

(5)

(24)

(1)

(2)

Credit losses on securities where credit

losses were not previously recorded

(5)

(21)

(5)

(26)

Increases in allowance on previously

impaired securities

(1)

(3)

(4)

(2)

(3)

(5)

Decreases in allowance on previously

impaired securities

Reduction in allowance due to disposals

Balance as of September 30, 2021

(23)

(8)

(31)

(23)

(8)

(31)

(Some amounts may not reconcile due to rounding.)

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

March 31,
(Dollars in thousands)
2022

2021
Proceeds from sales of fixed maturity securities
$
266,665

$
76,628
Gross gains from dispositions

3,155

6,349
Gross losses from dispositions

(8,244)

(2,422)

Proceeds from sales of equity securities
$
81,975

$
281,313
Gross gains from dispositions

3,508

12,304
Gross losses from dispositions

(11,776)

(6,066)

Three Months Ended

Nine Months Ended

September 30,

(Dollars in millions)

2022

2021

2022

2021

Proceeds from sales of fixed maturity securities, available for sale

301

152

812

394

Gross gains from dispositions

Gross losses from dispositions

(46)

(6)

(67)

(13)

Proceeds from sales of equity securities

591

104

1,016

450

Gross gains from dispositions

Gross losses from dispositions

(2)

(3)

(48)

(11)

(Some amounts may not reconcile due to rounding.)

RESERVES FOR LOSSES, LAE

AND FUTURE POLICY BENEFIT RESERVE

Activity in the reserve for losses and LAE is summarized

for the periods indicated:

Three Months Ended March 31,
(Dollars in thousands)

2022

2021
Gross reserves beginning of period
$
13,121,177

$
11,578,096
Less reinsurance recoverables on unpaid losses

(3,650,716)

(3,951,474)
Net reserves beginning of period

9,470,461

7,626,622
Incurred related to:

Current year

1,218,941

1,338,891
Prior years

6,749

15,193
Total incurred losses and LAE

1,225,690

1,354,084
Paid related to:

Current year

248,452

168,407
Prior years

675,926

527,470
Total paid losses and LAE

924,378

695,877

Foreign exchange/translation adjustment

6,507

(6,819)

Net reserves end of period

9,778,280

8,278,010
Plus reinsurance recoverables on unpaid losses

3,625,285

3,829,356
Gross reserves end of period
$
13,403,565

$
12,107,366

(Some amounts may not reconcile due to rounding.)

Nine Months Ended September 30,

(Dollars in millions)

2022

2021

Gross reserves beginning of period

13,121

11,578

Less reinsurance recoverables on unpaid losses

(3,651)

(3,951)

Net reserves beginning of period

9,470

7,627

Incurred related to:

Current year

4,606

4,106

Prior years

(4)

Total incurred losses and LAE

4,624

4,103

Paid related to:

Current year

1,502

1,118

Prior years

1,303

1,203

Total paid losses and LAE

2,805

2,321

Foreign exchange/translation adjustment

(70)

(20)

Net reserves end of period

11,221

9,389

Plus reinsurance recoverables on unpaid losses

3,628

3,839

Gross reserves end of period

14,849

13,228

(Some amounts may not reconcile due to rounding.)

Current year

incurred losses were ~~$1.2~~

4.6

billion and ~~$1.3~~ $

4.1

billion for the ~~three~~

nine months ended ~~March 31,~~

September 30, 2022

and

2021, respectively.

Gross and net

reserves increased

for the ~~three~~ nine

months ended ~~March 31,~~September

30, 2022, reflecting

increase in

underlying exposure

due to

earned premium

growth year

over year,

the impact

of an increase ~~in underlying exposure due to premium growth, partially offset by a reduction~~

of ~~$180.0~~ $

132

million in ~~current year~~ catastrophe ~~losses. Prior year incurred~~

losses ~~were~~ in 2022

compared to

2021 and the

impact of $

million of incurred

losses related

the

Ukraine/Russia

war.

Prior

year

incurred

development

million

primarily

driven

by ~~development~~

unfavorable

movement on prior year ~~catastrophe losses.~~

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

million

incurred

underwriting

losses

the

Ukraine

and

Russia

conflict

for

the

nine

months

ended

September 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, ~~have procedures in place to~~

review ~~the reasonableness~~ of ~~the prices from the service providers~~

pricing statistics

and ~~may request verification of the prices. The Company also continually performs quantitative~~ trends,

and ~~qualitative analysis~~ comparison

of prices including but not limited to initial and ongoing review of pricing methodologies, review of 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.

At ~~March~~

September

30,

2022,

1.6

billion

fixed

maturities

were

fair

valued

using

unobservable

inputs.

The

majority

these

fixed

maturities

were

valued

investment

managers’

valuation

committees

and

many

these

fair

values

were

substantiated

valuations

from

independent

third

parties.

The

Company

has

procedures

place

evaluate

these independent

third

party valuations.

December 31, ~~2022, $2.1~~

2021, $

2.0

billion of

fixed

maturities ~~market value~~

were fair

valued

using unobservable inputs.

The ~~majority of these fixed maturities were valued by investment managers’ valuation committees~~

Company

internally

manages

public

equity

portfolio

which

had

fair

value

September

30,

2022

and ~~many of these fair values were substantiated by valuations from independent third parties. The Company has procedures in place to evaluate these independent third party valuations. At~~

December 31, 2021 ~~$2.0~~

of $

1.2

billion and

1.3

billion, respectively.

During the

fourth

quarter of ~~fixed maturities, market value were fair valued using unobservable inputs.~~

~~The~~

2021, the

Company

began

internally ~~manages~~

manage

a ~~public equity~~

portfolio

collateralized

loan

obligations

included

asset-backed

securities

available

for sale,

which had

a fair

value of

2.4

billion and

2.0

billion at ~~March 31,~~

September 30,

2022 and

December 31,

2021, ~~of $1.4 billion and $1.3 billion,~~

respectively. ~~During the fourth quarter of 2021, the Company began to internally manage a portfolio of collateralized loan obligations included in asset-backed~~

All

prices

for

these

securities ~~which had a fair value of $2.1 billion and $2.0 billion at March 31, 2022 and December 31, 2021, respectively. All prices for these securities~~

were

obtained

from

publicly

published

sources

nationally

recognized pricing vendors.

Equity

securities

denominated

U.S.

currency

with

quoted

prices

active

markets

for

identical

assets

are

categorized

Level

since

the

quoted

prices

are

directly

observable.

Equity

securities

traded

foreign

exchanges

are categorized

as Level ~~1 since the quoted prices are directly observable. Equity securities traded on foreign exchanges are categorized as Level~~

2 due

to the

added input

of a

foreign

exchange

conversion

rate

to determine

fair ~~or market~~ value. The Company uses foreign

currency exchange rates

published by nationally recognized sources.

Fixed maturity

securities listed

in the

tables below

are generally

categorized

as Level

2, since

a particular

security

may not have

traded but the

pricing services are

able to use

valuation models

with observable market

inputs such

interest

rate

yield

curves

and

prices

for

similar

fixed

maturity

securities

terms

issuer,

maturity

and

seniority.

For foreign

government

securities and

foreign corporate

securities, the

fair values

provided by

the third

party

pricing

services

local

currencies,

and

where

applicable,

are

converted

U.S.

dollars

using

currency

exchange rates from

nationally recognized sources.

In addition

to the

valuations from

investment

managers,

some of

the fixed

maturities with

fair values

categorized

as Level

3 result

when prices are

not available

from the nationally

recognized pricing

services. The asset

managers

may

obtain

non-binding

price

quotes

for

the

securities

from

brokers.

The

single

broker

quotes

are

provided

market

makers

broker-dealers

who

are

recognized

market

participants

the

markets

which

they

are

providing

the quotes.

The prices

received

from brokers

are

reviewed

for

reasonableness

by the

third

party ~~pricing services in local currencies,~~asset

managers and ~~where applicable,~~the Company.

If the broker

quotes are for

foreign denominated securities,

the quotes are converted

to U.S. dollars using currency exchange

rates from nationally

recognized sources.

The

composition

and

valuation

inputs

for

the

presented

fixed

maturities

categories

Level

and

Level

are

In addition to the valuations from investment managers, some of the fixed maturities with fair values categorized as Level 3 result when prices are not available from the nationally recognized pricing services. The asset managers may obtain non-binding price quotes for the securities from brokers. The single broker quotes are provided by market makers or broker-dealers who are recognized as market participants in the markets in which they are providing the quotes. The prices received from brokers are reviewed for reasonableness by the third party asset managers and the Company. If the broker quotes are for foreign denominated securities, the quotes are converted to U.S. dollars using currency exchange rates from nationally recognized sources.

~~The composition and valuation inputs for the presented fixed maturities categories Level 1 and Level 2 are as~~ follows:



●

U.S. Treasury

securities and obligations

of U.S. government

agencies and corporations

are primarily comprised

of U.S. Treasury

bonds and the fair value is based

on observable market inputs

such as quoted prices, reported

trades, quoted prices for similar issuances

or benchmark yields;



●

Obligations

of U.S.

states

and political

subdivisions are

comprised of

state

and municipal

bond issuances

and

the fair values

are based

on observable

market inputs

such as quoted

market prices,

quoted prices

for similar

securities, benchmark yields and credit spreads;

●

Corporate

securities

are

primarily

comprised

of U.S.

corporate

and

public utility

bond

issuances

and the

fair

values

are

based

observable

market

inputs

such

quoted

market

prices,

quoted

prices

for

similar

securities, benchmark yields and credit spreads;

●

Asset-backed

and

mortgage-backed

securities

fair

values

are

based

observable

inputs

such

quoted

prices,

reported

trades,

quoted

prices

for

similar

issuances

benchmark

yields and

cash

flow models

using

observable inputs such as prepayment speeds,

collateral performance and default

spreads;

●

Foreign government

securities are

comprised of

global non-U.S.

sovereign

bond issuances

and the

fair values

are based

on observable

market inputs

such as

quoted market

prices, quoted

prices for

similar securities

and

models

with

observable

inputs

such

benchmark

yields

and

credit

spreads

and

then,

where

applicable,

converted to U.S. dollars

using an exchange rate

from a nationally recognized

source;

●

Foreign corporate

securities are comprised of

global non-U.S. corporate

bond issuances and the fair

values are

based

observable

market

inputs

such

quoted

market

prices,

quoted

prices

for

similar

securities

and

models

with

observable

inputs

such

benchmark

yields

and

credit

spreads

and

then,

where

applicable,

converted to U.S. dollars

using an exchange rate

from a nationally recognized

source.

The following

table presents

the fair

value measurement

levels for

all assets,

which the

Company has

recorded at

fair value as of the period indicated:

Fair Value Measurement Using:

Quoted Prices

in Active

Significant

Markets for

Other

Significant

Identical

Observable

Unobservable

Assets

Inputs

(Dollars in millions)

September 30, 2022

(Level 1)

(Level 2)

(Level 3)

Assets:

Fixed maturities, available for sale

U.S. Treasury securities and obligations of

U.S. government agencies and corporations

562

Obligations of U.S. states and political subdivisions are comprised of state and municipal bond issuances and the fair values are based on observable market inputs such as quoted market prices, quoted prices for similar securities, benchmark yields and credit spreads;



481

Corporate securities ~~are primarily comprised~~

3,564

2,845

719

Asset-backed securities

3,645

2,752

893

Mortgage-backed securities

Commercial

495

Agency residential

1,367

Non-agency residential

Foreign government securities

626

Foreign corporate securities

1,326

1,310

Total fixed maturities, available for sale

12,070

10,442

1,628

Equity securities, fair value

1,258

1,212

Other invested assets, fair value

1,680

(Some amounts may not reconcile due to rounding.)

Fair Value Measurement Using:

Quoted Prices

in Active

Significant

Markets for

Other

Significant

Identical

Observable

Unobservable

Assets

Inputs

(Dollars in millions)

December 31, 2021

(Level 1)

(Level 2)

(Level 3)

Assets:

Fixed maturities, available for sale

U.S. Treasury securities and obligations of

U.S. government agencies and corporations

663

Obligations of U.S. states and political subdivisions

587

Corporate securities

4,075

3,345

730

Asset-backed securities

3,466

2,215

1,251

Mortgage-backed securities

Commercial

603

Agency residential

1,261

Non-agency residential

Foreign government securities

692

Foreign corporate ~~and public utility bond issuances and the fair values are based on observable market inputs such as quoted market prices, quoted prices~~securities

1,510

1,494

Total

fixed maturities, available for ~~similar securities, benchmark yields and credit spreads;~~

~~Asset-backed and mortgage-backed~~sale

12,860

10,863

1,997

Equity securities, fair values are based on observable inputs such as quoted prices, reported trades, quoted prices for similar issuances or benchmark yields and cash flow models using observable inputs such as prepayment speeds, collateral performance and default spreads;

~~Foreign government securities are comprised of global non-U.S. sovereign bond issuances and the~~value

1,758

1,722

Other invested assets, fair values are based on observable market inputs such as quoted market prices, quoted prices for similar securities and models with observable inputs such as benchmark yields and credit spreads and then, where applicable, convertedvalue

2,031

(Some amounts may not reconcile due to ~~U.S. dollars using an exchange rate from a nationally recognized source;~~

Foreign corporate securities are comprised of global non-U.S. corporate bond issuances and the fair values are based on observable market inputs such as quoted market prices, quoted prices for similar securities and models with observable inputs such as benchmark yields and credit spreads and then, where applicable, converted to U.S. dollars using an exchange rate from a nationally recognized source.

rounding.)

~~The following table presents the fair value measurement levels for all assets, which the Company has recorded at fair value (fair and market value) as of the period indicated:~~

Fair Value Measurement Using:

Quoted Prices

in Active

Significant

Markets for

Other

Significant

Identical

Observable

Unobservable

Assets

Inputs

Inputs
(Dollars in thousands)

March 31, 2022

(Level 1)

(Level 2)

(Level 3)
Assets:

Fixed maturities, market value

U.S. Treasury securities and obligations of
U.S. government agencies and corporations

$
598,326

$
-

$
598,326

$
-
Obligations of U.S. states and political subdivisions

559,188

-

559,188

-
Corporate securities

3,989,500

-

3,274,844

714,656
Asset-backed securities

3,856,965

-

2,468,274

1,388,691
Mortgage-backed securities

Commercial

542,934

-

537,044

5,890
Agency residential

1,156,593

-

1,156,593

-
Non-agency residential

3,750

-

3,750

-
Foreign government securities

648,759

-

648,759

-
Foreign corporate securities

1,455,642

-

1,439,716

15,926
Total fixed maturities, market value

12,811,657

-

10,686,494

2,125,163

Equity securities, fair value

1,731,774

1,693,098

38,676

-
Other invested assets, fair value

1,946,197

-

-

1,946,197

Fair Value Measurement Using:

Quoted Prices

in Active

Significant

Markets for

Other

Significant

Identical

Observable

Unobservable

Assets

Inputs

Inputs
(Dollars in thousands)
December 31, 2021

(Level 1)

(Level 2)

(Level 3)
Assets:

Fixed maturities, market value

U.S. Treasury securities and obligations of
U.S. government agencies and corporations
$
662,749

$
-

$
662,749

$
-
Obligations of U.S. states and political subdivisions

586,621

-

586,621

-
Corporate securities

4,074,905

-

3,344,980

729,925
Asset-backed securities

3,466,286

-

2,215,005

1,251,281
Mortgage-backed securities

Commercial

602,894

-

602,894

-
Agency residential

1,260,678

-

1,260,678

-
Non-agency residential

4,408

-

4,408

-
Foreign government securities

691,980

-

691,980

-
Foreign corporate securities

1,509,874

-

1,493,859

16,015
Total fixed maturities, market value

12,860,395

-

10,863,174

1,997,221

Equity securities, fair value

1,757,792

1,721,762

36,030

-
Other invested assets, fair value

2,030,816

-

-

2,030,816

In addition, ~~$299.6~~ $

309

million and ~~$286.6~~ $

287

million of investments

within other invested

assets on the consolidated

balance

sheets

of ~~March~~

September

30,

2022

and

December

31, ~~2022 and December 31,~~

2021,

respectively,

are

not

included

within

the

fair

value

hierarchy tables as

the assets are measured at NAV

as a practical expedient to determine

fair value.

The

following

tables

present

the

activity

under

Level

fair

value

measurements

using

significant

unobservable

inputs ~~by asset type,~~for fixed maturities available

for sale, for the periods indicated:

Total Fixed Maturities, Market Value

Three Months Ended March 31, 2022

Corporate

Asset

Foreign

(Dollars in thousands)
Securities

Backed Securities

CMBS

Corporate

Total
Beginning balance
$
729,925

$
1,251,281

$
-

$
16,015

$
1,997,221
Total gains or (losses) (realized/unrealized)

Included in earnings

1,429

102

-

13

1,544
Included in other comprehensive
income (loss)

(4,167)

(28,788)

(23)

(61)

(33,039)
Purchases, issuances and settlements

(12,531)

166,096

5,913

(41)

159,437
Transfers in and/or (out) of Level 3

-

-

-

-

-
Ending balance
$
714,656

$
1,388,691

$
5,890

$
15,926

$
2,125,163
The amount of total gains or losses for the
period included in earnings (or changes in
net assets) attributable to the change in
unrealized gains or losses relating to
assets still held at the reporting date
$
318

$
-

$
-

$
-

$
318

(Some amounts may not reconcile due to rounding.)

Total Fixed Maturities, Market Value

Three Months Ended March 31, 2021

Corporate

Asset

Foreign

(Dollars in thousands)
Securities

Backed Securities

Corporate

Total
Beginning balance
$
630,843

$
623,033

$
5,700

$
1,259,576
Total gains or (losses) (realized/unrealized)

Included in earnings

(1,788)

(4,168)

2

(5,954)
Included in other comprehensive income (loss)

2,835

(3,135)

49

(251)
Purchases, issuances and settlements

2,003

169,630

(153)

171,480
Transfers in and/or (out) of Level 3

-

-

-

-
Ending balance
$
633,893

$
785,360

$
5,598

$
1,424,851
The amount of total gains or losses for the
period included in earnings (or changes in
net assets) attributable to the change in
unrealized gains or losses relating to
assets still held at the reporting date
$
-

$
-

$
-

$
-

(Some amounts may not reconcile due to rounding.)

Total Fixed Maturities, Available for Sale

Three Months Ended September 30, 2022

Nine Months Ended September 30, 2022

Corporate

Asset Backed

Foreign

Corporate

Asset Backed

Foreign

(Dollars in millions)

Securities

CMBS

Corporate

Total

Securities

CMBS

Corporate

Total

Beginning balance fixed maturities

862

1,255

2,163

730

1,251

1,997

Total gains or (losses) (realized/unrealized)

Included in earnings

(3)

(6)

Included in other comprehensive

income (loss)

(6)

(13)

(11)

(4)

(28)

Purchases, issuances and settlements

159

186

387

443

Transfers in (out) of Level 3 and reclassification of

securities in/(out) investment categories

(163)

(587)

(6)

(24)

(779)

(35)

(735)

(6)

(4)

(779)

Ending balance

719

893

1,628

719

893

1,628

The amount of total gains or losses for the

period included in earnings (or changes in

net assets) attributable to the change in

unrealized gains or losses relating to

assets still held at the reporting date

(3)

(8)

(Some amounts may not reconcile due to rounding.)

Total Fixed Maturities,

Available for Sale

Three Months Ended September 30, 2021

Nine Months Ended September 30, 2021

Corporate

Asset Backed

Foreign

Corporate

Asset Backed

Foreign

(Dollars in millions)

Securities

Corporate

Total

Securities

Corporate

Total

Beginning balance fixed maturities

635

815

1,455

631

623

1,260

Total gains or (losses) (realized/unrealized)

Included in earnings

(3)

(12)

(7)

(19)

Included in other comprehensive income (loss)

(1)

(2)

Purchases, issuances and settlements

192

279

384

(1)

482

Transfers in (out) of Level

3 and reclassification of

securities in/(out) investment categories

Ending balance

723

1,004

1,732

723

1,004

1,732

The amount of total gains or losses for the

period included in earnings (or changes in

net assets) attributable to the change in

unrealized gains or losses relating to

assets still held at the reporting date

(3)

(2)

(17)

(8)

(24)

(Some amounts may not reconcile due to rounding.)

The

779

million

shown

transfers

in/(out)

Level

and

reclassification

securities

in/(out)

investment

categories for the three and

nine months ended September 30, 2022 relate

mainly to previously designated

Level 3

securities that

the Company

has reclassified

from “fixed

maturities –

available for

sale” to

“fixed maturities

– held

maturity”

during

the

third

quarter

2022.

“fixed

maturities

–

held

maturity"

are

carried

amortized

cost, net of

credit allowances rather

than at fair value

as “fixed maturities

– available for

sale”,

these securities are

no longer included within the fair value

hierarchy table or

in the roll-forward of Level

3 securities. The fair values of

these securities are determined

in a similar manner

as the Company’s

fixed maturity securities

available for sale

described

above.

The

fair

values

these

securities

incorporate

the

use

significant

unobservable

inputs

and

therefore are classified as Level

3 within the fair value hierarchy

as of September 30, 2022.

COMMITMENTS AND CONTINGENCIES

In the ordinary

course of business,

the Company is

involved in

lawsuits, arbitrations

and other formal

and informal

dispute resolution

procedures,

the outcomes

of which

will determine

the Company’s

rights and

obligations

under

insurance

and

reinsurance

agreements.

some

disputes,

the

Company

seeks

enforce

its

rights

under

agreement or

to collect

funds owing

to it. In

other matters,

the Company

is resisting

attempts by

others to

collect

funds or

enforce

alleged rights.

These disputes

arise from

time to

time and

are ultimately

resolved

through

both

informal

and

formal

means,

including

negotiated

resolution,

arbitration

and

litigation.

all

such

matters,

the

Company believes

that its positions

are legally and

commercially reasonable.

The Company

considers the

statuses

of these proceedings when determining its reserves

for unpaid loss and loss adjustment expenses.

Aside from litigation and arbitrations

related to these insurance and

reinsurance agreements,

the Company is not a

party to any other material litigation

or arbitration.

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. To the best of our knowledge at this time, the Company has limited financial exposure related to the Russian invasion of the Ukraine. However, given the ongoing nature of the war and the high degree of uncertainty around both exposures and coverage, a reasonable estimation of potential loss is not credible at this time.

COMPREHENSIVE INCOME (LOSS)

The following

tables

present

the

components

of comprehensive

income

(loss)

the

consolidated

statements

operations and comprehensive income

(loss) for the periods indicated:

Three Months Ended
March 31, 2022
(Dollars in thousands)
Before Tax

Tax Effect

Net of Tax
Unrealized appreciation (depreciation) ("URA(D)") on securities - non-credit related
$
(498,693)

104,414

$
(394,279)
Reclassification of net realized losses (gains) included in net income (loss)

2,818

(563)

2,255
Foreign currency translation adjustments

(2,440)

501

(1,939)
Reclassification of amortization of net gain (loss) included in net income (loss)

960

(202)

758
Total other comprehensive income (loss)
$
(497,355)

$
104,150

$
(393,205)

(Some amounts may not reconcile due to rounding)

Three Months Ended
March 31, 2021
(Dollars in thousands)
Before Tax

Tax Effect

Net of Tax
Unrealized appreciation (depreciation) ("URA(D)") on securities - non-credit related
$
(139,019)

29,161

$
(109,858)
Reclassification of net realized losses (gains) included in net income (loss)

1,870

(379)

1,490
Foreign currency translation adjustments

2,856

(594)

2,262
Reclassification of amortization of net gain (loss) included in net income (loss)

2,586

(543)

2,043
Total other comprehensive income (loss)
$
(131,708)

$
27,645

$
(104,063)

(Some amounts may not reconcile due to rounding)

Three Months Ended

September 30, 2022

Nine Months Ended

September 30, 2022

(Dollars in millions)

Before Tax

Tax Effect

Net of Tax

Before Tax

Tax Effect

Net of Tax

Unrealized appreciation (depreciation) ("URA(D)")

on securities - non-credit related

(357)

(282)

(1,376)

288

(1,087)

Reclassification of net realized losses (gains)

included in net income (loss)

(11)

(13)

Foreign currency translation adjustments

(37)

(29)

(52)

(41)

Reclassification of amortization of net gain (loss)

included in net income (loss)

(1)

Total other comprehensive income (loss)

(343)

(271)

(1,364)

285

(1,078)

(Some amounts may not reconcile due to rounding)

Three Months Ended

September 30, 2021

Nine Months Ended

September 30, 2021

(Dollars in millions)

Before Tax

Tax Effect

Net of Tax

Before Tax

Tax Effect

Net of Tax

Unrealized appreciation (depreciation) ("URA(D)")

on securities - non-credit related

(55)

(43)

(139)

(110)

Reclassification of net realized losses (gains)

included in net income (loss)

(1)

(3)

Foreign currency translation adjustments

(26)

(21)

(6)

(5)

Reclassification of amortization of net gain (loss)

included in net income (loss)

(2)

Total other comprehensive income (loss)

(77)

(61)

(125)

(99)

(Some amounts may not reconcile due to rounding)

The following table presents details

of the amounts reclassified from AOCI for

the periods indicated:

Three Months Ended

Affected line item within the

March 31,

statements of operations and
AOCI component
2022

2021

comprehensive income (loss)
(Dollars in thousands)

URA(D) on securities
$
2,818

$
1,870

Other net gains (losses) on investments

(563)

(379)

Income tax expense (benefit)

$
2,255

$
1,490

Net income (loss)
Benefit plan net gain (loss)
$
960

$
2,586

Other underwriting expenses

(202)

(543)

Income tax expense (benefit)

$
758

$
2,043

Net income (loss)

(Some amounts may not reconcile due to rounding)

Three Months Ended

Nine Months Ended

Affected line item within the

September 30,

statements of operations and

AOCI component

2022

2021

2022

2021

comprehensive income (loss)

(Dollars in millions)

URA(D) on securities

Other net gains (losses) on investments

(11)

(1)

(13)

(3)

Income tax expense (benefit)

Net income (loss)

Benefit plan net gain (loss)

Other underwriting expenses

(1)

(2)

Income tax expense (benefit)

Net income (loss)

(Some amounts may not reconcile due to rounding)

The following table presents

the components of accumulated

other comprehensive income

(loss), net of tax,

in the

consolidated balance sheets for

the periods indicated:

Three Months Ended

Nine Months Ended

September 30,

(Dollars in millions)

2022

2021

2022

2021

Beginning balance of URA (D) on securities

(675)

255

122

313

Current period change in URA (D) of investments - non-credit related

(242)

(41)

(1,039)

(100)

Ending balance of URA (D) on securities

(917)

213

(917)

213

Beginning balance of foreign currency translation adjustments

Current period change in foreign currency translation adjustments

(29)

(21)

(41)

(5)

Ending balance of foreign currency translation adjustments

(21)

Beginning balance of benefit plan net gain (loss)

(50)

(70)

(50)

(74)

Current period change in benefit plan net gain (loss)

Ending balance of benefit plan net gain (loss)

(49)

(68)

(49)

(68)

Ending balance of accumulated other comprehensive income (loss)~~, net of tax, in the consolidated balance sheets for the periods indicated:~~

Three Months Ended

March 31,
(Dollars in thousands)
2022

2021
Beginning balance of URA (D) on securities
$
121,869

$
313,161
Current period change in URA (D) of investments - non-credit related

(392,024)

(108,368)
Ending balance of URA (D) on securities

(270,155)

204,793

Beginning balance of foreign currency translation adjustments

19,992

28,727
Current period change in foreign currency translation adjustments

(1,939)

2,262
Ending balance of foreign currency translation adjustments

18,053

30,989

Beginning balance of benefit plan net gain (loss)

(50,392)

(73,870)
Current period change in benefit plan net gain (loss)

758

2,043
Ending balance of benefit plan net gain (loss)

(49,634)

(71,827)

Ending balance of accumulated other comprehensive income (loss)
$
(301,735)

$
163,955

(987)

169

(987)

169

(Some amounts may not reconcile due to rounding.)

COLLATERALIZED REINSURANCE

AND TRUST AGREEMENTS

subsidiary

the

Company,

Everest

Reinsurance

company

(“Everest

Re”),

has

established

trust

agreement,

which

effectively

uses

Everest

Re’s

investments

collateral,

security

for

assumed

losses

payable

non-

affiliated

ceding

companies.

September

30,

2022,

the

total

amount

deposit

the

trust

account

was

632

million which includes $

million of the Company, Everest Reinsurance company (“Everest Re”), has established a trust agreement, which effectively uses Everest Re’s investments as collateral, as security for assumed losses payable to non-affiliated ceding companies. At March 31, 2022, the total amount on deposit in the trust account was $567.4 million.

restricted cash.

The

Company

entered

into

various

collateralized

reinsurance

agreements

with

Kilimanjaro

Limited

(“Kilimanjaro”), a Bermuda

based special purpose

reinsurer,

to provide the

Company with catastrophe

reinsurance

coverage.

These

agreements

are

multi-year

reinsurance

contracts

which

cover

named

storm

and

earthquake

events. The table below summarizes

the various agreements:

(Dollars in thousands)

Class

Description

Effective Date

Expiration Date

Limit

Coverage Basis

Series 2017-1 Class A-2

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/13/2017

4/13/2022

50,000

Aggregate
Series 2017-1 Class B-2

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/13/2017

4/13/2022

75,000

Aggregate
Series 2017-1 Class C-2

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/13/2017

4/13/2022

175,000

Aggregate
Series 2018-1 Class A-1

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/30/2018

5/6/2022

62,500

Aggregate
Series 2018-1 Class B-1

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/30/2018

5/6/2022

200,000

Aggregate
Series 2018-1 Class A-2

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/30/2018

5/5/2023

62,500

Aggregate
Series 2018-1 Class B-2

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/30/2018

5/5/2023

200,000

Aggregate
Series 2019-1 Class A-1

US, Canada, Puerto Rico – Named Storm and Earthquake Events

12/12/2019

12/19/2023

150,000

Occurrence
Series 2019-1 Class B-1

US, Canada, Puerto Rico – Named Storm and Earthquake Events

12/12/2019

12/19/2023

275,000

Aggregate
Series 2019-1 Class A-2

US, Canada, Puerto Rico – Named Storm and Earthquake Events

12/12/2019

12/19/2024

150,000

Occurrence
Series 2019-1 Class B-2

US, Canada, Puerto Rico – Named Storm and Earthquake Events

12/12/2019

12/19/2024

275,000

Aggregate
Series 2021-1 Class A-1

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/8/2021

4/21/2025

150,000

Occurrence
Series 2021-1 Class B-1

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/8/2021

4/21/2025

85,000

Aggregate
Series 2021-1 Class C-1

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/8/2021

4/21/2025

85,000

Aggregate
Series 2021-1 Class A-2

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/8/2021

4/20/2026

150,000

Occurrence
Series 2021-1 Class B-2

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/8/2021

4/20/2026

90,000

Aggregate
Series 2021-1 Class C-2

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/8/2021

4/20/2026

90,000

Aggregate

Total available limit as of March 31, 2022

$
2,325,000

(Dollars in millions)

Class

Description

Effective Date

Expiration Date

Limit

Coverage

Basis

Series 2018-1 Class A-2

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/30/2018

5/5/2023

Aggregate

Series 2018-1 Class B-2

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/30/2018

5/5/2023

200

Aggregate

Series 2019-1 Class A-1

US, Canada, Puerto Rico – Named Storm and Earthquake Events

12/12/2019

12/19/2023

150

Occurrence

Series 2019-1 Class B-1

US, Canada, Puerto Rico – Named Storm and Earthquake Events

12/12/2019

12/19/2023

275

Aggregate

Series 2019-1 Class A-2

US, Canada, Puerto Rico – Named Storm and Earthquake Events

12/12/2019

12/19/2024

150

Occurrence

Series 2019-1 Class B-2

US, Canada, Puerto Rico – Named Storm and Earthquake Events

12/12/2019

12/19/2024

275

Aggregate

Series 2021-1 Class A-1

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/8/2021

4/21/2025

150

Occurrence

Series 2021-1 Class B-1

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/8/2021

4/21/2025

Aggregate

Series 2021-1 Class C-1

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/8/2021

4/21/2025

Aggregate

Series 2021-1 Class A-2

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/8/2021

4/20/2026

150

Occurrence

Series 2021-1 Class B-2

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/8/2021

4/20/2026

Aggregate

Series 2021-1 Class C-2

US, Canada, Puerto Rico – Named Storm and Earthquake Events

4/8/2021

4/20/2026

Aggregate

Series 2022-1 Class A

US, Canada, Puerto Rico – Named Storm and Earthquake Events

6/22/2022

6/22/2025

300

Aggregate

Total available limit as of September 30, 2022

2,063

Recoveries

under

these

collateralized

reinsurance

agreements

with

Kilimanjaro

are

primarily

dependent

estimated industry

level insured losses

from covered events,

as well as, the geographic

location of the events.

The

estimated

industry

level

insured

losses

obtained

from

published

estimates

independent

recognized

authority

insured

property

losses.

Currently,

none

the

published

insured

loss

estimates

for

catastrophe

events during the applicable

covered periods of

the various agreements

have exceeded

the single event retentions

or aggregate retentions

under the terms of the agreements that

would result in a recovery.

Kilimanjaro has

financed the

various

property catastrophe

reinsurance

coverages

by issuing

catastrophe

bonds to

unrelated,

external

investors.

The proceeds

from the

issuance

of the

Notes

listed

below

are

held in

reinsurance

trusts

throughout

the

duration

the

applicable

reinsurance

agreements

and

invested

solely

government

money market funds with a rating

of at least “AAAm”

by Standard & Poor’s.

(Dollars in thousands)

Note Series

Issue Date

Maturity Date

Amount
Series 2017-1 Class A-2

4/13/2017

4/13/2022

50,000
Series 2017-1 Class B-2

4/13/2017

4/13/2022

75,000
Series 2017-1 Class C-2

4/13/2017

4/13/2022

175,000
Series 2018-1 Class A-1

4/30/2018

5/6/2022

62,500
Series 2018-1 Class B-1

4/30/2018

5/6/2022

200,000
Series 2018-1 Class A-2

4/30/2018

5/5/2023

62,500
Series 2018-1 Class B-2

4/30/2018

5/5/2023

200,000
Series 2019-1 Class A-1

12/12/2019

12/19/2023

150,000
Series 2019-1 Class B-1

12/12/2019

12/19/2023

275,000
Series 2019-1 Class A-2

12/12/2019

12/19/2024

150,000
Series 2019-1 Class B-2

12/12/2019

12/19/2024

275,000
Series 2021-1 Class A-1

4/8/2021

4/21/2025

150,000
Series 2021-1 Class B-1

4/8/2021

4/21/2025

85,000
Series 2021-1 Class C-1

4/8/2021

4/21/2025

85,000
Series 2021-1 Class A-2

4/8/2021

4/20/2026

150,000
Series 2021-1 Class B-2

4/8/2021

4/20/2026

90,000
Series 2021-1 Class C-2

4/8/2021

4/20/2026

90,000

$
2,325,000

(Dollars in millions)

Note Series

Issue Date

Maturity Date

Amount

Series 2018-1 Class A-2

4/30/2018

5/5/2023

Series 2018-1 Class B-2

4/30/2018

5/5/2023

200

Series 2019-1 Class A-1

12/12/2019

12/19/2023

150

Series 2019-1 Class B-1

12/12/2019

12/19/2023

275

Series 2019-1 Class A-2

12/12/2019

12/19/2024

150

Series 2019-1 Class B-2

12/12/2019

12/19/2024

275

Series 2021-1 Class A-1

4/8/2021

4/21/2025

150

Series 2021-1 Class B-1

4/8/2021

4/21/2025

Series 2021-1 Class C-1

4/8/2021

4/21/2025

Series 2021-1 Class A-2

4/8/2021

4/20/2026

150

Series 2021-1 Class B-2

4/8/2021

4/20/2026

Series 2021-1 Class C-2

4/8/2021

4/20/2026

Series 2022-1 Class A

6/22/2022

6/22/2025

300

2,063

SENIOR NOTES

The table

below displays

Holdings’ outstanding

senior notes. ~~Market~~

Fair value

is based on

quoted market

prices, but

due

to limited trading activity,

these senior notes are considered Level

2 in the fair value hierarchy.

March 31, 2022

December 31, 2021

Consolidated

Consolidated

Principal

Balance Sheet

Market

Balance Sheet

Market
(Dollars in thousands)
Date Issued

Date Due

Amounts

Amount

Value

Amount

Value
4.868% Senior notes
06/05/2014

06/01/2044

400,000

$
397,343

$
437,148

$
397,314

$
503,840
3.5% Senior notes
10/07/2020

10/15/2050

1,000,000

$
980,178

$
895,420

$
980,046

$
1,054,520
3.125% Senior notes
10/04/2021

10/15/2052

1,000,000

$
968,626

$
832,780

$
968,440

$
983,140

2,400,000

$
2,346,147

$
2,165,348

$
2,345,800

$
2,541,500

September 30, 2022

December 31, 2021

Consolidated

Principal

Balance Sheet

Fair

Balance Sheet

Fair

(Dollars in millions)

Date Issued

Date Due

Amounts

Amount

Value

Amount

Value

4.868

% Senior notes

06/05/2014

06/01/2044

400

397

339

397

504

3.5

% Senior notes

10/07/2020

10/15/2050

1,000

980

669

980

1,055

3.125

% Senior notes

10/04/2021

10/15/2052

1,000

969

627

968

983

2,400

2,347

1,635

2,346

2,542

Interest expense incurred in

connection with these senior notes is as follows

for the periods indicated:

Three Months Ended

March 31,
(Dollars in thousands)
2022

2021
Interest expense incurred 4.868% Senior notes
$
4,868

$
4,868
Interest expense incurred 3.5% Senior notes
$
8,807

$
8,805
Interest expense incurred 3.125% Senior notes
$
7,913

$
-

$
21,588

$
13,673

Three Months Ended

Nine Months Ended

September 30,

(Dollars in millions)

2022

2021

2022

2021

Interest expense incurred

4.868

% Senior notes

Interest expense incurred

3.5

% Senior notes

Interest expense incurred

3.125

% Senior notes

10.

LONG TERM SUBORDINATED

NOTES

The table

below

displays

Holdings’

outstanding

fixed

floating

rate

long

term

subordinated

notes. ~~Market~~

Fair

value

based on

quoted market

prices, but due

to limited

trading activity,

these subordinated

notes are

considered Level

2 in the fair value hierarchy.

March 31, 2022

December 31, 2021

Original

Consolidated

Consolidated

Principal

Maturity Date

Balance

Market

Balance

Market
(Dollars in thousands)
Date Issued

Amount

Scheduled

Final

Sheet Amount

Value

Sheet Amount

Value
Long term subordinated notes
04/26/2007

$
400,000

05/15/2037

05/01/2067

$
223,799

$
208,685

$
223,774

$
216,289

September 30, 2022

December 31, 2021

Original

Consolidated

Principal

Maturity Date

Balance

Fair

Balance

Fair

(Dollars in millions)

Date Issued

Amount

Scheduled

Final

Sheet Amount

Value

Sheet Amount

Value

Long term subordinated notes

04/26/2007

400

05/15/2037

05/01/2067

218

179

224

216

During the

fixed

rate

interest

period from

May 3, 2007

through

May 14, 2017

, interest

was

the annual

rate

6.6

%, payable

semi-annually

in arrears

on November 15

and May

15 of

each year,

commencing on

November 15,

2007

During the ~~fixed~~ floating

rate interest

period from May

15, 2017 through

maturity,

interest will be

based on the 3 ~~2007 through~~

month

LIBOR

plus

238.5

basis

points,

reset

quarterly,

payable

quarterly

arrears

February 15,

May ~~14, 2017, interest was at the annual rate of 6.6%, payable semi-annually in arrears on November~~15,

August 15 and ~~May~~ November

15 of each year, ~~commencing~~

subject to Holdings’

right to defer

interest on

one

or more occasions

for

ten consecutive years

Deferred

interest

will

accumulate

interest

the

applicable

rate

compounded

quarterly

for

periods

from

and

including

May 15,

2017.

The

reset

quarterly

interest

rate

for

August

15,

2022

November ~~15, 2007. During~~14, 2022 is

5.29

Holdings may

redeem the ~~floating rate interest period from~~

long term

subordinated

notes on

or after

May 15, 2017 ~~through maturity, interest will be based on~~

, in

whole or

in part

100

% of

the ~~3 month LIBOR~~principal

amount plus ~~238.5 basis points, reset quarterly, payable quarterly in arrears on February 15, May 15, August 15~~

accrued and ~~November 15 of each year, subject to Holdings’ right to defer interest on 1 or more occasions for up to~~ ~~ten consecutive years~~. Deferred interest will accumulate interest at the applicable rate compounded quarterly for periods from and including May 15, 2017. The reset quarterly interest rate for February 15, 2022 to May 15, 2022 is ~~2.89%.~~

~~Holdings may redeem the long term subordinated notes~~

unpaid interest;

however,

redemption

on or

after ~~May 15, 2017, in whole or in part at 100% of the principal amount plus accrued and unpaid interest; however, redemption on or after~~

the scheduled

maturity

date

and

prior

May 1, 2047

subject

replacement

capital

covenant.

This

covenant

for

the

benefit

certain senior note

holders and

it mandates that

Holdings receive

proceeds from

the sale of

another subordinated

debt

issue,

least

similar

size,

before

may

redeem

the

subordinated

notes.

The

Company’s ~~4.868%~~

4.868

senior

notes, due

June 1, 2044

3.5

% senior

notes due

October 15, 2050

and

3.125

% senior

notes due

October

15, 2052

are the Company’s

long term indebtedness that ~~ranks~~rank senior

to the long term subordinated notes.

2009,

the

Company

had

reduced

its

outstanding

amount

long

term

subordinated

notes

161

million

through the

initiation of

a cash

tender offer

for any

and all

of the

long term

subordinated

notes.

In addition,

the

Company

repurchased

and

retired

million

the

long

term

subordinated

notes

2020.

During

the

third

quarter

2022,

the

Company

repurchased

and

retired

million

the

outstanding

long

term

subordinated

notes. The Company realized

a gain of $

million on the transaction.

Interest

expense

incurred

connection

with

these

long

term

subordinated

notes

follows

for

the

periods

indicated:

Three Months Ended

Nine Months Ended

September 30,

(Dollars in millions)

2022

2021

2022

2021

Interest expense incurred ~~in connection with these long term subordinated notes is as follows for the periods indicated:~~

Three Months Ended

March 31,
(Dollars in thousands)
2022

2021
Interest expense incurred
$
1,530

$
1,462

11.

FEDERAL HOME LOAN BANK MEMBERSHIP

Everest

member

the

Federal

Home

Loan

Bank

New

York

(“FHLBNY”),

which

allows

Everest

borrow

up to ~~10%~~

% of

its statutory

admitted

assets.

As of ~~March 31,~~

September

30, 2022,

Everest

Re had

admitted

assets

approximately ~~$20.4~~

22.0

billion

which

provides

borrowing

capacity

approximately ~~$2.0~~

2.2

billion.

of ~~March 31,~~

September

30,

2022,

Everest

has ~~$519.0~~

519

million

borrowings

outstanding,

with

maturities

November

and

December

2022

and

interest

payable

interest

rates

between

0.53

and

0.65

Everest

incurred

interest

expense of

0.8

million ~~of borrowings outstanding, with maturities in November~~ and

0.3

million for

the three

months

ended September

30, 2022

and ~~December~~ 2021,

respectively.

Everest

incurred

interest

expense

2.3

million

and

0.8

million

for

the

nine

months

ended

September

30,

2022 and ~~interest payable at interest rates between 0.53% and 0.65%. Everest Re incurred interest expense of $0.7 million and $0.3 million for the three months ended March 31, 2022 and~~

2021, respectively.

The FHLBNY

membership

agreement

requires

that ~~4.5%~~

4.5

% of

borrowed

funds be

used

to acquire additional membership stock.

12.

SEGMENT REPORTING

The Reinsurance

operation writes

worldwide property

and casualty

reinsurance and

specialty lines of

business, on both a treaty and facultative basis, through reinsurance brokers, as well as directly with ceding companies. Business is written in the United States as well as through branches in Canada and Singapore. The Insurance

both

treaty

and

facultative

basis,

through

reinsurance

brokers,

well

directly

with

ceding

companies.

Business

written

the

United

States

well

through

branches

Canada

and

Singapore.

The

Insurance

operation

writes property

and casualty

insurance

directly and

through

brokers,

surplus lines

brokers

and general

agents within the United States.

These segments

are

managed

independently,

but conform

with corporate

guidelines

with respect

pricing, risk

management,

control

aggregate

catastrophe

exposures,

capital,

investments

and

support

operations.

Management generally monitors

and evaluates the financial performance

of these operating segments

based upon

their underwriting results.

Underwriting

results

include

earned

premium

less

losses

and

LAE

incurred,

commission

and

brokerage

expenses

and other

underwriting expenses.

The Company

measures

its underwriting

results

using ratios,

in particular

loss,

commission

and

brokerage

and

other

underwriting

expense

ratios,

which,

respectively,

divide

incurred

losses,

commissions and brokerage

and other underwriting expenses by premiums earned.

The

Company

does

not

maintain

separate

balance

sheet

data

for

its

operating

segments.

Accordingly,

the

Company

does not ~~maintain separate balance sheet data for its operating segments. Accordingly, the Company does not~~

review and

evaluate

the financial

results

of its

operating

segments based

upon balance

sheet

data.

The following tables present the underwriting

results for the operating

segments for the periods indicated:

Three Months Ended March 31, 2022

Three Months Ended March 31, 2021
(Dollars in thousands)
Reinsurance

Insurance

Total

Reinsurance

Insurance

Total
Gross written premiums
$
1,379,671

$
825,337

$
2,205,008

$
1,420,082

$
713,252

$
2,133,334
Net written premiums

1,185,341

610,868

1,796,209

1,208,813

556,530

1,765,343

Premiums earned
$
1,209,313

$
619,279

$
1,828,592

$
1,177,170

$
519,730

$
1,696,900
Incurred losses and LAE

820,471

405,219

1,225,690

970,318

383,766

1,354,084
Commission and brokerage

315,329

69,300

384,630

290,556

59,298

349,854
Other underwriting expenses

30,974

86,782

117,755

36,289

73,505

109,795
Underwriting gain (loss)
$
42,539

$
57,978

$
100,517

$
(119,994)

$
3,161

$
(116,833)

Net investment income

156,134

147,723
Net gains (losses) on investments

(226,587)

135,011
Corporate expense

(5,766)

(4,581)
Interest, fee and bond issue cost amortization expense

(24,078)

(15,534)
Other income (expense)

(9,397)

3,979
Income (loss) before taxes

$
(9,177)

$
149,765

Three Months Ended September 30, 2022

Nine Months Ended September 30, 2022

(Dollars in millions)

Reinsurance

Insurance

Total

Reinsurance

Insurance

Total

Gross written premiums

1,681

905

2,585

4,454

2,773

7,227

Net written premiums

1,506

722

2,228

3,936

2,083

6,019

Premiums earned

1,398

706

2,104

3,902

1,985

5,887

Incurred losses and LAE

1,531

564

2,094

3,227

1,398

4,624

Commission and brokerage

337

423

985

231

1,216

Other underwriting expenses

127

269

365

Underwriting gain (loss)

(504)

(37)

(541)

(406)

(319)

Net investment income

124

457

Net gains (losses) on investments

(237)

(842)

Corporate expense

(5)

(17)

Interest, fee and bond

issue cost amortization expense

(26)

(74)

Other income (expense)

(2)

Income (loss) before taxes

(677)

(796)

(Some amounts may not reconcile due to rounding)

Three Months Ended September 30, 2021

Nine Months Ended September 30, 2021

(Dollars in millions)

Reinsurance

Insurance

Total

Reinsurance

Insurance

Total

Gross written premiums

1,693

831

2,524

4,552

2,422

6,974

Net written premiums

1,461

608

2,069

3,961

1,802

5,763

Premiums earned

1,280

571

1,851

3,690

1,625

5,315

Incurred losses and LAE

1,208

445

1,653

2,917

1,185

4,103

Commission and brokerage

320

389

935

190

1,126

Other underwriting expenses

110

101

228

329

Underwriting gain (loss)

(279)

(21)

(300)

(264)

(243)

Net investment income

197

593

Net gains (losses) on investments

(51)

267

Corporate expense

(11)

(23)

Interest, fee and bond

issue cost amortization expense

(16)

(47)

Other income (expense)

Income (loss) before taxes

(171)

560

(Some amounts may not reconcile due to rounding)

The Company

produces

business

the

U.S.

and

internationally.

The net

income

deriving

from

assets

residing

the

individual

foreign

countries

which

the

Company

writes

business

are

not

identifiable

the

Company’s

financial records.

Based on

gross

written

premium, the

table

below presents

the largest

country,

other than

the

U.S., in which the Company writes business,

for the periods indicated:

Three Months Ended

March 31,
(Dollars in thousands)
2022

2021
Canada gross written premiums
$
67,765

$
34,330

Three Months Ended

Nine Months Ended

September 30,

(Dollars in millions)

2022

2021

2022

2021

Canada gross written premiums

103

252

164

No other country represented

more than 5%

% of the Company’s revenues.

13.

~~13.~~ RELATED-PARTY

TRANSACTIONS

Parent

Group entered

into a ~~$300.0~~

300

million long

term note

agreement with

Everest

Re as

of December

17, 2019.

The note

pays interest

annually at

a rate of ~~1.69%~~

1.69

% and is

scheduled to mature

in December,

2028. The Company

recognized

interest income

related to

this long term

note of ~~$1.3~~ $

1.3

million for the

three months ended

September 30, 2022 and

2021, respectively and ~~$1.3~~ $

3.8

million for the ~~three~~nine months ended ~~March 31,~~September

30, 2022 and 2021, respectively.

Group entered

into a ~~$200.0~~

200

million long

term note

agreement with

Everest

Re as

of August

5, 2021. The

note pays

interest annually

at a rate

of ~~1.00%~~

1.00

% and is

scheduled to

mature in

August, 2030.

The Company

recognized interest

income related

to this

long term

note of ~~$0.5~~

0.5

million and $0

0.3

million for

the three

months ended ~~March 31,~~

September 30,

2022 and 2021,

respectively and

1.5

million and $

0.3

million for

the nine months

ended September 30,

2022 and

2021, respectively.

Group

entered

into

215

million

long

term

note

agreement

with

Holdings

June

29,

2022.

The

note

pays

interest

annually

a rate

3.11

% and

is scheduled

mature

in June,

2052.

The Company

recognized

interest

income

this

long

term

note

1.7

million

for

both

the

three

and

nine

months

ended

September

30,

2022.

Group’s

Board

Directors

approved

amended

repurchase

program

authorizing

Group

and/or

its

subsidiary

Holdings

to purchase

Group’s

common shares

through

open market

transactions,

privately

negotiated

transactions

both.

The

most

recent

amendment

from

the

Board,

approved

May

22,

2020,

increased

the

cumulative number of shares that may

be repurchased under the program to ~~32.0~~

million shares.

Holdings had

purchased and

held

9,719,971

Common Shares

of Group,

which were

purchased in

the open market

between February 2007 and March 2011.

In December,

2015, Holdings

transferred

the

9,719,971

Common Shares

of Group,

which it

held as

other invested

assets,

fair

value,

valued

at ~~$1.8~~

1.8

billion,

Preferred

Holdings

exchange

for

1,773.214

preferred

Preferred

Holdings

with

a ~~$1.0~~

million

par

value

and ~~1.75%~~

1.75

annual

dividend

rate.

After

the

exchange,

Holdings

longer holds any shares or has any

ownership interest in Group.

Holdings

has

reported

the

preferred

Preferred

Holdings,

other

invested

assets,

fair

value,

the

consolidated

balance

sheets

with

changes

fair

value

re-measurement

recorded

net

gains

(losses)

investments

the

consolidated

statements

of operations

and

comprehensive

income

(loss).

The following

table

presents

the dividends

received on

the preferred

shares in

of Preferred

Holdings as other invested assets, fair value, in the consolidated balance sheets with changes in fair value re-measurement recorded in net gains (losses) on investments in the consolidated statements of operations and ~~comprehensive income (loss). The following table presents the dividends received~~

on the ~~preferred~~

Parent

shares ~~of Preferred Holdings and on the Parent shares~~

that are

reported as net investment

income in the consolidated

statements of

operations and comprehensive

income (loss)

for the period indicated.

Three Months Ended

March 31,
(Dollars in thousands)
2022

2021
Dividends received on preferred stock of affiliate
$
7,758

$
7,758

Three Months Ended

Nine Months Ended

September 30,

(Dollars in millions)

2022

2021

2022

2021

Dividends received on preferred stock of affiliate

Affiliates

The Company

has engaged

in reinsurance

transactions

with Everest

Reinsurance

(Bermuda), Ltd. (“

(“Bermuda Re”),

Everest

Reinsurance

Company

(Ireland)

dac (“

(“Ireland

Re”),

Everest

Insurance

(Ireland)

dac (“

(“Ireland

Insurance”),

Everest

International

Reinsurance

Ltd. (“

(“Everest

International”),

Everest

Insurance

Company

of Canada (“

(“Everest

Canada”), Lloyd’s

Syndicate

2786 and

Mt. Logan

Re, which

are affiliated

companies primarily

driven by

enterprise

risk and capital management considerations

under which business is ceded at market rates

and terms.

The

table

below

represents

affiliated

quota

reinsurance

agreements ("

("whole

account

quota

share")

for

all

new and renewal business for the indicated

coverage period:

(Dollars in thousands)

Single

Percent

Assuming

Occurrence

Aggregate

Coverage Period

Ceding Company

Ceded

Company

Type of Business

Limit

Limit

01/01/2010-12/31/2010

Everest Re

44.0
%

Bermuda Re

property / casualty business

150,000

325,000

01/01/2011-12/31/2011

Everest Re

50.0
%

Bermuda Re

property / casualty business

150,000

300,000

01/01/2012-12/31/2014

Everest Re

50.0
%

Bermuda Re

property / casualty business

100,000

200,000

01/01/2015-12/31/2016

Everest Re

50.0
%

Bermuda Re

property / casualty business

162,500

325,000

01/01/2017-12/31/2017

Everest Re

60.0
%

Bermuda Re

property / casualty business

219,000

438,000

01/01/2010-12/31/2010

Everest Re- Canadian Branch

60.0
%

Bermuda Re

property business

350,000
⁽¹⁾
-

01/01/2011-12/31/2011

Everest Re- Canadian Branch

60.0
%

Bermuda Re

property business

350,000
⁽¹⁾
-

01/01/2012-12/31/2012

Everest Re- Canadian Branch

75.0
%

Bermuda Re

property / casualty business

206,250
⁽¹⁾
412,500
⁽¹⁾
01/01/2013-12/31/2013

Everest Re- Canadian Branch

75.0
%

Bermuda Re

property / casualty business

150,000
⁽¹⁾
412,500
⁽¹⁾
01/01/2014-12/31/2017

Everest Re- Canadian Branch

75.0
%

Bermuda Re

property / casualty business

262,500
⁽¹⁾
412,500
⁽¹⁾
01/01/2012-12/31/2017

Everest Canada

80.0
%

Everest Re- Canadian Branch

property business

-

-

01/01/2020

Everest International Assurance

100.0
%

Bermuda Re

life business

-

-

(1)
Amounts shown are Canadian dollars.

(Dollars in millions)

Single

Percent

Assuming

Occurrence

Aggregate

Coverage Period

Ceding Company

Ceded

Company

Type of Business

Limit

01/01/2010-12/31/2010

Everest Re

44.0

Bermuda Re

property / casualty business

150

325

01/01/2011-12/31/2011

Everest Re

50.0

Bermuda Re

property / casualty business

150

300

01/01/2012-12/31/2014

Everest Re

50.0

Bermuda Re

property / casualty business

100

200

01/01/2015-12/31/2016

Everest Re

50.0

Bermuda Re

property / casualty business

163

325

01/01/2017-12/31/2017

Everest Re

60.0

Bermuda Re

property / casualty business

219

438

01/01/2010-12/31/2010

Everest Re- Canadian Branch

60.0

Bermuda Re

property business

350

(1)

01/01/2011-12/31/2011

Everest Re- Canadian Branch

60.0

Bermuda Re

property business

350

(1)

01/01/2012-12/31/2012

Everest Re- Canadian Branch

75.0

Bermuda Re

property / casualty business

206

(1)

413

(1)

01/01/2013-12/31/2013

Everest Re- Canadian Branch

75.0

Bermuda Re

property / casualty business

150

(1)

413

(1)

01/01/2014-12/31/2017

Everest Re- Canadian Branch

75.0

Bermuda Re

property / casualty business

263

(1)

413

(1)

01/01/2012-12/31/2017

Everest Canada

80.0

Everest Re- Canadian

Branch

property business

01/01/2020

Everest International Assurance

100.0

Bermuda Re

life business

(1)

Amounts shown are Canadian dollars.

Effective

January 1, 2018,

Everest

Re entered

into a

twelve

month whole

account aggregate

stop loss

reinsurance

contract (“

(“stop

loss

agreement”)

with

Bermuda

Re.

The

stop

loss

agreement

provides

coverage

for

ultimate

net

losses

applicable

net

earned

premiums

above

retention

level,

subject

certain

other

coverage

limits

and

conditions.

The stop loss agreement was most

recently renewed effective

January 1, 2022.

Everest

Re entered

into a

catastrophe

excess of

loss reinsurance

contract

with Bermuda

Re (UK

Branch), effective

January 1, 2021 through December

31, 2021, subject to renewal

thereafter.

The contract provides

Bermuda Re (UK

Branch),

with

100

million

reinsurance

coverage

for

each

catastrophe

occurrence

above

million.

Bermuda

(UK

Branch)

paid

Everest

million

for

this

coverage.

This

contract

was

most

recently

renewed

effective January 1, 2022.

Everest

entered

into

catastrophe

excess

loss

reinsurance

contract

with

Ireland

Re,

effective

February

2021 through

January

31, 2022,

subject

renewal

thereafter.

The contract

provides

Ireland

Re with

up to ~~£100.0~~

€

145

million of reinsurance

coverage for

each catastrophe

occurrence above ~~£40.0~~ €

million. ~~Bermuda~~Ireland Re ~~(UK Branch)~~

paid Everest

Re ~~£3.5~~ €

million for this coverage.

This contract was most recently

renewed effective ~~January 1, 2022.~~

Everest Re entered into a catastrophe excess of loss reinsurance contract with Ireland Re, effective February 1, 2021 through January 31, 2022, subject to renewal thereafter. The contract provides Ireland Re with up to €145.0 million of reinsurance coverage for each catastrophe occurrence above €16.0 million. Ireland Re paid Everest Re €9.8 million for this coverage. This contract was most recently renewed effective

February 1, 2022.

The

table

below

represents

loss

portfolio

transfer

(“LPT”)

reinsurance

agreements

whereby

net

insurance

exposures and reserves were

transferred to an

affiliate.

(Dollars in thousands)
Effective

Transferring

Assuming

% of Business or

Covered Period
Date

Company

Company

Amount of Transfer

of Transfer
10/01/2001

Everest Re (Belgium Branch)

Bermuda Re

100
%

All years
10/01/2008

Everest Re

Bermuda Re

$
747,022

01/01/2002-12/31/2007
12/31/2017

Everest Re

Bermuda Re

$
970,000

All years

(Dollars in millions)

Effective

Transferring

Assuming

% of Business or

Covered Period

Date

Company

Amount of Transfer

of Transfer

10/01/2001

Everest Re (Belgium Branch)

Bermuda Re

100

All years

10/01/2008

Everest Re

Bermuda Re

747

01/01/2002-12/31/2007

12/31/2017

Everest Re

Bermuda Re

970

All years

On December 31,

2017, the

Company entered

into a

LPT agreement

with Bermuda

Re. The

LPT agreement

covers ~~subject loss reserves of $2.3 billion for accident years 2017 and prior. As a result of the LPT agreement, the~~

subject

loss

reserves

2.3

billion

for

accident

years

2017

and

prior.

result

the

LPT

agreement,

the

Company transferred ~~$1.0~~

1.0

billion of cash and

fixed maturity securities

and transferred ~~$970.0~~

970

million of loss reserves

Bermuda

Re.

part

the

LPT

agreement,

Bermuda

will

provide

additional ~~$500.0~~

500

million

adverse

development

coverage

the

subject

loss

reserves.

of ~~March~~

September

30,

2022,

and

December

31, ~~2022,~~

2021,

the

Company

has

reinsurance

recoverable

854

million

and ~~December 31, 2021, the Company has a reinsurance recoverable of $853.9~~

856

million, ~~and $856.4 million,~~

respectively,

recorded

its

balance

sheet due from Bermuda Re.

The

following

tables

summarize

the

significant

premiums

and

losses

ceded

and

assumed

the

Company

affiliated entities:

Three Months Ended

Nine Months Ended

Bermuda Re

September 30,

(Dollars in millions)

2022

2021

2022

2021

Ceded written premiums

279

224

Ceded earned premiums

279

222

Ceded losses and LAE

(2)

(1)

Assumed written premiums

Assumed earned premiums

Assumed losses ~~ceded by the Company to Bermuda Re~~ and ~~Everest International, respectively, and premiums and losses assumed by the Company from Everest Canada, Everest Ireland and Lloyd’s syndicate 2786 for the periods indicated:~~

Three Months Ended
Bermuda Re
March 31,
(Dollars in thousands)
2022

2021
Ceded written premiums
$
92,439

$
70,853
Ceded earned premiums

92,438

70,877
Ceded losses and LAE

(1,845)

(30,104)

Assumed written premiums

2,257

-
Assumed earned premiums

3,439

61
Assumed losses and LAE

(194)

25

Three Months Ended
Everest International & Canada
March 31,
(Dollars in thousands)
2022

2021
Assumed written premiums

-

-
Assumed earned premiums

-

-
Assumed losses and LAE

8,055

59

Three Months Ended
Ireland Re
March 31,
(Dollars in thousands)
2022

2021
Assumed written premiums
$
2,302

$
2,923
Assumed earned premiums

2,512

1,948
Assumed losses and LAE

2,441

-

Three Months Ended
Ireland Insurance
March 31,
(Dollars in thousands)
2022

2021
Assumed written premiums
$
1,959

$
1,301
Assumed earned premiums

1,640

1,262
Assumed losses and LAE

6,391

698

Three Months Ended
Lloyd's Syndicate 2786
March 31,
(Dollars in thousands)
2022

2021
Assumed written premiums
$
(7)

$
599
Assumed earned premiums

(7)

529
Assumed losses and LAE

254

(1,582)

LAE

Three Months Ended

~~The following table summarizes the~~

Nine Months Ended

Ireland Re

September 30,

(Dollars in millions)

2022

2021

2022

2021

Assumed written premiums

Assumed earned premiums

Assumed losses and LAE

(4)

(2)

Three Months Ended

Nine Months Ended

Ireland Insurance

September 30,

(Dollars in millions)

2022

2021

2022

2021

Assumed written premiums

Assumed earned premiums

Assumed losses and LAE

The

following

table

summarizes

the

premiums

and

losses

that

are

ceded

the

Company

Mt.

Logan

segregated accounts and

assumed by the Company from Mt. Logan

Re segregated accounts.

Three Months Ended
Mt. Logan Re Segregated Accounts
March 31,
(Dollars in thousands)
2022

2021
Ceded written premiums
$
40,665

$
81,371
Ceded earned premiums

42,484

65,988
Ceded losses and LAE

36,764

72,994

Three Months Ended

Nine Months Ended

Mt. Logan Re Segregated Accounts

September 30,

(Dollars in millions)

2022

2021

2022

2021

Ceded written premiums

122

226

Ceded earned premiums

122

212

Ceded losses and LAE

142

192

14.

INCOME TAXES

The

Company

domiciled

the

United

States

and

has

subsidiaries

domiciled

within

the

United

States

with

significant branches

in Canada and

Singapore. The

Company’s

non-U.S. branches

are subject to

income taxation

varying rates in their respective

domiciles.

The Company generally applies

the estimated annual effective

tax rate approach

for calculating its tax provision

for

interim

periods

as prescribed

ASC 740-270,

Interim

Reporting.

Under the

estimated

annual

effective

tax

rate

approach,

the

estimated

annual

effective

tax

rate

applied

the

interim

year-to-date

pre-tax

income/(loss)to

determine

the

income

tax

expense

benefit

for

the

year-to-date

period.

The

tax

expense

benefit

for

the

quarter

represents

the

difference

between

the

year-to-date

tax

expense

benefit

for

the

current

year-to-date

period less such

amount for

the immediately

preceding year-to-date

period. Management

considers the

impact of

all known events in its estimation of the Company’s

annual pre-tax income/(loss) and effective

tax rate.

15.

~~15.~~ SUBSEQUENT EVENTS

The

Company

has

evaluated

known

recognized

and

non-recognized

subsequent

events.

The

Company

does

not

have any subsequent

events to report.

ITEM 2.

MANAGEMENT’S DISCUSSION AND ANALYSIS

OF FINANCIAL CONDITION

AND RESULTS OF

OPERATION

Industry Conditions.

The

worldwide

reinsurance

and

insurance

businesses

are

highly

competitive,

well

cyclical

product

and

market.

such,

financial

results

tend

fluctuate

with

periods

constrained

availability,

higher

rates

and

stronger

profits followed

by periods

of abundant

capacity,

lower rates

and constrained

profitability.

Competition

the

types

reinsurance

and

insurance

business

that

underwrite

based

many

factors,

including

the

perceived

overall

financial

strength

the

reinsurer

insurer,

ratings

the

reinsurer

insurer

A.M.

Best

and/or

Standard

Poor’s,

underwriting

expertise,

the

jurisdictions

where

the

reinsurer

insurer

licensed

otherwise

authorized,

capacity

and

coverages

offered,

premiums

charged,

other

terms

and

conditions

the

reinsurance

and

insurance

business

offered,

services

offered,

speed

claims

payment

and

reputation

and

experience in lines written.

Furthermore, the market impact

from these competitive factors

related to reinsurance

and

insurance

generally

not

consistent

across

lines

of business,

domestic

and

international

geographical

areas

and distribution channels.

compete

in the

U.S. and

international

reinsurance

and insurance

markets

with numerous

global competitors.

Our

competitors

include

independent

reinsurance

and

insurance

companies,

subsidiaries

affiliates

established

worldwide

insurance

companies,

reinsurance

departments

of certain

insurance

companies,

domestic

and international underwriting operations,

and certain government sponsored

risk transfer vehicles. Some of these

competitors

have greater

financial resources

than we

do and

have established

long term

and continuing

business

relationships,

which

can

be a

significant

competitive

advantage.

addition,

the

lack

of strong

barriers

entry

into

the

reinsurance

business

and

recently,

the

securitization

reinsurance

and

insurance

risks

through

capital

markets provide additional

sources of potential reinsurance

and insurance capacity and competition.

Worldwide

insurance

and reinsurance

market

conditions historically

have been

competitive.

Generally,

there was

ample

insurance

and

reinsurance

capacity

relative

demand,

well

additional

capital

from

the

capital

markets through

insurance linked

financial instruments.

These financial instruments

such as side

cars, catastrophe

bonds and collateralized

reinsurance funds,

provided capital

markets with

access to insurance

and reinsurance

risk

exposure.

The

capital

markets

demand

for

these

products

was

being

primarily

driven

low

interest

environment

and

the

desire

achieve

greater

risk

diversification

and

potentially

higher

returns

their

investments.

This

increased

competition

was

generally

having

negative

impact

rates,

terms

and

conditions;

however,

the

impact

varies

widely

market

and

coverage.

Based

recent

competitive

behaviors

the

insurance

and reinsurance

activity,

natural

catastrophe

events and

the macroeconomic

backdrop,

there has

been

some dislocation

in the

market which

should have

a ~~low interest environment and the desire to achieve greater risk diversification and potentially higher returns on their investments. This increased competition was generally having a negative~~ positive

impact on

rates ~~terms~~

and ~~conditions; however, the impact varies widely by~~terms

and conditions

generally,

though local market ~~and coverage.~~

The industry continues to deal with the impacts of a global pandemic, COVID-19 and its subsequent variants. We continue to service and meet the needs of our clients while ensuring the safety and health of our employees and customers.

~~Prior to the pandemic, there was a growing industry consensus that there was some firming of (re)insurance rates for the areas impacted by the recent catastrophes.~~ specificities can

vary widely.

The increased

frequency

of catastrophe

losses ~~that continued to be~~

experienced

throughout

2021 and

thus far

2022 ~~and throughout 2021~~ appears

be ~~further~~

pressuring the

increase of

rates.

As business

activity continues

to regain

strength

after the

pandemic and

current

macroeconomic

uncertainty,

rates ~~also~~

appear to

be firming

in most

lines of

business, particularly

in the

casualty lines

that had seen significant losses such

as excess casualty and directors’

and officers’ liability.

Other casualty lines are

experiencing

modest

rate

increase,

while

some

lines

such

workers’

compensation

were

experiencing

softer

market

conditions.

too

early

tell

what

the

impact

pricing

conditions

will

be,

but

likely

change

depending on the line of business and geography.

While we are

unable to

predict the

full impact the

pandemic will have

on the insurance

industry as

it continues

have

negative

impact

the

global

economy,

are

well

positioned

continue

service

our

clients.

Our

capital

position

remains

source

strength,

with

high

quality

invested

assets,

significant

liquidity

and

low

operating expense

ratio. Our diversified

global platform with

its broad mix of

products, distribution

and geography

is resilient.

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. To the best of our knowledge at this time, the Company has limited financial exposure related to the Russian invasion of the Ukraine. However, given the ongoing nature of the war and the high degree of uncertainty around both exposures and coverage, a reasonable estimation of potential loss is not credible at this time.

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

$25

million

incurred

underwriting

losses

the

Ukraine

and

Russia

conflict

the

nine

months

ended

September 30, 2022.

Financial Summary.

monitor

and

evaluate

our

overall

performance

based

upon

financial

results.

The

following

table

displays

summary of the consolidated net income (loss), ratios

and stockholder’s equity for

the periods indicated:

Three Months Ended

Percentage

March 31,

Increase/
(Dollars in millions)
2022

2021

(Decrease)
Gross written premiums
$
2,205.0

$
2,133.3

3.4%
Net written premiums

1,796.2

1,765.3

1.7%

REVENUES:

Premiums earned
$
1,828.6

$
1,696.9

7.8%
Net investment income

156.1

147.7

5.7%
Net gains (losses) on investments

(226.6)

135.0

NM
Other income (expense)

(9.4)

4.0

NM
Total revenues

1,748.7

1,983.6

-11.8%

CLAIMS AND EXPENSES:

Incurred losses and loss adjustment expenses

1,225.7

1,354.1

-9.5%
Commission, brokerage, taxes and fees

384.6

349.9

9.9%
Other underwriting expenses

117.8

109.8

7.3%
Corporate expense

5.8

4.6

25.9%
Interest, fee and bond issue cost amortization expense

24.1

15.5

55.0%
Total claims and expenses

1,757.9

1,833.8

-4.1%

INCOME (LOSS) BEFORE TAXES

(9.2)

149.8

-106.1%
Income tax expense (benefit)

(10.2)

30.3

-133.7%
NET INCOME (LOSS)
$
1.1

$
119.4

-99.1%

RATIOS:

Point
Change
Loss ratio

67.0%

79.8%

(12.8)
Commission and brokerage ratio

21.0%

20.6%

0.4
Other underwriting expense ratio

6.4%

6.5%

(0.1)
Combined ratio

94.5%

106.9%

(12.4)

At

At

Percentage

March 31,

December 31,

Increase/
(Dollars in millions)
2022

2021

(Decrease)
Balance sheet data:

Total investments and cash
$
19,540.5

$
19,718.8

-0.9%
Total assets

27,305.5

27,695.0

-1.4%
Loss and loss adjustment expense reserves

13,403.6

13,121.2

2.2%
Total debt

3,088.9

3,088.6

0.0%
Total liabilities

20,659.5

20,656.9

0.0%
Stockholder's equity

6,646.0

7,038.0

-5.6%

(Some amounts may not reconcile due to rounding)
(NM, not meaningful)

Three Months Ended

~~Revenues.~~

~~Premiums.~~

Percentage

Nine Months Ended

Percentage

September 30,

Increase/

September 30,

Increase/

(Dollars in millions)

2022

2021

(Decrease)

2022

2021

(Decrease)

Gross written premiums

2,585

2,524

2.4%

7,227

6,974

3.6%

Net written premiums

2,228

2,069

7.7%

6,019

5,763

4.4%

REVENUES:

Premiums earned

2,104

1,851

13.6%

5,887

5,315

10.8%

Net investment income

124

197

-36.8%

457

593

-22.9%

Net gains (losses) on investments

(237)

(51)

(842)

267

Other income (expense)

-30.0%

(2)

-116.7%

Total revenues

1,998

2,007

-0.5%

5,500

6,187

-11.1%

CLAIMS AND EXPENSES:

Incurred losses and loss adjustment expenses

2,094

1,653

26.7%

4,624

4,103

12.7%

Commission, brokerage, taxes and fees

423

389

8.7%

1,216

1,126

8.0%

Other underwriting expenses

127

110

16.3%

365

329

11.0%

Corporate expense

-54.6%

-28.1%

Interest, fee and bond issue cost amortization expense

62.1%

58.1%

Total claims and expenses

2,675

2,178

22.8%

6,296

5,627

11.9%

INCOME (LOSS) BEFORE TAXES

(677)

(171)

(796)

560

-242.1%

Income tax expense (benefit)

(135)

(28)

(170)

118

-244.1%

NET INCOME (LOSS)

(542)

(143)

(626)

442

-241.6%

RATIOS:

Point

Change

Point

Change

Loss ratio

99.6%

89.3%

10.3

78.6%

77.2%

1.4

Commission and brokerage ratio

20.1%

21.0%

(0.9)

20.7%

21.2%

(0.5)

Other underwriting expense ratio

6.1%

5.9%

0.2

6.2%

Combined ratio

125.7%

116.2%

9.5

105.4%

104.6%

0.8

Percentage

September 30,

December 31,

Increase/

(Dollars in millions)

2022

2021

(Decrease)

Balance sheet data:

Total investments and cash

18,946

19,719

-3.9%

Total assets

27,656

27,695

-0.1%

Loss and loss adjustment expense reserves

14,849

13,121

13.2%

Total debt

3,084

3,089

-0.2%

Total liabilities

22,322

20,657

8.1%

Stockholder's equity

5,334

7,038

-24.2%

(Some amounts may not reconcile due to rounding)

(NM, not meaningful)

Revenues.

Premiums.

Gross written

premiums increased

by 2.4%

to $2.6

billion for

the three

months

ended September

30,

2022, compared

to $2.5

billion for

the three

months ended

September 30,

2021, reflecting

a $74

million, or 8.9%,

increase in our insurance

business and a $13 million, or 0.7%,

decrease in our reinsurance

business. The increase in

insurance

premiums reflects

growth across

most lines

of business

driven by

positive rate

and exposure

increases,

new business,

and strong

renewal retention.

The decrease

in reinsurance

premiums was

mainly due to

a decline in

property

pro

rata

business,

partially

offset

increase

casualty

pro

rata

business.

Gross

written

premiums

increased by

3.6% to $7.2

billion for

the nine months

ended September

30, 2022, compared

to $7.0 billion

for the

nine

months

ended

September

30,

2021,

reflecting

$351

million,

14.5%,

increase

our

insurance

business

and

$98

million,

2.2%,

decrease

our

reinsurance

business.

The

increase

insurance

premiums

reflects

growth

across

most

lines

business

driven

positive

rate

and

exposure

increases,

new

business,

and

strong

renewal retention.

The decrease in reinsurance

premiums was mainly

due to a decline

property pro rata

business,

partially offset by an increase in casualty

pro rata business.

Net

written

premiums

increased

7.7%

$2.2

billion

for

the

three

months

ended

September

30,

2022,

compared to $2.1 billion

for the three

months ended September

30,

2021 and increased

by 4.4% to $6.0 billion

for

the nine

months ended

September 30,

2022, compared

to $5.8

billion for

the nine

months ended

September 30,

2021.

The

higher

percentage

increases

net

written

premiums

compared

gross

written

premiums

were

primarily due

a reduction

in business

ceded to

the segregated

accounts

of Mt.

Logan

Re during

the three

and

nine

months

ended

September

30,

2022

compared

the

three

and

nine

months

ended

September

30,

2021.

Premiums earned increased by ~~3.4%~~13.6% to ~~$2.2~~

$2.1 billion for the three months ended ~~March 31,~~

September 30, 2022, compared to ~~$2.1~~

$1.9 billion

for

the three

months

ended September

30,

2021 and

increased

10.8%

$5.9 billion

for

the nine

months ended September

30, 2022, compared

to $5.3 billion

for the ~~three~~ nine

months ended ~~March 31, 2021, reflecting a $112.1 million, or 15.7%, increase~~ September

30, 2021. The

change

in ~~our Insurance business and a $40.4 million, or 2.8%, decrease in our reinsurance business. The rise in insurance~~

premiums ~~was~~

earned

relative

net

written

premiums

primarily ~~due to increases in specialty casualty business and other specialty business. The decrease in reinsurance~~

the

result

timing;

premiums ~~was mainly due to a decline property pro rata business.~~

~~Net~~

are

earned ratably

over the

coverage

period whereas

written premiums ~~increased by 1.7% to $1.80 billion for~~

are recorded

at the three months ended March 31, 2022, compared to $1.77 billion for the three months ended March 31, 2021, which is consistent with the change in gross written premiums. Premiums earned increased by 7.8% to $1.8 billion for the three months ended March 31, 2022, compared to $1.7 billion for the three months ended March 31, 2021. The change in premiums earned relative to net written premiums is primarily the result

initiation of ~~timing; premiums are earned ratably over~~

the coverage ~~period whereas~~

period.

Accordingly,

the

significant

increases

gross

written

premiums ~~are recorded at~~

from

pro

rata

business

during

the ~~initiation of the coverage period. Accordingly, the significant increases in gross written premiums from pro rata business during the~~

latter

half of 2021 contributed to the current quarter

percentage increase in net earned premiums.

Other

Income

(Expense).

recorded

other

income

million

and

$10

million

for

the

three

months

ended

September

30,

2022

and

2021,

respectively.

recorded

other

expense

of ~~$9.4~~

million

and

other

income

of ~~$4.0~~

$12

million for the ~~three~~nine months

ended ~~March 31,~~September 30, 2022 and

2021,~~, respectively~~. respectively.

The change was primarily the

result

of fluctuations in foreign currency exchange

rates.

Net Investment Income.

Refer to Consolidated

Investments Results Section below.

Net Gains (Losses) on Investments.

Refer to Consolidated Investments

Results Section below.

Claims and Expenses.

Incurred

Losses

and

Loss

Adjustment

Expenses.

The

following

table

presents

our

incurred

losses

and

loss

adjustment expenses (“LAE”) for

the periods indicated.

Three Months Ended March 31,

Current

Ratio %/

Prior

Ratio %/

Total

Ratio %/
(Dollars in millions)
Year

Pt Change

Years

Pt Change

Incurred

Pt Change
2022

Attritional
$
1,138.5

62.3%

$
-

0.0%

$
1,138.5

62.3%

Catastrophes

80.5

4.4%

6.7

0.4%

87.2

4.8%

Total
$
1,218.9

66.7%

$
6.7

0.4%

$
1,225.7

67.0%

2021

Attritional
$
1,078.4

63.6%

$
(1.0)

-0.1%

$
1,077.4

63.5%

Catastrophes

260.5

15.4%

16.2

1.0%

276.7

16.4%

Total
$
1,338.9

79.0%

$
15.2

0.9%

$
1,354.1

79.8%

Variance 2022/2021

Attritional
$
60.1

(1.3)
pts

$
1.0

0.1
pts

$
61.1

(1.2)
pts
Catastrophes

(180.0)

(11.0)
pts

(9.4)

(0.6)
pts

(189.5)

(11.6)
pts
Total
$
(119.9)

(12.3)
pts

$
(8.4)

(0.5)
pts

$
(128.4)

(12.8)
pts

Three Months Ended September 30,

Current

Ratio %/

Prior

Ratio %/

Total

Ratio %/

(Dollars in millions)

Year

Pt Change

Years

Pt Change

Incurred ~~losses and LAE decreased by 9.5% to $1.2 billion for the three months ended March 31,~~

Pt Change

2022 ~~compared to $1.4 billion for the three months ended March 31,~~

Attritional

1,260

59.9%

0.3%

1,267

60.2%

Catastrophes

826

39.2%

0.1%

827

39.3%

Total

2,086

99.1%

0.4%

2,094

99.6%

2021 ~~primarily~~

Attritional

1,112

60.0%

0.0%

1,112

60.0%

Catastrophes

544

29.4%

(3)

-0.1%

541

29.3%

Total

1,656

89.4%

(3)

-0.1%

1,653

89.3%

Variance 2022/2021

Attritional

148

(0.1)

pts

0.3

pts

155

0.2

pts

Catastrophes

282

9.8

pts

0.2

pts

286

10.0

pts

Total

430

9.7

pts

0.5

pts

441

10.3

pts

Nine Months Ended September 30,

Current

Ratio %/

Prior

Ratio %/

Total

Ratio %/

(Dollars in millions)

Year

Pt Change

Years

Pt Change

Incurred

Pt Change

2022

Attritional

3,636

61.8%

0.1%

3,643

61.9%

Catastrophes

971

16.5%

0.2%

981

16.7%

Total

4,607

78.3%

0.3%

4,624

78.6%

2021

Attritional

3,267

61.5%

(2)

0.0%

3,265

61.5%

Catastrophes

840

15.8%

(2)

0.0%

837

15.8%

Total

4,106

77.3%

(4)

0.0%

4,103

77.2%

Variance 2022/2021

Attritional

369

0.3

pts

0.1

pts

378

0.5

pts

Catastrophes

131

0.7

pts

0.2

pts

144

0.9

pts

Total

500

1.0

pts

0.3

pts

522

1.4

pts

(Some amounts may not reconcile due to ~~a decline~~ rounding.)

Incurred

losses

and

LAE

increased

26.7%

$2.1

billion

for

the

three

months

ended

September

30,

2022

compared

$1.7 billion

for

the

three

months

ended

September

30,

2021, primarily

due

increase

of ~~$180.0~~ $148

million

current

year

attritional

losses

and

increase

$282

million

current

year

catastrophe

losses.

The

increase in

current

year attritional

losses was

mainly due

the impact

of the

increase

in premiums

earned. The

current year

catastrophe losses, partially offset by an increase of $60.1 million in current year attritional losses. The increase in current year attritional losses was mainly due to the impact of the increase in premiums earned. ~~The current year catastrophe~~

losses of ~~$80.5~~ $826

million for the

three months

ended ~~March 31,~~September

30, 2022 mainly

related to

Hurricane

Ian

($769

million),

Hurricane

Fiona

($25

million),

Typhoon

Nanmadol

($20

million),

and

the

2022 ~~Australia floods~~

Western

Europe hailstorms

($9 million).

The current

year catastrophe

losses of

$544 million

for the

three months

ended September 30, 2021 related to

Hurricane Ida ($~~70.5~~431 million) and the Europeans floods

($113 million).

Incurred

losses

and

LAE

increased

12.7%

$4.6

billion

for

the

nine

months

ended

September

30,

2022

compared

$4.1

billion

for

the

nine

months

ended

September

30,

2021,

primarily

due

increase

$369

million

current

year

attritional

losses

and

increase

$131

million

current

year

catastrophe

losses.

The

increase

in current

year

attritional

losses

was

mainly due

the impact

of the

increase

in premiums

earned and

$25

million

attritional

losses

incurred

due

the

Ukraine/Russia

war.

The

current

year

catastrophe

losses

$971

million

for

the

nine

months

ended

September

30,

2022

Hurricane

Ian

($769

million),

the

2022

Australia

floods

($74

million),

the

2022

South

Africa

flood

($38

million),

Hurricane

Fiona

($25

million),

Typhoon

Nanmadol

($20 million),

the

2022 Canada

derecho

($16 million),

the 2022

2nd quarter

U.S.

storms

($12 million),

the

2022 We

stern

Europe

hailstorms

($9 million)

and

the

2022 March

U.S.

storms ~~($10.0~~

($8

million).

The current

year ~~catastrophe~~

catastrophe

losses of ~~$260.5~~

$840 million

for the ~~three~~

nine months

ended ~~March 31,~~September

30, 2021

primarily related

to Hurricane

Ida ($431

million), the

Texas

winter storms ~~($253.0~~

($279 million),

and the

European floods

($113 million)

with the

rest of

the losses emanating from the 2021 Australia

floods ~~($7.5 million).~~

and Victoria Australia flooding.

Commission, Brokerage,

Taxes

and Fees.

Commission, brokerage,

taxes and

fees increased

to ~~$384.6~~$423 million

for the

three

months

ended

September

30,

2022

compared

$389

million

for

the

three

months

ended

September

30,

2021. Commission,

brokerage,

taxes

and fees

increased

to $1.2

billion for

the nine

months

ended September

30,

2022 compared

to $1.1

billion for

the nine

months ended~~March 31, 2022~~ ~~compared to $349.9 million for the three months ended~~ ~~March 31, 2021~~.

September 30,

2021. The ~~increase was~~

increases

were mainly

due to

the impact of the increase in premiums earned and changes

in the mix of business.

Other Underwriting Expenses.

Other underwriting ~~expenses~~ expense

increased to ~~$117.8~~

$127 million for

the three months

ended ~~March 31,~~

September

30,

2022

compared

to ~~$109.8~~

$110

million

for

the

three

months

ended ~~March 31,~~

September

30,

2021.

Other

underwriting

expenses

increased

$365

million

for

the

nine

months

ended

September

30,

2022

compared

$329

million

for

the

nine

months

ended

September

30,

2021.

The

increases

were

mainly

due

the

impact

increase in premiums earned and costs incurred

to support the expansion of the insurance business.

Corporate

Expenses.

Corporate

expenses,

which

are

general

operating

expenses

that

are

not

allocated

segments,

have

decreased

million

from

$11

million

for

the

three

months

ended

September

30,

2022

and

2021, respectively

and decreased

to ~~segments, have increased to $5.8~~ $17

million from ~~$4.6~~

$23 million

for the ~~three~~

nine months

ended ~~March 31,~~September

30, 2022

and 2021, respectively.

The ~~increase was~~variances are mainly due to ~~higher~~changes

in variable incentive compensation ~~costs from increased staff count.~~

expenses.

Interest, Fees

and Bond Issue Cost

Amortization Expense.

Interest, fees

and other bond amortization

expense was ~~$24.1~~

$26 million and ~~$15.5~~

$16 million for

the three months

ended ~~March 31,~~ September

30, 2022

and 2021, respectively.

Interest, fees

and other

bond amortization

expense was

$74 million

and $47

million for

the nine

months

ended September

30,

2022 and 2021,

respectively.

The ~~variance~~ variances

in ~~expense was~~expenses

were primarily

due to the

issuance of $1.0

billion of senior

notes in

October 2021. Interest

expense was

also impacted

by the movements

in the floating

interest rate

to the ~~long term~~long-term subordinated

notes, which is reset

quarterly per the note

agreement. The floating

rate was ~~2.89%~~ 5.29%

as of ~~March 31,~~ September 30,

2022.

Income Tax

Expense (Benefit).

We had

income tax benefit

of ~~$10.2~~$135 million

and ~~income tax expense of $30.3~~$170 million

for the three ~~months ended March 31, 2022~~

and nine

months

ended

September

30,

2022,

respectively.

had

income

tax

benefit

$28

million

and

income

tax

expense

$118

million

for

the

three

and

nine

months

ended

September

30,

2021,,

respectively. I~~ncome~~

Income

tax

expense is

primarily a

function of

the geographic

location of

the Company’s

pre-tax

income and

the statutory

tax

rates

in those

jurisdictions.

The effective

tax

rate

(“ETR”) is

primarily affected

by ~~tax-exempt~~ tax

-exempt

investment

income,

foreign tax

credits and

dividends. Variations

in the

ETR generally

result from

changes in

the relative

levels of ~~pre-tax~~

pre-

tax

income,

including

the

impact

of catastrophe

losses,

foreign

exchange

gains

(losses)

and

net

gains

(losses)

investments, among jurisdictions with different

tax rates.

On August 16, 2022, the Inflation Reduction

Act of 2022 (“IRA”) was enacted. We

have evaluated

the tax provisions

the

IRA,

the

most

significant

which

are

the

corporate

alternative

minimum

tax

and

the

repurchase

excise tax and do not expect

the legislation to have a material

impact on our results of operations. As the

IRS issues

additional guidance, we will evaluate any

impact to our consolidated financial statements.

Net Income (Loss).

Our

net

loss

was

$542

million

and

$143

million,

for

the

three

months

ended

September

30,

2022

and

2021

respectively.

Our

net

loss

was

$626

million

and

net

income

was

$442

million,

for

the

nine

months

ended

September

30,

2022

and

2021

respectively.

The

changes

were

primarily

driven

the

financial

component

fluctuations explained above.

Ratios.

Our ~~net income was $1.1 million and $119.4 million,~~combined ratio

increased by 9.5

points to 125.7% for

the three months

ended ~~March 31,~~ September 30,

2022, compared

116.2%

for

the

three

months

ended

September

30,

2021

and ~~2021 respectively. The changes were primarily driven~~

increased

0.8

points

105.4%

for

the ~~financial component fluctuations explained above.~~

~~Ratios.~~

~~Our combined ratio decreased by 12.4 points~~

nine

months ended September

30, 2022 compared

to ~~94.5%~~ 104.6%

for the ~~three~~ nine

months ended ~~March 31, 2022, compared to 106.9%~~ September

30, 2021. The loss

ratio

component increased

by 10.3

points for

the three

months ended ~~March 31, 2021~~.

September 30,

2022 over

the same

period

last

year

mainly due

an increase

of $282

million

current

year

catastrophe

losses. The

loss

ratio

component ~~decreased 12.8~~

increased by 1.4

points for

the ~~three~~nine months

ended ~~March 31,~~ September 30,

2022 over the

same period last

year mainly due

to ~~a decline~~an

increase of ~~$180.0~~

$131 million

in current

year catastrophe ~~losses.~~

losses, and

$25 million

in current

year attritional

losses

due to the Ukraine

Russia conflict incurred in

2022. The commission and brokerage

ratio components ~~increased slightly~~ decreased

20.1%

for

the

three

months

ended

September

30,

2022

compared

21.0%

for

the

three

months

ended

September 30,

2021 and

decreased to

20.7% for

the nine

months ended

September 30,

2022 compared

to ~~21.0%~~ 21.2%

for the ~~three~~nine months

ended ~~March 31, 2022~~ ~~compared to 20.6%~~ ~~for the three months ended March 31, 2021~~ September 30, 2021. These

changes were mainly due

to changes in the mix

of business.

The

other

underwriting

expense

ratios ~~decreased~~

increased

slightly

to ~~6.4%~~

6.1%

from

5.9%

for

the

three

months

ended

September 30, 2022 and

2021, respectively and

remained the same at

6.2%

for the ~~three~~nine months

ended ~~March 31,~~September

30, 2022 ~~compared to 6.5%~~ ~~for the three months ended March 31,~~and 2021,.

respectively.

Stockholder's Equity.

Stockholder’s equity

decreased by ~~$392.0 million~~

$1.7 billion to ~~$6.6~~

$5.3 billion at ~~March 31,~~

September 30, 2022

from $7.0 billion

at December

31,

2021,

principally

result

of ~~$392.0~~

$1.0

billion

net

unrealized

depreciation

investments,

net

tax,

$626

million of

net loss

and $41 million

of net

foreign currency

translation

adjustments,

partially offset

by $2

million of

net benefit

plan obligation

adjustments,

net of

tax. The

movement in

the unrealized

depreciation on

investments net of tax and $1.9 million of net foreign currency translation adjustments, partially offset by $1.1 million of net income and $0.8 million of net benefit plan obligation adjustments, net of tax. The movement in the unrealized depreciation on investments

was driven by the change in interest

rates on the Company’s

fixed maturity portfolio.

Consolidated Investment

Results

Net Investment Income.

Net investment

income ~~increased~~ decreased

to ~~$156.1~~ $124

million for

the three

months

ended September

30, 2022

compared

$197 million

for the

three

months

ended September

30, 2021.

Net investment

income decreased

to $457

million

for the

nine months

ended September

30, 2022

compared

to $593

million for

the nine

months ended ~~March 31, 2022 compared to $147.7 million for~~

September

30,

2021.

The

decreases

were

primarily

the ~~three months ended March 31, 2021.~~

result

reductions

income

from

limited

partnerships

and

other

alternative

investments,

partially

offset

increase

income

from

fixed

maturity

securities.

The ~~increase was primarily the result of increases in income from fixed maturity securities and other alternative investments, partially offset by a decline in income from~~

limited ~~partnerships. The limited~~

partnership

income primarily

reflects ~~increases~~ changes

in their

reported

net asset

values. As

such, until

these asset

values

are

monetized

and

the

resultant

income

distributed,

they

are

subject

future

increases

decreases

the

asset value, and the results may be volatile.

The following table shows the components

of net investment income for

the periods indicated:

Three Months Ended

March 31,
(Dollars in millions)
2022

2021
Fixed maturities
$
94.4

$
85.1
Equity securities

4.2

2.9
Short-term investments and cash

0.2

0.1
Other invested assets

Limited partnerships

43.5

52.2
Dividends from preferred shares of affiliate

7.8

7.8
Other

11.8

6.0
Gross investment income before adjustments

161.9

154.1
Funds held interest income (expense)

2.8

3.5
Interest income from Parent

1.8

1.3
Gross investment income

166.5

158.9
Investment expenses

10.4

11.2
Net investment income
$
156.1

$
147.7

(Some amounts may not reconcile due to rounding.)

Three Months Ended

Nine Months Ended

September 30,

(Dollars in millions)

2022

2021

2022

2021

Fixed maturities

129

339

260

Equity securities

Short-term investments and cash

Other invested assets

Limited partnerships

(25)

260

Dividends from preferred shares of affiliate

Other

Gross investment income before adjustments

132

208

482

617

Funds held interest income (expense)

Interest income from Parent

Gross investment income

137

210

494

629

Investment expenses

Net investment income

124

197

457

593

(Some amounts may not reconcile due to rounding.)

The following table shows a comparison

of various investment yields

for the periods indicated.

Three Months Ended

March 31,

2022

2021
Annualized pre-tax yield on average cash and invested assets
3.3%

3.8%
Annualized after-tax yield on average cash and invested assets
2.6%

3.1%

Three Months Ended

Nine Months Ended

September 30,

2022

2021

2022

2021

Annualized pre-tax yield on average cash and invested assets

2.5%

4.7%

3.1%

4.9%

Annualized after-tax yield on average cash and invested assets

2.0%

3.7%

2.5%

3.9%

Net Gains (Losses) on Investments.

The following table presents the composition

of our net gains (losses) on investments

for the periods indicated:

Three Months Ended March 31,
(Dollars in millions)

2022

2021

Variance
Realized gains (losses) from dispositions:

Fixed maturity securities

Gains

$
3.2

$
6.3

$
(3.2)
Losses

(8.2)

(2.4)

(5.8)
Total

(5.1)

3.9

(9.0)
Equity securities, fair value

Gains

3.5

12.3

(8.8)
Losses

(11.8)

(6.1)

(5.7)
Total

(8.3)

6.2

(14.5)
Other invested assets

Gains

4.3

1.4

2.9
Losses

(0.3)

(0.1)

(0.2)
Total

3.9

1.3

2.6
Short Term Investments:

Gains

-

-

-
Losses

(0.1)

-

(0.1)
Total

(0.1)

-

(0.1)
Total net realized gains (losses) from dispositions

Gains

10.9

20.1

(9.1)
Losses

(20.5)

(8.6)

(11.9)
Total

(9.6)

11.5

(21.0)

Allowances for credit losses:

(1.6)

(7.1)

5.5

Gains (losses) from fair value adjustments:

Equity securities, fair value

(130.8)

37.6

(168.4)
Other invested assets, fair value

(84.6)

93.1

(177.7)
Total

(215.4)

130.6

(346.0)

Total net gains (losses) on investments

$
(226.6)

$
135.0

$
(361.6)

(Some amounts may not reconcile due to rounding.)

Three Months Ended September 30,

Nine Months Ended September 30,

(Dollars in millions)

2022

2021

Variance

2022

2021

Variance

Realized gains (losses) from dispositions:

Fixed maturity securities available for sale

Gains

(8)

(17)

Losses

(46)

(6)

(40)

(67)

(13)

(54)

Total

(45)

(48)

(60)

(71)

Equity securities, fair value

Gains

Losses

(2)

(3)

(48)

(11)

(37)

Total

Other invested assets

Gains

Losses

(1)

(4)

(2)

Total

Total net realized gains (losses) from dispositions

Gains

Losses

(49)

(10)

(39)

(119)

(27)

(92)

Total

(29)

(52)

Allowances for credit losses:

(12)

(7)

(5)

(12)

(30)

Gains (losses) from fair value adjustments:

Equity securities, fair value

(134)

(4)

(130)

(451)

137

(588)

Other invested assets, fair value

(111)

(44)

(67)

(350)

137

(487)

Total

(245)

(48)

(197)

(801)

274

(1,075)

Total net gains (losses) on investments

(237)

(51)

(186)

(842)

267

(1,109)

(Some amounts may not reconcile due to rounding.)

Net gains (losses) on investments

during the three months ended ~~March 31,~~

September 30, 2022 primarily relate

to net losses

from

fair

value

adjustments

equity

securities

$134

million

result

equity

market

declines

during

the

third quarter

of 2022,

net losses

of $111

million from

fair value

adjustments

on other

invested

assets, $20

million

net

realized

gains

from

disposition

investments

and

$12

million

credit

allowances

fixed

maturity

securities.

Net gains

(losses) on investments

during the nine

months ended September

30, 2022 primarily

relate to

net losses

from fair value adjustments

on equity securities ~~in the amount~~ of ~~$130.8~~$451 million as a result of equity

market declines during the first ~~quarter~~

nine months of 2022, ~~and~~ net losses of ~~$84.6~~$350 million from

fair value adjustments

on other invested ~~assets.~~

assets,

$29 million of

net

realized

losses

from

disposition

investments

and

$12

million

credit

allowances

fixed

maturity securities.

Segment Results.

The Company

manages its

reinsurance

and insurance

operations

as autonomous

units and

key

strategic

decisions

are based on the aggregate operating

results and projections for these segments

of business.

The

Reinsurance

operation

writes

risks

worldwide

basis

property

and

casualty

reinsurance

and

specialty

lines of business, on both a treaty and facultative

basis, through reinsurance brokers,

as well as directly with ceding

companies.

Business

written

the

United

States

well as

through

branches

Canada

and

Singapore.

The

Insurance operation

writes property and

casualty insurance directly

and through brokers,

surplus lines brokers

and

general agents within the United States.

These segments

are

managed

independently,

but

conform

with corporate

guidelines

with respect

pricing, risk

management,

control

aggregate

catastrophe

exposures,

capital,

investments

and

support

operations.

Management generally monitors

and evaluates the financial performance

of these operating segments

based upon

their underwriting results.

Underwriting

results

include

earned

premium

less

losses

and

LAE

incurred,

commission

and

brokerage

expenses

and other underwriting expenses.

We measure our underwriting results

using ratios, in particular loss, commission

and brokerage

and other underwriting

expense ratios,

which respectively,

divide incurred

losses, commissions

and

brokerage and other ~~underwriting expense ratios, which respectively, divide incurred losses, commissions and brokerage and other~~

underwriting expenses by premiums earned.

The

Company

does

not

maintain

separate

balance

sheet

data

for

its

operating

segments.

Accordingly,

the

Company

does not ~~maintain separate balance sheet data for its operating segments. Accordingly, the Company does not~~

review and

evaluate

the financial

results

of its

operating

segments based

upon balance

sheet

data.

Our

loss

and

LAE

reserves

are

management’s

best

estimate

our

ultimate

liability

for

unpaid

claims.

We ~~re-evaluate~~

re-

evaluate

our

estimates

ongoing

basis,

including

all

prior

period

reserves,

taking

into

consideration

all

available

information

and,

particular,

recently

reported

loss

claim

experience

and

trends

prior

periods.

Such re-evaluations are recorded

in incurred losses in the period in which the re-evaluation

is made.

The following discusses the underwriting results for

each of our segments for the periods indicated:

Reinsurance.

The

following

table

presents

the

underwriting

results

and

ratios

for

the

Reinsurance

segment

for

the

periods

indicated.

Three Months Ended March 31,
(Dollars in millions)
2022

2021

Variance

% Change
Gross written premiums
$
1,379.7

$
1,420.1

$
(40.4)

-2.8%
Net written premiums

1,185.3

1,208.8

(23.5)

-1.9%

Premiums earned
$
1,209.3

$
1,177.2

$
32.1

2.7%
Incurred losses and LAE

820.5

970.3

(149.8)

-15.4%
Commission and brokerage

315.3

290.6

24.8

8.5%
Other underwriting expenses

31.0

36.3

(5.3)

-14.6%
Underwriting gain (loss)
$
42.5

$
(120.0)

$
162.5

135.5%

Point Chg
Loss ratio

67.8%

82.4%

(14.6)
Commission and brokerage ratio

26.1%

24.7%

1.4
Other underwriting ratio

2.6%

3.1%

(0.5)
Combined ratio

96.5%

110.2%

(13.7)

(Some amounts may not reconcile due to rounding.)
(NM, not meaningful)

~~Premiums.~~

Three Months Ended September 30,

Nine Months Ended September 30,

(Dollars in millions)

2022

2021

Variance

% Change

2022

2021

Variance

% Change

Gross written premiums

1,681

1,693

(12)

-0.7%

4,454

4,552

(98)

-2.2%

Net written premiums

1,506

1,461

3.0%

3,936

3,961

(25)

-0.6%

Premiums earned

1,398

1,280

118

9.2%

3,902

3,690

212

5.8%

Incurred losses and LAE

1,531

1,208

323

26.8%

3,227

2,917

310

10.6%

Commission and brokerage

337

320

5.6%

985

935

5.3%

Other underwriting expenses

3.8%

101

(4)

-4.6%

Underwriting gain (loss)

(504)

(279)

(225)

79.9%

(406)

(264)

(142)

53.6%

Point Chg

Loss ratio

109.5%

94.3%

15.2

82.7%

79.1%

3.6

Commission and brokerage ratio

24.1%

25.0%

(0.9)

25.2%

25.3%

(0.1)

Other underwriting ratio

2.4%

2.5%

(0.1)

2.5%

2.7%

(0.2)

Combined ratio

136.0%

121.8%

14.2

110.4%

107.2%

3.4

(Some amounts may not reconcile due to rounding.)

(NM, not meaningful)

Premiums.

Gross written

premiums decreased

by ~~2.8%~~ 0.7%

to ~~$1.38~~$1.7

billion for

the three

months ended

September 30,

2022 primarily

due

decline in

property

pro

rata

business,

partially

offset

an increase

casualty

pro

rata

business.

Net written premiums

increased by 3.0% to

$1.5 billion for the

three months ended ~~March 31,~~ September

30,

2022.

The higher percentage

increases in net

written premiums compared

to gross written

premiums were

primarily due

reduction

business

ceded to

the

segregated

accounts

of Mt.

Logan

during

the three

and

nine

months

ended September 30,

2022 ~~from $1.42~~compared to

the three and nine

months ended September

30, 2021. Premiums

earned

increased by 9.2%

to $1.4 billion

for the three

months ended ~~March 31, 2021 primarily due~~ September

30, 2022 compared

to ~~a decline in property pro rata business.Net written premiums decreased by 1.9% to $1.19~~$1.3 billion

for the

three months

ended March 31, 2022 compared to $1.21 billion for the three months ended March 31, 2021, which is consistent with the change in gross written premiums. Premiums earned increased 2.7% to $1.21 billion for the three months ended March 31, 2022 compared to $1.18 billion for the three months ended March 31, September 30,

2021. The change

in premiums

earned relative

to net written

premiums is the

result of timing; premiums are earned

ratably over the coverage

period whereas written

premiums are recorded at

the initiation

of the

coverage

period. Accordingly,

the increases

in gross

written premiums

from pro

rata

business

during the latter half of 2021 contributed

to the current quarter percentage

increase in net earned premiums.

Gross

written

premiums

decreased

2.2% to

$4.5 billion

for

the

nine months

ended September

30,

2022 from

$4.6

billion

for

the

nine

months

ended

September

30,

2021

primarily

due

decline

property

pro

rata

business,

partially offset

by an

increase in

casualty pro

rata business

Net written

premiums decreased

by 0.6%

$3.9 billion

for

the nine

months

ended September

30, 2022

compared

$4.0 billion

for

the nine

months

ended

September 30,

2021, which

is consistent

with the

change in

gross written

premiums. Premiums

earned increased

5.8% to

$3.9 billion

for the

nine months

ended September

30, 2022

compared to

$3.7 billion

for the

nine months

ended

September

30,

2021.

The

change

premiums

earned

relative

net

written

premiums

the

result

timing;

premiums

are

earned

ratably

over

the

coverage

period

whereas

written

premiums

are

recorded

the

initiation

the

coverage

period.

Accordingly,

the

increases

gross

written

premiums

from

pro

rata

business

during the latter half of 2021 contributed

to the current quarter percentage

increase in net earned premiums.

Incurred Losses and LAE.

The following tables present

the incurred losses and LAE for

the Reinsurance segment

for

the periods indicated.

Three Months Ended September 30,

Current

Ratio %/

Prior

Ratio %/

Total

Ratio %/

(Dollars in millions)

Year

Pt Change

Years

Pt Change

Incurred

Pt Change

2022

Attritional

800

57.2%

0.5%

807

57.7%

Catastrophes

722

51.7%

0.1%

724

51.8%

Total segment

1,522

108.9%

0.6%

1,531

109.5%

2021

Attritional

744

58.1%

0.0%

744

58.1%

Catastrophes

466

36.4%

(2)

-0.1%

464

36.2%

Total segment

1,209

94.5%

(2)

-0.1%

1,208

94.3%

Variance 2022/2021

Attritional

(0.9)

pts

0.5

pts

(0.4)

pts

Catastrophes

256

15.3

pts

0.2

pts

260

15.6

pts

Total segment

312

14.4

pts

0.7

pts

323

15.2

pts

Nine Months Ended September 30,

Current

Ratio %/

Prior

Ratio %/

Total

Ratio %/

(Dollars in millions)

Year

Pt Change

Years

Pt Change

Incurred

Pt Change

2022

Attritional

2,350

60.2%

0.2%

2,358

60.4%

Catastrophes

857

22.0%

0.3%

868

22.3%

Total segment

3,207

82.2%

0.5%

3,227

82.7%

2021

Attritional

2,216

60.1%

0.0%

2,217

60.1%

Catastrophes

704

19.1%

(3)

-0.1%

701

19.0%

Total segment

2,920

79.1%

(3)

-0.1%

2,917

79.1%

Variance 2022/2021

Attritional

134

0.1

pts

0.2

pts

141

0.3

pts

Catastrophes

153

2.9

pts

0.4

pts

167

3.3

pts

Total segment

287

3.0

pts

0.6

pts

310

3.5

pts

(Some amounts may not reconcile due to rounding.)

Incurred losses

increased by

26.8% to

$1.5 billion

for the

three months

ended September

30, 2022,

compared

$1.2 billion for

the three months

ended September 30,

2021.

The increase was

primarily due to

an increase of

$56

million

current

year

attritional

losses

and

increase

$256

million

current

year

catastrophe

losses.

The

increase in current year attritional

losses was mainly related to the impact

of the increase in premiums earned. The

current year

catastrophe

losses of $722

million for

the three

months ended

September 30,

2022 related

primarily

Hurricane

Ian ($670

million),

Typhoon

Nanmadol

($20 million),

Hurricane

Fiona ($20

million) and

the Western

Europe

hailstorms

($9

million).

The

$466

million

current

year

catastrophe

losses

for

the

three

months

ended

September 30, 2021 related to Hurricane

Ida ($352 million) and the European floods ($113 million).

Incurred

losses

increased

10.6% to

$3.2 billion

for

the

nine

months

ended

September

30,

2022,

compared

$2.9 billion for

the nine months

ended September 30,

2021. The increase

was primarily due

to an increase

of $153

million

current

year

catastrophe

losses

and

increase

$134

million

current

year

attritional

losses.

The

increase in current year

attritional losses

was mainly related

to the impact of the increase

in premiums earned and

$25

million

attritional

losses

incurred

due

the

Ukraine/Russia

war.

The

current

year

catastrophe

losses

$857 million for

the nine

months ended

September 30,

2022 related

primarily to

Hurricane Ian

($670 million), the

2022

Australia

floods

($74

million),

the

2022

South

Africa

flood

($38

million),

Hurricane

Fiona

($20

million),

Typhoon Nanmadol

($20 million), the 2022 Canada

derecho ($16 million), the

2022 Western

Europe hailstorms

($9

million),

the

2022

2nd

quarter

U.S.

storms

($7

million)

and

the

2022

March

U.S.

storms

($4

million).

The

$704

million

current

year

catastrophe

losses

for

the

nine

months

ended

September

30,

2021

primarily

Hurricane Ida ($352 million), the

Texas

winter storms ($221 million)

and

the

European

floods

($113 million) with

the rest of the losses emanating from the 2021 Australia

floods and Victoria Australia flooding.

Segment

Expenses.

Commission

and

brokerage

expense

increased

5.6% to

$337

million

for

the

three

months

ended

September

30,

2022

compared

$320

million

for

the

three

months

ended

September

30,

2021.

Commission and

brokerage

expense increased

by 5.3%

to $985

million for

the nine

months ended

September 30,

2022 compared to

$935 million for

the nine months

ended September 30,

2021. The increases

were mainly due

changes in the mix of business.

Segment other underwriting

expenses increased

slightly to $33

million for the

three months

ended September 30,

2022

from

$32

million

for

the

three

months

ended

September

30,

2021.

Segment

other

underwriting

expenses

decreased

$97 million

for

the nine

months

ended September

30, 2022

from

$101 million

for

the nine

months

ended September 30, 2021. The decreases were

mainly due to the impact of decreases in premiums earned.

Insurance.

The

following

table

presents

the

underwriting

results

and

ratios

for

the

Insurance

segment

for

the

periods

indicated.

Three Months Ended September 30,

Nine Months Ended September 30,

(Dollars in millions)

2022

2021

Variance

% Change

2022

2021

Variance

% Change

Gross written premiums

905

831

8.9%

2,773

2,422

351

14.5%

Net written premiums

722

608

114

18.8%

2,083

1,802

281

15.6%

Premiums earned

706

571

135

23.6%

1,985

1,625

360

22.1%

Incurred losses and LAE

564

445

119

26.6%

1,398

1,185

213

17.9%

Commission and brokerage

23.4%

231

190

21.6%

Other underwriting expenses

21.5%

269

228

17.9%

Underwriting gain (loss)

(37)

(21)

(16)

79.2%

Point Chg

Loss ratio

79.9%

78.0%

1.9

70.4%

72.9%

(2.5)

Commission and brokerage ratio

12.1%

11.7%

Other underwriting ratio

13.3%

13.6%

(0.3)

13.5%

14.0%

(0.5)

Combined ratio

105.3%

103.7%

1.6

95.6%

98.7%

(3.1)

(Some amounts may not reconcile due to rounding.)

(NM, not meaningful)

Premiums.

Gross written

premiums increased

by 8.9%

to $905

million for

the three

months ended

September 30,

2022

compared

$831

million

for

the

three

months

ended

September

30,

2021.

The

increase

insurance

premiums

reflects

growth

across

most

lines

business

driven

positive

rate

and

exposure

increases,

new

business,

and strong

renewal

retention.

Net

written

premiums

increased

18.8%

$722

million

for

the

three

months

ended

September

30,

2022 compared

$608 million

for

the

three

months

ended September

30,

2021.

The higher

percentage

of net

written premiums

compared to

gross written

premiums was

mainly due

to business

mix. Premiums earned increased

23.6% to $706 million for

the three months ended

September 30, 2022 compared

to $571

million for

the three

months ended

September 30,

2021. The

change in

premiums earned

is the

result of

timing;

premiums

are

earned

ratably

over

the

coverage

period

whereas

written

premiums

are

recorded

the

initiation of

the coverage

period. Accordingly,

the significant

increases in

gross written

premiums during

the latter

half of 2021 contributed to the current quarter

percentage increase in net earned premiums.

Gross

written

premiums

increased

14.5%

$2.8

billion

for

the

nine

months

ended

September

30,

2022

~~Incurred Losses~~ compared

$2.4

billion

for

the

nine

months

ended

September

30,

2021.

The

increase

insurance

premiums

reflects

growth

across

most

lines

business

driven

positive

rate

and ~~LAE.The following tables present~~

exposure

increases,

new

business,

and

strong

renewal

retention.

Net

written

premiums

increased

15.6%

$2.1

billion

for

the ~~incurred losses and LAE~~

nine

months

ended

September 30,

2022 compared

to $1.8 billion

for the ~~Reinsurance segment~~

nine months

ended September

30, 2021,

which is consistent

with the change

in gross

written premiums.

Premiums earned

increased 22.1%

to $2.0

billion for

the nine

months

ended September

30, 2022

compared to

$1.6 billion

for the ~~periods indicated.~~

Three Months Ended March 31,

Current

Ratio %/

Prior

Ratio %/

Total

Ratio %/
(Dollars in millions)
Year

Pt Change

Years

Pt Change

Incurred

Pt Change
2022

Attritional
$
737.6

61.0%

$
0.4

0.0%

$
738.0

61.0%

Catastrophes

75.5

6.2%

7.0

0.6%

82.5

6.8%

Total segment
$
813.1

67.2%

$
7.4

0.6%

$
820.5

67.8%

2021

Attritional
$
741.8

63.0%

$
-

0.0%

$
741.8

63.0%

Catastrophes

213.0

18.1%

15.5

1.3%

228.5

19.4%

Total segment
$
954.8

81.1%

$
15.5

1.3%

$
970.3

82.4%

Variance 2022/2021

Attritional
$
(4.2)

(2.0)
pts

$
0.4

-
pts

$
(3.8)

(2.0)
pts
Catastrophes

(137.5)

(11.9)
pts

(8.5)

(0.7)
pts

(146.0)

(12.6)
pts
Total segment
$
(141.7)

(13.9)
pts

$
(8.1)

(0.7)
pts

$
(149.8)

(14.6)
pts

~~Incurred losses decreased by 15.4% to $820.5 million~~ ~~for the three~~

nine months

ended ~~March 31, 2022,~~ ~~compared to $970.3 million~~ ~~for the three months ended March 31, 2021. The decrease was primarily due to a decrease of $137.5 million in current year catastrophe losses. The current year catastrophe losses of $75.5 million~~ ~~for the three months ended March 31, 2022~~ ~~related primarily to 2022 Australia floods ($70.5 million) and the 2022 March U.S. storms ($5.0 million).~~ ~~The $213.0 million of current year catastrophe losses for the three months ended~~ ~~March 31, 2021~~ ~~related to Texas winter storms ($205.5 million), and the 2021 Australia floods ($7.5 million).~~

~~Segment Expenses. Commission and brokerage expenses increased to $315.3 million for the three months ended March 31, 2022 compared to $290.6 million for the three months ended March 31,~~September

30, 2021. ~~The increase was mainly due to the impact of the increase in premiums earned and changes in the mix of business.~~

~~Segment other underwriting expenses decreased to $31.0 million for the three months ended March 31, 2022 from $36.3 million for the three months ended March 31, 2021.~~ ~~The decrease was mainly due to was mainly due to lower variable compensation expenses.~~

~~Insurance.~~

~~The following table presents the underwriting results and ratios for the Insurance segment for the periods indicated.~~

Three Months Ended March 31,
(Dollars in millions)
2022

2021

Variance

% Change
Gross written premiums
$
825.3

$
713.3

$
112.1

15.7%
Net written premiums

610.9

556.5

54.3

9.8%

Premiums earned
$
619.3

$
519.7

$
99.5

19.2%
Incurred losses and LAE

405.2

383.8

21.5

5.6%
Commission and brokerage

69.3

59.3

10.0

16.9%
Other underwriting expenses

86.8

73.5

13.3

18.1%
Underwriting gain (loss)
$
58.0

$
3.2

$
54.8

NM

Point Chg
Loss ratio

65.4%

73.8%

(8.4)
Commission and brokerage ratio

11.2%

11.4%

(0.2)
Other underwriting ratio

14.0%

14.1%

(0.1)
Combined ratio

90.6%

99.4%

(8.8)

(Some amounts may not reconcile due to rounding.)
(NM, not meaningful)

~~Premiums.~~Gross written premiums increased by 15.7% to $825.3 million for the three months ended March 31, 2022 compared to $713.3 million for the three months ended March 31, 2021. The rise in gross written premiums was ~~primarily due to increases in specialty casualty business and other specialty business.~~ Net written premiums increased by 9.8% to $610.9 million for the three months ended March 31, 2022 compared to $556.5 million for the three months ended March 31, 2021. The difference between the change in net earned premiums compared to the change in gross written premiums is due to varying utilization of reinsurance. Premiums earned increased 19.2% to $619.3 million for the three months ended March 31, 2022 compared to $519.7 million for the three months ended March 31, 2021. The change

in premiums earned is the result

of timing; premiums are earned ratably

over the coverage period

whereas written

premiums

are

recorded

the

initiation

the

coverage

period.

Accordingly,

the

significant

increases

gross

written

premiums

during

the

latter

half

2021

contributed

the

current

quarter

percentage

increase

net

earned premiums.

Incurred Losses

and LAE.

The following

tables present

the incurred

losses and

LAE for

the Insurance

segment for

the periods indicated.

Three Months Ended March 31,

Current

Ratio %/

Prior

Ratio %/

Total

Ratio %/
(Dollars in millions)
Year

Pt Change

Years

Pt Change

Incurred

Pt Change
2022

Attritional
$
400.9

64.7%

$
(0.4)

-0.1%

$
400.5

64.7%

Catastrophes

5.0

0.8%

(0.3)

0.0%

4.7

0.8%

Total segment
$
405.9

65.5%

$
(0.7)

-0.1%

$
405.2

65.4%

2021

Attritional
$
336.6

64.8%

$
(1.0)

-0.2%

$
335.6

64.6%

Catastrophes

47.5

9.1%

0.7

0.1%

48.2

9.3%

Total segment
$
384.1

73.9%

$
(0.3)

-0.1%

$
383.8

73.8%

Variance 2022/2021

Attritional
$
64.3

(0.1)
pts

$
0.6

0.1
pts

$
64.9

0.1
pts
Catastrophes

(42.5)

(8.3)
pts

(0.9)

(0.1)
pts

(43.4)

(8.5)
pts
Total segment
$
21.8

(8.4)
pts

$
(0.3)

-
pts

$
21.5

(8.4)
pts

Three Months Ended September 30,

Current

Ratio %/

Prior

Ratio %/

Total

Ratio %/

(Dollars in millions)

Year

Pt Change

Years

Pt Change

Incurred ~~losses and LAE increased by~~

Pt Change

2022

Attritional

461

65.3%

0.0%

461

65.3%

Catastrophes

104

14.7%

-0.1%

104

14.6%

Total segment

565

80.0%

-0.1%

564

79.9%

2021

Attritional

368

64.4%

0.0%

368

64.4%

Catastrophes

13.7%

(1)

-0.1%

13.6%

Total segment

446

78.1%

(1)

-0.1%

445

78.0%

Variance 2022/2021

Attritional

0.9

pts

0.9

pts

Catastrophes

1.0

pts

1.0

pts

Total segment

119

1.9

pts

119

1.9

pts

Nine Months Ended September 30,

Current

Ratio %/

Prior

Ratio %/

Total

Ratio %/

(Dollars in millions)

Year

Pt Change

Years

Pt Change

Incurred

Pt Change

2022

Attritional

1,285

64.8%

0.0%

1,285

64.8%

Catastrophes

114

5.7%

(1)

-0.1%

113

5.6% ~~to $405.2 million for the three months ended March 31, 2022 compared to $383.8 million for the three months ended March 31,~~

Total segment

1,399

70.5%

(1)

-0.1%

1,398

70.4%

2021 ~~mainly~~

Attritional

1,051

64.6%

(2)

-0.1%

1,049

64.5%

Catastrophes

136

8.4%

0.1%

137

8.4%

Total segment

1,186

73.0%

(1)

-0.1%

1,185

72.9%

Variance 2022/2021

Attritional

234

0.2

pts

0.1

pts

236

0.3

pts

Catastrophes

(22)

(2.7)

pts

(2)

(0.2)

pts

(24)

(2.8)

pts

Total segment

213

(2.5)

pts

(0.1)

pts

213

(2.5)

pts

(Some amounts may not reconcile due to rounding.)

Incurred

losses

and

LAE

increased

26.6%

$564

million

for

the

three

months

ended

September

30,

2022

compared

$445

million

for

the

three

months

ended

September

30,

2021,

mainly

due

increase

of ~~$64.3~~

$93

million in current year attritional

losses which is primarily related to the impact of the increase

in premiums earned ~~partially offset by a decrease~~

and

increase

of ~~$42.5~~

$26

million

current

year

catastrophe

losses.

The ~~$5.0~~

$104

million

current

year

catastrophe

losses for the

three months ended ~~March 31,~~

September 30, 2022,

related to

Hurricane Ian ($99

million) and Hurricane

Fiona

($5 million).

The $78

million of

current

year catastrophe

losses for

the three

months

ended September

30, 2021,

related to Hurricane Ida.

Incurred

losses

and

LAE

increased

17.9%

$1.4

billion

for

the

nine

months

ended

September

30,

2022 ~~March U.S. storms. The $47.5 million of current year catastrophe losses~~

compared to $1.2 billion for the ~~three~~

nine months ended ~~March 31,~~September 30, 2021,~~related to~~ ~~Texas winter storms.~~

~~Segment Expenses. Commission and brokerage increased to $69.3 million for the three months ended March 31, 2022 compared to $59.3 million for the three months ended March 31, 2021. The increase was~~

mainly due to an increase of $234 million

current

year

attritional

losses

which

primarily

the

impact

the

increase

premiums

earned,

partially

offset

decrease

of $22

million

current

year

catastrophe

losses.

The $114

million

of current

year

catastrophe

losses

for

the

nine

months

ended

September

30,

2022,

Hurricane

Ian

($99

million),

Hurricane

Fiona

($5

million),

the

2022

March

U.S.

storms

($5

million) and

the

2022

2nd

quarter

U.S.

storms

($5

million).

The

$136

million

current

year

catastrophe

losses

for

the

nine

months

ended

September

30,

2021,

related to Hurricane Ida ($78 million) and

the ~~impact of~~ Texas

winter storms ($58 million).

Segment

Expenses.

Commission

and

brokerage

increased

23.4%

$85

million

for

the ~~increase in premiums earned.~~

~~Segment other underwriting expenses increased~~

three

months

ended

September 30,

2022 compared

to ~~$86.8~~ $69

million for

the three

months

ended ~~March 31, 2022 compared~~September

30, 2021.

Commission and

brokerage

increased by

21.6% to ~~$73.5~~

$231 million

for the ~~three~~

nine months

ended ~~March 31, 2021.~~ ~~The increase was mainly due~~ September

30, 2022

compared

to $190

million

for

the

nine

months

ended

September

30,

2021.

These

increases

were

mainly

due

the

impact

the

increase in premiums earned and changes in

the mix of business.

Segment

other underwriting

expenses

increased

$94 million

for

the three

months

ended

September

30, 2022

compared to

$77 million

for the

three months

ended September

30, 2021.

Segment other

underwriting expenses

increased to

$269 million

for

the nine

months

ended September

30, 2022

compared

to $228

million for

the nine

months ended

September 30,

2021. These

increases were

mainly due

to the

impact of

the increases

in premiums

earned and increased expenses related

to the continued build out of the insurance

business.

Market Sensitive Instruments.

The

SEC’s

Financial

Reporting

Release

#48

requires

registrants

clarify

and

expand

upon

the

existing

financial

statement

disclosure

requirements

for

derivative

financial

instruments,

derivative

commodity

instruments

and

other financial

instruments ~~(collectively, “market~~

(collectively,

“market

sensitive

instruments”).

do not

generally

enter into

market

sensitive instruments for trading

purposes.

Our

current

investment

strategy

seeks

maximize

after-tax

income

through

high

quality,

diversified,

taxable

and ~~tax-preferenced~~ tax

-preferenced

fixed

maturity

portfolio,

while maintaining

an adequate

level of

liquidity.

Our mix

of taxable

and

tax-preferenced

investments

adjusted

periodically,

consistent

with

our

current

and

projected

operating

results,

market

conditions

and

our

tax

position.

The

fixed

maturity

securities

the

investment

portfolio

are

comprised of non-trading available

for sale securities. Additionally,

we have invested

in equity securities.

The overall

investment strategy

considers the

scope of present

and anticipated

Company operations.

In particular,

estimates of

the financial

impact resulting

from non-investment

asset and

liability transactions,

together with

our

capital

structure

and

other

factors,

are

used

develop

net

liability

analysis.

This

analysis

includes

estimated

payout

characteristics

for which

our ~~capital structure and other factors, are used to develop a net liability analysis.~~ investments

provide liquidity.

This analysis ~~includes estimated payout characteristics for which our investments provide liquidity. This analysis~~

is considered

in the

development

specific

investment

strategies

for

asset

allocation,

duration

and

credit

quality.

The

change

overall

market

sensitive risk exposure principally reflects

the asset changes that took place during the period.

Interest Rate ~~Risk~~.

Risk.

Our ~~$19.5~~$18.9 billion

investment

portfolio, at~~March 31,~~

September 30,

2022,, is principally

comprised of fixed

maturity securities,

which are

generally subject

to interest

rate risk

and some

foreign currency

exchange

rate risk,

and some equity securities, which are subject to price fluctuations

and some foreign exchange

rate risk. The overall

economic impact

of the foreign

exchange risks

on the investment

portfolio is

partially mitigated

by changes

in the

dollar value of foreign currency

denominated liabilities and their associated

income statement impact.

Interest

rate

risk

the

potential

change

value

the

fixed

maturity

securities

portfolio,

including

short-term

investments,

from

change

market

interest

rates.

declining

interest

rate

environment,

includes

prepayment

risk

the ~~$1.7~~

$1.9

billion

mortgage-backed

securities

the ~~$12.8~~

$12.1

billion

fixed

maturity

portfolio.

Prepayment

risk results

from potential

accelerated

principal

payments

that shorten

the average

life and

thus the

expected yield of the security.

The

table

below

displays

the

potential

impact

of ~~market~~

fair

value

fluctuations

and

after-tax

unrealized

appreciation

our fixed

maturity

portfolio ~~(including $573.5~~

(including $454

million of

short-term

investments)

for

the period

indicated

based

upward

and

downward

parallel

and

immediate

100

and

200 basis

point

shifts

interest

rates.

For

legal

entities

with

U.S.

dollar

functional

currency,

this

modeling

was

performed

each

security

individually.

generate

appropriate

price

estimate

mortgage-backed

securities,

changes

prepayment

expectations

under

different

interest ~~rates.~~ rate

environments

were taken

into account.

For legal entities with a U.S. dollar functional currency, this modeling was performed on each security individually. To generate appropriate price estimate on mortgage-backed securities, changes in prepayment expectations under different interest rate environments were taken into account. For legal entities

with non-U.S. dollar

functional currency,

the

effective

duration

of the

involved

portfolio

of securities

was

used as

a proxy

for

the ~~market~~ fair

value

change

under the

various interest rate

change scenarios.

Impact of Interest Rate Shift in Basis Points

At March 31, 2022
(Dollars in millions)
-200

-100

-

100

200
Total Market/Fair Value
$
14,125.2

$
13,755.2

$
13,385.1

$
13,015.1

$
12,645.1
Market/Fair Value Change from Base (%)

5.5%

2.8%

0.0%

-2.8%

-5.5%
Change in Unrealized Appreciation

After-tax from Base ($)
$
584.6

$
292.3

$
-

$
(292.3)

$
(584.6)

Impact of Interest Rate Shift in Basis Points

At September 30, 2022

(Dollars in millions)

-200

-100

100

200

Total Fair Value

14,925

14,568

14,210

13,853

13,495

Fair Value Change from Base (%)

5.0%

2.5%

0.0%

-2.5%

-5.0%

Change in Unrealized Appreciation

After-tax from Base ($)

565

282

(282)

(565)

We had ~~$13.4~~$14.8 billion and $13.1 billion

of gross reserves for losses

and LAE as of ~~March 31,~~September 30, 2022 and December

31,

2021,

respectively.

These

amounts

are

recorded

their

nominal

value,

opposed

present

value,

which

would reflect

a discount

adjustment to

reflect the

time value

of money.

Since losses

are paid

out over

a period

time, the

present

value of

the reserves

is less

than the

nominal value.

As interest

rates

rise, the

present

value of

the reserves

decreases

and,

conversely,

as interest

rates

decline, the

present

value

increases.

These movements

are

the

opposite

the

interest

rate

impacts

the

fair

value

investments.

While

the

difference

between

present

value

and

nominal

value

not

reflected

our

financial

statements,

our

financial

results

will

include

investment

income

over

time

from

the

investment

portfolio

until

the

claims

are

paid.

Our

loss

and

loss

reserve

obligations have an expected

duration that is reasonably consistent

with our fixed income portfolio.

Equity ~~Risk~~. Risk.

Equity risk

is the potential

change in fair ~~and/or market~~

value of

the common

stock, preferred

stock and

mutual fund

portfolios

arising

from

changing

prices.

Our

equity

investments

consist

diversified

portfolio

individual

securities. The primary

objective of

the equity portfolio

is to

obtain greater

total return

relative to

our core

bonds

over time through market appreciation

and income.

The table

below

displays

the impact

on ~~fair/market~~ fair

value

and ~~after-tax~~ after

-tax

change

in ~~fair/market~~ fair

value

of a

10% and

20% change

equity prices up and down for the periods indicated.

Impact of Percentage Change in Equity Fair/Market Values

At March 31, 2022
(Dollars in millions)
-20%

-10%

0%

10%

20%
Fair/Market Value of the Equity Portfolio
$
1,385.4

$
1,558.6

$
1,731.8

$
1,905.0

$
2,078.1
After-tax Change in Fair/Market Value

(273.6)

(136.8)

-

136.8

273.6

~~Foreign Currency Risk.~~ ~~Foreign currency risk is the potential change~~

Impact of Percentage Change in ~~value, income and cash flow arising from adverse changes~~Equity Fair Value

At September 30, 2022

(Dollars in ~~foreign currency exchange rates. Each of our non-U.S. (“foreign”) operations maintains capital in the currency~~millions)

-20%

-10%

10%

20%

Fair Value of the Equity Portfolio

1,007

1,132

1,258

1,384

1,510

After-tax Change in Fair Value

(199)

(99)

199

Foreign

Currency

Risk.

Foreign

currency

risk is

the potential

change

in value,

income

and

cash

flow arising

from

adverse changes

in foreign

currency exchange

rates.

Each of

our non-U.S.

(“foreign”)

operations

maintains capital

in the

currency

of the

country

of its

geographic

location

consistent

with local

regulatory

guidelines. Each

foreign

operation

may

conduct

business

its

local

currency,

well

the

currency

other

countries

which

operates.

The

primary

foreign

currency

exposures

for

these

foreign

operations

are

the

Singapore

and

Canadian

Dollars. We

mitigate foreign

exchange

exposure by

generally matching

the currency of other countries in which it operates. The primary foreign currency exposures for these foreign operations are the Singapore and Canadian Dollars. We mitigate foreign exchange exposure by generally matching the currency

and duration

of our

assets to

our corresponding

operating liabilities. In

accordance with FASB

guidance, the impact

on the ~~market~~ fair

value of available

for

sale

fixed

maturities

due

changes

foreign

currency

exchange

rates,

relation

functional

currency,

reflected as

part of other

comprehensive income.

Conversely,

the impact of

changes in

foreign currency

exchange

rates,

relation

functional

currency,

other

assets

and

liabilities

reflected

through

net

income

component of other income (expense). In

addition, we translate

the assets, liabilities and income of non-U.S.

dollar

functional currency

legal entities

to the

U.S. dollar.

This translation

amount is

reported as

a component

of other

comprehensive income.

SAFE HARBOR DISCLOSURE

This report

contains ~~forward-looking~~forward

-looking statements

within the meaning

of the U.S.

federal securities

laws. We

intend

these ~~forward-looking~~forward

-looking statements

be covered

the safe

harbor

provisions

for

forward-looking

statements

the federal

securities laws.

In some cases,

these statements

can be identified

by the use

of forward-looking

words

such

as ~~“may”~~

“may”, ~~“will”~~

“will”, ~~“should”~~

“should”, ~~“could”~~

“could”, ~~“anticipate”~~

“anticipate”, ~~“estimate”~~

“estimate”, ~~“expect”~~

“expect”, ~~“plan”~~

“plan”, ~~“believe”~~

“believe”, ~~“predict”~~

“predict”, ~~“potential”~~

“potential”

and “intend”.

Forward-looking

statements

contained

this report

include

information

regarding

our

reserves for losses

and LAE, the

CARES Act, the

impact of the

TCJA, the adequacy

of our provision

for uncollectible

balances, estimates

of our catastrophe

exposure, the

effects of

catastrophic

and pandemic events

on our financial

statements

and

the

ability

our

subsidiaries

pay

dividends.

Forward-looking

statements

only

reflect

our

expectations

and

are

not

guarantees

performance.

These

statements

involve

risks,

uncertainties

and

assumptions.

Actual

events

results

may

differ

materially

from

our

expectations.

Important

factors

that

could

cause our

actual events

or results ~~may differ~~

to be

materially different

from our ~~expectations. Important factors that could cause our actual events or results to be materially different from our~~

expectations

include those

discussed under

the

caption

ITEM

1A, ~~“Risk~~

“Risk

Factors”

the

Company’s

most

recent

10-K

filing.

undertake

obligation

update or revise

publicly any forward-looking

statements, whether

as a result of new

information, future events

or ~~otherwise.~~

otherwise.

ITEM 3.

QUANTITATIVE

AND QUALITATIVE

DISCLOSURES ABOUT MARKET RISK

Market Risk Instruments.

See “Market Sensitive Instruments”

in PART I – ITEM 2.

ITEM 4.

CONTROLS AND PROCEDURES

the

end

the

period

covered

this

report,

our

management

carried

out

evaluation,

with

the

participation

the

Chief

Executive

Officer

and

Chief

Financial

Officer,

the

effectiveness

our

disclosure

controls

and procedures ~~(as~~

(as defined

in Rule

13a-15(e)

under the

Securities Exchange

Act of

1934 (the ~~“Exchange~~

“Exchange

Act”)).

Based

their

evaluation,

the

Chief

Executive

Officer

and

Chief

Financial

Officer

concluded

that

our

disclosure

controls

and procedures

are effective

to ensure

that information

required

be disclosed

by us

in the

reports

that we

file or

submit under

the Exchange

Act are

recorded,

processed,

summarized

and reported

within

the time

periods specified

in the

Securities and

Exchange

Commission’s

rules and

forms.

Our management,

with

the

participation

the

Chief

Executive

Officer

and

Chief

Financial

Officer,

also

conducted

evaluation

our

internal control over financial

reporting to determine whether any

changes occurred during the quarter covered

this

report

that

have

materially

affected,

are

reasonably

likely

materially

affect,

our

internal

control

over

financial reporting.

Based on

that evaluation,

there has

been no

such change

during the

quarter covered

by this report that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting. Based on that evaluation, there has been no such change during the quarter covered by this report.

report.

PART II

ITEM 1.

LEGAL PROCEEDINGS

In the ordinary

course of business,

the Company is

involved in

lawsuits, arbitrations

and other formal

and informal

dispute resolution

procedures,

the outcomes

of which

will determine

the Company’s

rights and

obligations

under

insurance

and

reinsurance

agreements.

some

disputes,

the

Company

seeks

enforce

its

rights

under

agreement or to

collect funds owing

to it.

In other matters,

the Company is

resisting attempts

by others to

collect

funds or

enforce

alleged rights.

These disputes

arise from

time to

time and

are ultimately

resolved through

both

informal

and

formal

means,

including

negotiated

resolution,

arbitration

and

litigation.

all

such

matters,

the

Company believes

that its positions

are legally and

commercially reasonable.

The Company

considers the

statuses

of these proceedings when determining its reserves for

unpaid loss and loss adjustment expenses.

Aside from litigation and arbitrations

related to these insurance and

reinsurance agreements,

the Company is not a

party to any other material litigation

or arbitration.

ITEM 1A.

RISK FACTORS

No material changes.

ITEM 2.

UNREGISTERED SALES OF EQUITY

SECURITIES AND USE OF PROCEEDS

~~None.~~

None.

ITEM 3.

DEFAULTS

UPON SENIOR SECURITIES

~~None.~~

None.

ITEM 4.

MINE SAFETY DISCLOSURES

Not applicable.

ITEM 5.

OTHER INFORMATION

None.

ITEM 6.

EXHIBITS

Exhibit Index:

Exhibit No.

Description

31.1

Section 302 Certification of Juan C. Andrade

31.2

Section 302 Certification of Mark Kociancic

32.1

Section 906 Certification of Juan C. Andrade

~~Not applicable.~~

and Mark Kociancic

101.INS

XBRL Instance Document

101.SCH

XBRL Taxonomy

Extension Schema

~~ITEM 5. OTHER INFORMATION~~

~~None.~~

101.CAL

XBRL Taxonomy

Extension Calculation Linkbase

101.DEF

XBRL Taxonomy

~~ITEM 6. EXHIBITS~~

~~Exhibit Index:~~

~~Exhibit No.~~	~~Description~~

~~31.1~~	~~Section 302 Certification of Juan~~ ~~C. Andrade~~

~~31.2~~	~~Section 302 Certification of Mark~~ ~~Kociancic~~

~~32.1~~	~~Section 906 Certification of Juan C. Andrade and Mark~~ ~~Kociancic~~

~~101.INS~~	~~XBRL Instance Document~~

~~101.SCH~~	~~XBRL Taxonomy Extension Schema~~

~~101.CAL~~	~~XBRL Taxonomy Extension Calculation Linkbase~~

~~101.DEF~~	~~XBRL Taxonomy~~ Extension Definition Linkbase

~~101.LAB~~	~~XBRL Taxonomy Extension Labels Linkbase~~

~~101.PRE~~	~~XBRL Taxonomy Extension Presentation Linkbase~~

~~104~~	~~Cover Page Interactive Data File (embedded within the Inline XBRL document)~~

101.LAB

XBRL Taxonomy

Extension Labels Linkbase

101.PRE

XBRL Taxonomy

Extension Presentation Linkbase

104

Cover Page Interactive

Data File (embedded within the Inline XBRL document)

Everest Reinsurance

Holdings, Inc.

Signatures

Pursuant to

the requirements

of the Securities

Exchange Act

of 1934, the

registrant

has duly

caused this

report to

be signed on its behalf by the undersigned thereunto

duly authorized.


	~~Everest Reinsurance Holdings, Inc.~~
	~~(Registrant)~~


	~~/S/ MARK KOCIANCIC~~
	~~Mark Kociancic~~
	~~Executive Vice President and~~
		~~Chief Financial Officer~~

	~~(Duly Authorized Officer and Principal Financial Officer)~~



~~Dated: May 12, 2022~~

Everest Reinsurance

Holdings, Inc.

(Registrant)

/S/ MARK KOCIANCIC

Mark Kociancic

Executive Vice President and

Chief Financial Officer

(Duly Authorized Officer and Principal Financial Officer)

Dated:

November 10, 2022


(Dollars in thousands, except share amounts and par value per share)	March 31, 2022		December 31, 2021
	(unaudited)
ASSETS:
Fixed maturities – available for sale, (amortized cost: 2022, $13,182,332; 2021, $12,733,499, allowances for credit losses: 2022, $(29,140); 2021, $(27,491))	$	12,811,657	$	12,860,395
Equity securities, at fair value		1,731,774		1,757,792
Short-term investments (cost: 2022, $573,473; 2021, $695,935)		573,473		695,886
Other invested assets		1,689,961		1,674,639
Other invested assets, at fair value		1,946,197		2,030,816
Cash		787,481		699,266
Total investments and cash		19,540,543		19,718,794
Note receivable - affiliated		500,000		500,000
Accrued investment income		98,956		89,966
Premiums receivable		1,618,574		1,719,961
Reinsurance recoverables - unaffiliated		1,622,579		1,569,328
Reinsurance recoverables - affiliated		2,117,624		2,298,769
Funds held by reinsureds		300,214		299,204
Deferred acquisition costs		451,952		471,931
Prepaid reinsurance premiums		418,775		431,055
Other assets		636,311		595,970
TOTAL ASSETS	$	27,305,528		27,694,978

LIABILITIES:
Reserve for losses and loss adjustment expenses	$	13,403,565	$	13,121,177
Unearned premium reserve		2,947,792		2,992,878
Funds held under reinsurance treaties		34,512		48,410
Other net payable to reinsurers		399,471		391,577
Losses in course of payment		138,570		272,592
Income taxes		129,948		246,348
Senior notes		2,346,147		2,345,800
Long term notes		223,799		223,774
Borrowings from FHLB		519,000		519,000
Accrued interest on debt and borrowings		38,843		17,348
Unsettled securities payable		47,518		15,196
Other liabilities		430,355		462,831
Total liabilities		20,659,520		20,656,931
Commitments and Contingencies (Note 6)		(nil)		(nil)

STOCKHOLDER'S EQUITY:
Common shares, par value: $0.01; 3,000 shares authorized; 1,000 shares issued and outstanding (2022 and 2021)		-		-
Additional paid-in capital		1,101,640		1,101,527
Accumulated other comprehensive income (loss), net of deferred income tax expense (benefit) $(79,871) at 2022 and $24,279 at 2021		(301,735)		91,469
Retained earnings		5,846,103		5,845,051
Total stockholder's equity		6,646,008		7,038,047
TOTAL LIABILITIES AND STOCKHOLDER'S EQUITY	$	27,305,528	$	27,694,978

The accompanying notes are an integral part of the consolidated financial statements.

	Three Months Ended
	March 31,
(Dollars in thousands)	2022		2021
	(unaudited)
REVENUES:
Premiums earned	$	1,828,592	$	1,696,900
Net investment income		156,134		147,723
Net gains (losses) on investments:
Credit allowances on fixed maturity securities		(1,649)		(7,142)
Gains (losses) from fair value adjustments		(215,421)		130,629
Net realized gains (losses) from dispositions		(9,517)		11,524
Total net gains (losses) on investments		(226,587)		135,011
Other income (expense)		(9,397)		3,979
Total revenues		1,748,742		1,983,613

CLAIMS AND EXPENSES:
Incurred losses and loss adjustment expenses		1,225,690		1,354,084
Commission, brokerage, taxes and fees		384,630		349,854
Other underwriting expenses		117,755		109,795
Corporate expenses		5,766		4,581
Interest, fees and bond issue cost amortization expense		24,078		15,534
Total claims and expenses		1,757,919		1,833,848

INCOME (LOSS) BEFORE TAXES		(9,177)		149,765
Income tax expense (benefit)		(10,229)		30,322

NET INCOME (LOSS)	$	1,052	$	119,443

Other comprehensive income (loss), net of tax:
Unrealized appreciation (depreciation) ("URA(D)") on securities arising during the period		(394,279)		(109,858)
Less: reclassification adjustment for realized losses (gains) included in net income (loss)		2,255		1,490
Total URA(D) on securities arising during the period		(392,024)		(108,368)

Foreign currency translation adjustments		(1,939)		2,262
Reclassification adjustment for amortization of net (gain) loss included in net income (loss)		758		2,043
Total benefit plan net gain (loss) for the period		758		2,043
Total other comprehensive income (loss), net of tax		(393,205)		(104,063)

COMPREHENSIVE INCOME (LOSS)	$	(392,153)	$	15,380

The accompanying notes are an integral part of the consolidated financial statements.

	At March 31, 2022
	Amortized		Allowances for		Unrealized		Unrealized		Market
(Dollars in thousands)	Cost		Credit Losses		Appreciation		Depreciation		Value
Fixed maturity securities
U.S. Treasury securities and obligations of U.S. government agencies and corporations	$	614,399	$	-	$	2,885	$	(18,958)	$	598,326
Obligations of U.S. states and political subdivisions		560,375		(151)		9,538		(10,574)		559,188
Corporate securities		4,139,112		(20,049)		31,529		(161,092)		3,989,500
Asset-backed securities		3,902,584		(7,680)		12,954		(50,893)		3,856,965
Mortgage-backed securities
Commercial		560,337		-		2,092		(19,495)		542,934
Agency residential		1,219,867		-		2,080		(65,354)		1,156,593
Non-agency residential		3,828		-		-		(78)		3,750
Foreign government securities		663,651		-		8,220		(23,112)		648,759
Foreign corporate securities		1,518,179		(1,260)		9,482		(70,759)		1,455,642
Total fixed maturity securities	$	13,182,332	$	(29,140)	$	78,780	$	(420,315)	$	12,811,657

	Roll Forward of Allowance for Credit Losses
	Three Months Ended March 31, 2022
			Asset		Obligations of U.S. states and political subdivisions		Foreign
	Corporate		Backed				Corporate
	Securities		Securities				Securities		Total
Beginning Balance	$	(19,267)	$	(7,680)	$	(151)	$	(393)	$	(27,491)
Credit losses on securities where credit
losses were not previously recorded		(1,929)		-		-		(969)		(2,898)
Increases in allowance on previously
impaired securities		-		-		-		-		-
Decreases in allowance on previously
impaired securities		-		-		-		-		-
Reduction in allowance due to disposals		1,147		-		-		102		1,249

Balance as of March 31, 2022	$	(20,049)	$	(7,680)	$	(151)	$	(1,260)	$	(29,140)

	Roll Forward of Allowance for Credit Losses
	Three Months Ended March 31, 2021
			Asset		Foreign
	Corporate		Backed		Corporate
	Securities		Securities		Securities		Total

Beginning Balance	$	(1,205)	$	-	$	(361)	$	(1,566)
Credit losses on securities where credit
losses were not previously recorded		(2,383)		(4,915)		-		(7,298)
Increases in allowance on previously
impaired securities		-		-		-		-
Decreases in allowance on previously
impaired securities		-		-		-		-
Reduction in allowance due to disposals		-		-		156		156

Balance as of March 31, 2021	$	(3,588)	$	(4,915)	$	(205)	$	(8,708)

	Three Months Ended March 31,
(Dollars in thousands)		2022		2021
Gross reserves beginning of period	$	13,121,177	$	11,578,096
Less reinsurance recoverables on unpaid losses		(3,650,716)		(3,951,474)
Net reserves beginning of period		9,470,461		7,626,622
Incurred related to:
Current year		1,218,941		1,338,891
Prior years		6,749		15,193
Total incurred losses and LAE		1,225,690		1,354,084
Paid related to:
Current year		248,452		168,407
Prior years		675,926		527,470
Total paid losses and LAE		924,378		695,877

Foreign exchange/translation adjustment		6,507		(6,819)

Net reserves end of period		9,778,280		8,278,010
Plus reinsurance recoverables on unpaid losses		3,625,285		3,829,356
Gross reserves end of period	$	13,403,565	$	12,107,366

(Some amounts may not reconcile due to rounding.)

	Total Fixed Maturities, Market Value
	Three Months Ended March 31, 2022
	Corporate		Asset				Foreign
(Dollars in thousands)	Securities		Backed Securities		CMBS		Corporate		Total
Beginning balance	$	729,925	$	1,251,281	$	-	$	16,015	$	1,997,221
Total gains or (losses) (realized/unrealized)
Included in earnings		1,429		102		-		13		1,544
Included in other comprehensive income (loss)		(4,167)		(28,788)		(23)		(61)		(33,039)
Purchases, issuances and settlements		(12,531)		166,096		5,913		(41)		159,437
Transfers in and/or (out) of Level 3		-		-		-		-		-
Ending balance	$	714,656	$	1,388,691	$	5,890	$	15,926	$	2,125,163
The amount of total gains or losses for the period included in earnings (or changes in net assets) attributable to the change in unrealized gains or losses relating to assets still held at the reporting date	$	318	$	-	$	-	$	-	$	318

(Some amounts may not reconcile due to rounding.)

	Three Months Ended March 31, 2022
(Dollars in thousands)	Before Tax		Tax Effect		Net of Tax
Unrealized appreciation (depreciation) ("URA(D)") on securities - non-credit related	$	(498,693)		104,414	$	(394,279)
Reclassification of net realized losses (gains) included in net income (loss)		2,818		(563)		2,255
Foreign currency translation adjustments		(2,440)		501		(1,939)
Reclassification of amortization of net gain (loss) included in net income (loss)		960		(202)		758
Total other comprehensive income (loss)	$	(497,355)	$	104,150	$	(393,205)

(Some amounts may not reconcile due to rounding)

	Three Months Ended March 31, 2021
(Dollars in thousands)	Before Tax		Tax Effect		Net of Tax
Unrealized appreciation (depreciation) ("URA(D)") on securities - non-credit related	$	(139,019)		29,161	$	(109,858)
Reclassification of net realized losses (gains) included in net income (loss)		1,870		(379)		1,490
Foreign currency translation adjustments		2,856		(594)		2,262
Reclassification of amortization of net gain (loss) included in net income (loss)		2,586		(543)		2,043
Total other comprehensive income (loss)	$	(131,708)	$	27,645	$	(104,063)

(Some amounts may not reconcile due to rounding)

	Three Months Ended
Everest International & Canada	March 31,
(Dollars in thousands)	2022		2021
Assumed written premiums		-		-
Assumed earned premiums		-		-
Assumed losses and LAE		8,055		59

	Three Months Ended
Lloyd's Syndicate 2786	March 31,
(Dollars in thousands)	2022		2021
Assumed written premiums	$	(7)	$	599
Assumed earned premiums		(7)		529
Assumed losses and LAE		254		(1,582)