UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

_X_ Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the quarterly period ended ~~September 30,~~March 31, ~~2021~~2022

___ Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Commission file number 1-15731

EVEREST RE GROUP, LTD.

(Exact name of registrant as specified in its charter)

Bermuda

98-0365432

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)

Seon Place – 4th Floor

141 Front Street

PO Box HM 845

HamiltonHM 19, Bermuda

441-295-0006

(Address, including zip code, and telephone number, including area code,

of registrant’s principal executive office)

Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of 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 to Rule 405 of Regulation S-T during the preceding 12 months (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 or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “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

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 or revised financial accounting standards provided pursuant to Section 13(a) of 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

Securities registered pursuant to Section 12(b) of the Act:

Class

Trading Symbol

Name of Exchange where

Registered

Number of Shares Outstanding

At ~~November~~May 1, ~~2021~~2022

Common Shares, $0.01 par value

New York Stock Exchange

~~39,369,026~~39,437,963

EVEREST RE GROUP, LTD

Table of Contents

Form 10-Q

Page

PART I

FINANCIAL INFORMATION

Item 1.	Financial Statements

	Consolidated Balance Sheets as of ~~September 30, 2021~~March 31, 2022 (unaudited)
	and December 31, ~~2020~~2021	1

	Consolidated Statements of Operations and Comprehensive Income (Loss) for the
	three ~~and nine~~ months ended ~~September 30,~~March 31, 2022 and 2021 ~~and 2020~~ (unaudited)	2

	Consolidated Statements of Changes in Shareholders’ Equity for the ~~nine~~three
	months ended ~~September 30,~~March 31, 2022 and 2021 ~~and 2020~~ (unaudited)	3

	Consolidated Statements of Cash Flows for the ~~nine~~three months ended
	~~September 30,~~March 31, 2022 and 2021 ~~and 2020~~ (unaudited)	4

	Notes to Consolidated Interim Financial Statements (unaudited)	5

Item 2.	Management’s Discussion and Analysis of Financial Condition and
	Results of Operation	3127

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	5342

Item 4.	Controls and Procedures	5342

PART II

OTHER INFORMATION

Item 1.	Legal Proceedings	5442

Item 1A.	Risk Factors	5443

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	5443

Item 3.	Defaults Upon Senior Securities	5443

Item 4.	Mine Safety Disclosures	5443

Item 5.	Other Information	5543

Item 6.	Exhibits	5544

EVEREST RE GROUP, LTD.

CONSOLIDATED BALANCE SHEETS

	September 30,		December 31,		March 31,		December 31,
(Dollars and share amounts in thousands, except par value per share)	2021		2020		2022		2021
	(unaudited)				(unaudited)
ASSETS:
Fixed maturities - available for sale, at market value	$	21,623,119	$	20,040,173
(amortized cost: 2021, $21,182,756; 2020, $19,225,067, credit allowances: 2021, $(31,980); 2020, $(1,745))
Fixed maturities - available for sale					$	21,998,415	$	22,308,272
(amortized cost: 2022, $22,693,029; 2021, $22,063,592, credit allowances: 2022, $(41,591); 2021, $(29,738))
Equity securities, at fair value		1,523,595		1,472,236		1,780,526		1,825,908
Short-term investments (cost: 2021, $713,144; 2020, $1,135,088)		713,144		1,134,950
Short-term investments (cost: 2022, $823,889; 2021, $1,178,386)						823,875		1,178,337
Other invested assets		2,855,372		2,012,581		2,917,039		2,919,965
Cash		1,068,441		801,651		1,778,218		1,440,861
Total investments and cash		27,783,671		25,461,591		29,298,073		29,673,343
Accrued investment income		170,364		141,304		156,997		149,105
Premiums receivable		3,408,338		2,680,562		3,264,023		3,293,598
Reinsurance recoverables		2,215,380		1,994,555		2,101,641		2,053,354
Funds held by reinsureds		811,269		716,655		920,054		868,601
Deferred acquisition costs		797,735		622,053		842,739		872,289
Prepaid reinsurance premiums		552,468		412,015		496,632		515,445
Income taxes net recoverable		-		17,253
Income taxes						117,609		2,381
Other assets		866,872		742,369		789,014		757,167
TOTAL ASSETS	$	36,606,097	$	32,788,357	$	37,986,782	$	38,185,283

LIABILITIES:
Reserve for losses and loss adjustment expenses	$	18,956,953	$	16,398,997	$	19,495,637	$	19,009,486
Future policy benefit reserve		36,533		37,723		34,523		35,669
Unearned premium reserve		4,421,098		3,501,359		4,571,705		4,609,634
Funds held under reinsurance treaties		18,279		15,807		4,732		18,391
Other net payable to reinsurers		485,682		294,347		464,000		449,723
Losses in course of payment		150,784		127,971		133,888		260,684
Senior notes due 6/1/2044		397,284		397,194
Senior notes due 10/15/2050		979,915		979,524
Long term notes due 5/1/2067		223,749		223,674
Senior notes						2,346,147		2,345,800
Long term notes						223,799		223,774
Borrowings from FHLB		310,000		310,000		519,000		519,000
Accrued interest on debt and borrowings		23,267		10,460		38,843		17,348
Unsettled securities payable		83,626		206,693		67,698		16,698
Income taxes net payable		4,074		-
Other liabilities		536,218		558,432		559,181		539,896
Total liabilities		26,627,462		23,062,181		28,459,153		28,046,103

Commitments and contingencies (Note 7)		(nil)		(nil)		(nil)		(nil)

SHAREHOLDERS' EQUITY:
Preferred shares, par value: $0.01; 50,000 shares authorized;
0 shares issued and outstanding		-		-		-		-
Common shares, par value: $0.01; 200,000 shares authorized; (2021) 69,806
and (2020) 69,620 outstanding before treasury shares		698		696
Common shares, par value: $0.01; 200,000 shares authorized; (2022) 69,977
and (2021) 69,790 outstanding before treasury shares						700		698
Additional paid-in capital		2,266,342		2,245,301		2,271,890		2,274,431
Accumulated other comprehensive income (loss), net of deferred income
tax expense (benefit) of $44,338 at 2021 and $80,451 at 2020		203,733		534,899
Treasury shares, at cost; 30,427 shares (2021) and 29,636 shares (2020)		(3,822,235)		(3,622,172)
tax expense (benefit) of $(89,926) at 2022 and $26,781 at 2021						(832,820)		11,523
Treasury shares, at cost; 30,529 shares (2022) and 30,524 shares (2021)						(3,848,630)		(3,847,308)
Retained earnings		11,330,097		10,567,452		11,936,489		11,699,836
Total shareholders' equity		9,978,635		9,726,176		9,527,629		10,139,180
TOTAL LIABILITIES AND SHAREHOLDERS' EQUITY	$	36,606,097	$	32,788,357	$	37,986,782	$	38,185,283

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

EVEREST RE GROUP, LTD.

CONSOLIDATED STATEMENTS OF OPERATIONS

AND COMPREHENSIVE INCOME (LOSS)

	Three Months Ended				Nine Months Ended				Three Months Ended
	September 30,				September 30,				March 31,
(Dollars in thousands, except per share amounts)	2021		2020		2021		2020		2022		2021
	(unaudited)				(unaudited)				(unaudited)
REVENUES:
Premiums earned	$	2,656,403	$	2,205,811	$	7,602,640	$	6,285,030	$	2,791,765	$	2,387,865
Net investment income		292,759		234,233		960,267		420,116		242,830		260,413
Net realized capital gains (losses):
Net gains (losses) on investments:
Credit allowances on fixed maturity securities		(7,329)		6,196		(30,234)		(19,641)		(11,853)		(6,977)
Other net realized capital gains (losses)		3,107		104,007		169,023		103,904
Total net realized capital gains (losses)		(4,222)		110,203		138,789		84,263
Gains (losses) from fair value adjustments										(136,860)		29,056
Net realized gains (losses) from dispositions										(4,914)		16,823
Total net gains (losses) on investments										(153,627)		38,902
Other income (expense)		(19,517)		59,937		44,190		47,306		15,363		56,593
Total revenues		2,925,423		2,610,184		8,745,886		6,836,715		2,896,331		2,743,773

CLAIMS AND EXPENSES:
Incurred losses and loss adjustment expenses		2,274,301		1,736,210		5,571,861		4,574,066		1,789,863		1,711,419
Commission, brokerage, taxes and fees		564,335		445,332		1,611,095		1,360,170		605,230		489,011
Other underwriting expenses		141,150		138,875		424,225		385,865		161,293		142,231
Corporate expenses		17,817		10,618		46,363		29,184		14,020		12,378
Interest, fees and bond issue cost amortization expense		15,539		6,641		46,785		21,477		24,078		15,639
Total claims and expenses		3,013,142		2,337,676		7,700,329		6,370,762		2,594,484		2,370,678

INCOME (LOSS) BEFORE TAXES		(87,719)		272,508		1,045,557		465,953		301,847		373,095
Income tax expense (benefit)		(14,251)		29,451		97,181		15,404		4,096		31,233

NET INCOME (LOSS)	$	(73,468)	$	243,057	$	948,376	$	450,549	$	297,751	$	341,862

Other comprehensive income (loss), net of tax:
Unrealized appreciation (depreciation) ("URA(D)") on securities arising during the period		(100,021)		63,480		(304,465)		335,835		(815,177)		(288,615)
Reclassification adjustment for realized losses (gains) included in net income (loss)		(1,388)		(11,453)		(3,464)		12,689		4,178		(3,666)
Total URA(D) on securities arising during the period		(101,409)		52,027		(307,929)		348,524		(810,999)		(292,281)

Foreign currency translation adjustments		(53,599)		60,628		(28,886)		30,390		(34,102)		(9,582)

Reclassification adjustment for amortization of net (gain) loss included in net income (loss)		1,563		1,806		5,649		4,532		758		2,043
Total benefit plan net gain (loss) for the period		1,563		1,806		5,649		4,532		758		2,043
Total other comprehensive income (loss), net of tax		(153,445)		114,461		(331,166)		383,446		(844,343)		(299,820)

COMPREHENSIVE INCOME (LOSS)	$	(226,913)	$	357,518	$	617,210	$	833,995	$	(546,592)	$	42,042

EARNINGS PER COMMON SHARE:
Basic	$	(1.88)	$	6.08	$	23.74	$	11.20	$	7.57	$	8.53
Diluted		(1.88)		6.07		23.72		11.18		7.56		8.52

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

EVEREST RE GROUP, LTD.

CONSOLIDATED STATEMENTS OF

CHANGES IN SHAREHOLDERS’ EQUITY

(Dollars in thousands, except share and dividends per share amounts)	2021		2020		2022		2021
	(unaudited)				(unaudited)
COMMON SHARES (shares outstanding):
Balance, January 1		39,983,481		40,798,963		39,266,633		39,983,481
Issued during the period, net		196,481		159,423		187,044		196,481
Treasury shares acquired		(97,462)		(970,892)		(5,000)		(97,462)
Balance, March 31		40,082,500		39,987,494		39,448,677		40,082,500
Issued during the period, net		940		(15,849)
Treasury shares acquired		(68,100)		-
Balance, June 30		40,015,340		39,971,645
Issued during the period, net		(10,721)		(5,129)
Treasury shares acquired		(625,358)		-
Balance, September 30		39,379,261		39,966,516

COMMON SHARES (par value):
Balance, January 1	$	696	$	694	$	698	$	696
Issued during the period, net		2		2		2		2
Balance, March 31		698		696		700		698
Issued during the period, net		-		-
Balance, June 30		698		696
Issued during the period, net		-		-
Balance, September 30		698		696

ADDITIONAL PAID-IN CAPITAL:
Balance, January 1		2,245,301		2,219,660		2,274,431		2,245,301
Share-based compensation plans		436		(3,181)		(2,541)		436
Balance, March 31		2,245,737		2,216,479		2,271,890		2,245,737
Share-based compensation plans		10,653		9,514
Balance, June 30		2,256,390		2,225,993
Share-based compensation plans		9,952		9,385
Balance, September 30		2,266,342		2,235,378

ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS),
NET OF DEFERRED INCOME TAXES:
Balance, January 1		534,899		28,152		11,523		534,899
Net increase (decrease) during the period		(299,820)		(297,903)		(844,343)		(299,820)
Balance, March 31		235,079		(269,751)		(832,820)		235,079
Net increase (decrease) during the period		122,099		566,888
Balance, June 30		357,178		297,137
Net increase (decrease) during the period		(153,445)		114,461
Balance, September 30		203,733		411,598

RETAINED EARNINGS:
Balance, January 1		10,567,452		10,306,571		11,699,836		10,567,452
Change to beginning balance due to adoption of Accounting Standards Update 2016-13		-		(4,214)
Net income (loss)		341,862		16,612		297,751		341,862
Dividends declared ($1.55 per share 2021 and $1.55 per share 2020)		(62,228)		(63,277)
Dividends declared ($1.55 per share 2022 and $1.55 per share 2021)						(61,097)		(62,228)
Balance, March 31		10,847,086		10,255,692		11,936,489		10,847,085
Net income (loss)		679,982		190,880
Dividends declared ($1.55 per share 2021 and $1.55 per share 2020)		(62,046)		(61,927)
Balance, June 30		11,465,022		10,384,645
Net income (loss)		(73,468)		243,057
Dividends declared ($1.55 per share 2021 and $1.55 per share 2020)		(61,457)		(61,910)
Balance, September 30		11,330,097		10,565,792

TREASURY SHARES AT COST:
Balance, January 1		(3,622,172)		(3,422,152)		(3,847,308)		(3,622,172)
Purchase of treasury shares		(23,545)		(200,020)		(1,322)		(23,545)
Balance, March 31		(3,645,717)		(3,622,172)		(3,848,630)		(3,645,717)
Purchase of treasury shares		(16,782)		-
Balance, June 30		(3,662,499)		(3,622,172)
Purchase of treasury shares		(159,736)		-
Balance, September 30		(3,822,235)		(3,622,172)

TOTAL SHAREHOLDERS' EQUITY, September 30	$	9,978,635	$	9,591,292
TOTAL SHAREHOLDERS' EQUITY, March 31					$	9,527,629	$	9,682,882

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

EVEREST RE GROUP, LTD.

CONSOLIDATED STATEMENTS OF CASH FLOWS

	Nine Months Ended				Three Months Ended
	September 30,				March 31,
(Dollars in thousands)	2021		2020		2022		2021
	(unaudited)				(unaudited)
CASH FLOWS FROM OPERATING ACTIVITIES:
Net income (loss)	$	948,376	$	450,549	$	297,751	$	341,862
Adjustments to reconcile net income to net cash provided by operating activities:
Decrease (increase) in premiums receivable		(736,614)		(357,162)		(14,203)		(105,460)
Decrease (increase) in funds held by reinsureds, net		(92,512)		(53,878)		(67,033)		(25,584)
Decrease (increase) in reinsurance recoverables		(230,593)		(172,454)		(125,881)		(14,518)
Decrease (increase) in income taxes		57,270		184,311		1,251		24,908
Decrease (increase) in prepaid reinsurance premiums		(146,639)		(7,963)		(7,167)		(27,071)
Increase (decrease) in reserve for losses and loss adjustment expenses		2,576,049		1,665,982		632,398		655,070
Increase (decrease) in future policy benefit reserve		(1,189)		(2,218)		(1,146)		(162)
Increase (decrease) in unearned premiums		927,524		392,904		4,045		196,631
Increase (decrease) in other net payable to reinsurers		198,954		68,784		46,310		105,390
Increase (decrease) in losses in course of payment		23,661		132,208		(125,074)		11,980
Change in equity adjustments in limited partnerships		(543,401)		(12,475)		(97,831)		(116,767)
Distribution of limited partnership income		105,571		55,576		71,174		18,125
Change in other assets and liabilities, net		(247,615)		(131,224)		47,052		(149,480)
Non-cash compensation expense		33,199		29,337		11,912		11,021
Amortization of bond premium (accrual of bond discount)		57,289		32,594		19,254		17,323
Net realized capital (gains) losses		(138,789)		(84,263)
Net (gains) losses on investments						153,627		(38,902)
Net cash provided by (used in) operating activities		2,790,541		2,190,608		846,439		904,366

CASH FLOWS FROM INVESTING ACTIVITIES:
Proceeds from fixed maturities matured/called - available for sale, at market value		2,756,963		1,781,821
Proceeds from fixed maturities sold - available for sale, at market value		883,149		1,390,747
Proceeds from fixed maturities sold - available for sale, at fair value		-		2,054
Proceeds from fixed maturities matured/called - available for sale						849,019		818,352
Proceeds from fixed maturities sold - available for sale						418,988		228,278
Proceeds from equity securities sold, at fair value		578,894		329,750		90,101		281,313
Distributions from other invested assets		216,573		210,527		162,719		52,211
Cost of fixed maturities acquired - available for sale, at market value		(5,670,636)		(3,874,890)
Cost of fixed maturities acquired - available for sale						(2,010,859)		(1,776,730)
Cost of equity securities acquired, at fair value		(507,862)		(460,953)		(195,026)		(174,981)
Cost of other invested assets acquired		(604,180)		(392,650)		(137,430)		(98,939)
Net change in short-term investments		422,643		(804,744)		354,761		308,585
Net change in unsettled securities transactions		(177,259)		89,064		46,399		(93,610)
Net cash provided by (used in) investing activities		(2,101,715)		(1,729,274)		(421,328)		(455,521)

CASH FLOWS FROM FINANCING ACTIVITIES:
Common shares issued during the period for share-based compensation, net of expense		(12,156)		(13,617)		(14,450)		(10,583)
Purchase of treasury shares		(200,064)		(200,020)		(1,322)		(23,545)
Dividends paid to shareholders		(185,731)		(187,110)		(61,097)		(62,229)
Cost of debt repurchase		-		(10,647)
FHLB borrowings (repayments)		-		90,000
Cost of shares withheld on settlements of share-based compensation awards		(15,133)		(15,298)		(16,692)		(12,507)
Net cash provided by (used in) financing activities		(413,084)		(336,691)		(93,561)		(108,864)

EFFECT OF EXCHANGE RATE CHANGES ON CASH		(8,952)		6,203		5,807		(8,972)

Net increase (decrease) in cash		266,790		130,845		337,357		331,009
Cash, beginning of period		801,651		808,036		1,440,861		801,651
Cash, end of period	$	1,068,441	$	938,881	$	1,778,218	$	1,132,660

SUPPLEMENTAL CASH FLOW INFORMATION:
Income taxes paid (recovered)	$	39,767	$	(169,149)	$	2,681	$	6,417
Interest paid		33,422		16,731		2,210		1,880

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 ~~September 30,~~March 31, 2022 and 2021 ~~and 2020~~

1. GENERAL

Everest Re Group, Ltd. (“Group”), a Bermuda company, through its subsidiaries, principally provides reinsurance and insurance in the U.S., Bermuda and international markets. As used in this document, “Company” means Group and its subsidiaries.

2. BASIS OF PRESENTATION

The unaudited consolidated financial statements of the Company as of ~~September 30, 2021~~March 31, 2022 and December 31, ~~2020~~2021 and for the three ~~and nine~~ months ended ~~September 30,~~March 31, 2022 and 2021 ~~and 2020~~ include all adjustments, consisting of normal recurring accruals, which, in the opinion of management, are necessary for a fair statement of the results on an interim basis. Certain financial information, which is normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”), has been omitted since it is not required for interim reporting purposes. The December 31, ~~2020~~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,~~March 31, 2022 and 2021 ~~and 2020~~ 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 ~~2019~~ and ~~2018,~~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") in which the Company has a controlling financial interest and all variable interest entities ("VIE") in 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 of 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. This is particularly true given the fluid and continuing nature of the COVID-19 Pandemic. This is an ongoing event and so is the Company’s evaluation and analysis. While the Company’s analysis considers all aspects of its operations, it does not take into account legal, regulatory or legislative intervention that could retroactively mandate or expand coverage provisions. Given the uncertainties in the current public health and economic environment, there could be an adverse impact on results for the Property & Casualty industry and the Company for the remainder of the year. The impact is dependent on the shape and length of the economic recovery.

All intercompany accounts and transactions have been eliminated.

Certain reclassifications and format changes have been made to prior years’ amounts to conform to the ~~2021~~2022 presentation.

Application of Recently Issued Accounting Standard Changes.

~~Reference Rate Reform - LIBOR.~~ InThe Company did not adopt any new accounting standards that had a material impact during the three months ended March ~~2020,~~31, 2022. The Company assessed the adoption impacts of recently issued accounting standards by the Financial Accounting Standards Board (“FASB”) issued ASU 2020-04 (and subsequently issued ASU 2021-01 in January 2021), which outlines the issues surrounding the cessation of LIBOR as a reference rate for contractual debt agreements. The guidance also details the potential alternative expedients and sources available for use in determination of rates and terms for such debt agreements in order to apply appropriate accounting policy. The guidance is effective for annual reporting

~~periods beginning after December 15, 2021. The Company is currently evaluating the impact of the adoption of ASU 2020-04 and 2021-01 on its financial statements.~~

~~Accounting for Income Taxes.~~ In December 2019, The FASB issued ASU 2019-12, which provides simplification of existing guidance for income taxes, including the removal of certain exceptions related to recognition of deferred tax liabilities on foreign subsidiaries. The guidance is effective for annual reporting periods beginning after December 15, 2020 and interim periods within that annual reporting period. The Company adopted the guidance as of January 1, 2021. The adoption of ASU 2019-12 did not have a material impact on the Company’s consolidated financial ~~statements.~~

~~Accounting~~statements as well as material updates to previous assessments, if any, from the Company’s Annual Report on Form 10-K for ~~Long Duration Contracts.~~ ~~In August 2018, FASB~~the year ended December 31, 2021. There were no new material accounting standards issued ~~ASU 2018-12, which discusses changes to~~in the recognition, measurement and presentation of long duration contracts. The main provisions of this guidance address the following: 1) In determining liability for future policy benefits, companies must review cash flow assumptions at least annually and the discount rate assumption at each reporting period date 2) Amortization of deferred acquisition costs has been simplified to be in constant level proportion to either premiums, gross profits or gross margins 3) Disaggregated roll forwards of beginning and ending liabilities for future policy benefits are required. The guidance was originally effective for annual reporting periods beginning after December 15, 2020 and interim periods withinthree months ended March 31, 2022, that annual reporting period. However, FASB issued ASU 2019-09 in November 2019 and then ASU 2020-11 in November 2021, which ultimately defers the effective date of ASU 2018-12 until annual reporting periods beginning after December 15, 2022. The Company is currently evaluating the impact of the adoption of ASU 2018-12 on its financial statements.impacted Group.

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.

3. INVESTMENTS

The following tables show amortized cost, allowance for credit losses, gross unrealized ~~appreciation, gross unrealized depreciation~~appreciation/(depreciation) and market value of ~~available for sale,~~ fixed maturity securities as of the dates indicated:

		At September 30, 2021											At March 31, 2022
		Amortized		Allowance for		Unrealized		Unrealized		Market			Amortized		Allowance for		Unrealized		Unrealized		Market
(Dollars in thousands)	(Dollars in thousands)	Cost		Credit Losses		Appreciation		Depreciation		Value		(Dollars in thousands)	Cost		Credit Losses		Appreciation		Depreciation		Value
Fixed maturity securities	Fixed maturity securities											Fixed maturity securities
	U.S. Treasury securities and obligations of											U.S. Treasury securities and obligations of
	U.S. government agencies and corporations	$	1,344,813	$	-	$	28,332	$	(10,323)	$	1,362,822	U.S. government agencies and corporations	$	1,387,723	$	-	$	9,506	$	(41,423)	$	1,355,806
	Obligations of U.S. states and political subdivisions		578,289		(151)		31,295		(1,058)		608,375	Obligations of U.S. states and political subdivisions		560,375		(151)		9,538		(10,574)		559,188
	Corporate securities		7,315,144		(22,890)		254,723		(52,736)		7,494,241	Corporate securities		7,510,255		(20,049)		64,802		(263,958)		7,291,050
	Asset-backed securities		3,284,025		(7,679)		32,405		(3,499)		3,305,252	Asset-backed securities		4,046,636		(7,679)		13,228		(54,294)		3,997,891
	Mortgage-backed securities											Mortgage-backed securities
	Commercial		1,042,504		-		49,729		(4,363)		1,087,870	Commercial		1,021,013		-		2,762		(31,904)		991,871
	Agency residential		2,208,540		-		45,876		(8,415)		2,246,001	Agency residential		2,387,754		-		5,354		(109,611)		2,283,497
	Non-agency residential		7,316		-		11		(21)		7,306	Non-agency residential		5,759		-		-		(114)		5,645
	Foreign government securities		1,428,105		-		54,778		(27,738)		1,455,145	Foreign government securities		1,414,589		-		16,763		(68,970)		1,362,382
	Foreign corporate securities		3,974,020		(1,260)		129,296		(45,949)		4,056,107	Foreign corporate securities		4,358,925		(13,712)		31,776		(225,904)		4,151,085
Total fixed maturity securities	Total fixed maturity securities	$	21,182,756	$	(31,980)	$	626,445	$	(154,102)	$	21,623,119	Total fixed maturity securities	$	22,693,029	$	(41,591)	$	153,729	$	(806,752)	$	21,998,415

		At December 31, 2020											At December 31, 2021
		Amortized		Allowance for		Unrealized		Unrealized		Market			Amortized		Allowance for		Unrealized		Unrealized		Market
(Dollars in thousands)	(Dollars in thousands)	Cost		Credit Losses		Appreciation		Depreciation		Value		(Dollars in thousands)	Cost		Credit Losses		Appreciation		Depreciation		Value
Fixed maturity securities	Fixed maturity securities											Fixed maturity securities
	U.S. Treasury securities and obligations of											U.S. Treasury securities and obligations of
	U.S. government agencies and corporations	$	1,325,156	$	-	$	49,084	$	(7,134)	$	1,367,106	U.S. government agencies and corporations	$	1,407,256	$	-	$	23,720	$	(10,358)	$	1,420,618
	Obligations of U.S. states and political subdivisions		543,895		-		34,654		(1,254)		577,295	Obligations of U.S. states and political subdivisions		558,842		(151)		29,080		(1,150)		586,621
	Corporate securities		6,824,800		(1,220)		380,677		(55,231)		7,149,026	Corporate securities		7,443,535		(19,267)		195,210		(62,580)		7,556,898
	Asset-backed securities		2,540,809		-		30,691		(5,698)		2,565,802	Asset-backed securities		3,579,439		(7,679)		21,817		(11,848)		3,581,729
	Mortgage-backed securities											Mortgage-backed securities
	Commercial		915,923		-		75,275		(895)		990,303	Commercial		1,032,506		-		37,550		(5,690)		1,064,366
	Agency residential		2,206,139		-		64,663		(3,063)		2,267,739	Agency residential		2,361,208		-		32,997		(18,873)		2,375,332
	Non-agency residential		5,187		-		9		(2)		5,194	Non-agency residential		6,530		-		22		(16)		6,536
	Foreign government securities		1,565,260		(22)		102,587		(22,450)		1,645,375	Foreign government securities		1,423,634		-		41,957		(28,079)		1,437,512
	Foreign corporate securities		3,297,898		(503)		204,023		(29,085)		3,472,333	Foreign corporate securities		4,250,642		(2,641)		95,195		(64,536)		4,278,660
Total fixed maturity securities	Total fixed maturity securities	$	19,225,067	$	(1,745)	$	941,663	$	(124,812)	$	20,040,173	Total fixed maturity securities	$	22,063,592	$	(29,738)	$	477,548	$	(203,130)	$	22,308,272

The amortized cost and market value of fixed maturity securities are shown in the following table by contractual maturity. Mortgage-backed securities are generally more likely to be prepaid than other fixed maturity securities. As the stated maturity of such securities may not be indicative of actual maturities, the totals for mortgage-backed and asset-backed securities are shown separately.

	At September 30, 2021				At December 31, 2020				At March 31, 2022				At December 31, 2021
	Amortized		Market		Amortized		Market		Amortized		Market		Amortized		Market
(Dollars in thousands)	Cost		Value		Cost		Value		Cost		Value		Cost		Value
Fixed maturity securities – available for sale:
Due in one year or less	$	1,621,263	$	1,621,541	$	1,365,793	$	1,374,674	$	1,391,977	$	1,391,679	$	1,398,742	$	1,398,006
Due after one year through five years		6,675,763		6,826,936		6,529,189		6,774,785		7,302,421		7,112,007		7,075,077		7,154,468
Due after five years through ten years		4,918,975		5,069,884		4,414,211		4,751,903		4,896,715		4,673,737		5,003,792		5,100,672
Due after ten years		1,424,370		1,458,329		1,247,816		1,309,773		1,640,754		1,542,088		1,606,298		1,627,163
Asset-backed securities		3,284,025		3,305,252		2,540,809		2,565,802		4,046,636		3,997,891		3,579,439		3,581,729
Mortgage-backed securities:
Commercial		1,042,504		1,087,870		915,923		990,303		1,021,013		991,871		1,032,506		1,064,366
Agency residential		2,208,540		2,246,001		2,206,139		2,267,739		2,387,754		2,283,497		2,361,208		2,375,332
Non-agency residential		7,316		7,306		5,187		5,194		5,759		5,645		6,530		6,536
Total fixed maturity securities	$	21,182,756	$	21,623,119	$	19,225,067	$	20,040,173	$	22,693,029	$	21,998,415	$	22,063,592	$	22,308,272

The changes in net unrealized appreciation (depreciation) for the Company’s investments are derived from the following sources for the periods indicated:

	Three Months Ended				Nine Months Ended				Three Months Ended
	September 30,				September 30,				March 31,
(Dollars in thousands)	2021		2020		2021		2020		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	$	(108,789)	$	55,587	$	(344,370)	$	392,640	$	(927,407)	$	(322,708)
Change in unrealized appreciation (depreciation), pre-tax		(108,789)		55,587		(344,370)		392,640		(927,407)		(322,708)
Deferred tax benefit (expense)		7,380		(3,560)		36,441		(44,116)		116,408		40,427
Change in unrealized appreciation (depreciation),
net of deferred taxes, included in shareholders’ equity	$	(101,409)	$	52,027	$	(307,929)	$	348,524	$	(810,999)	$	(292,281)

The Company reviews all of its fixed maturity, available for sale securities whose fair value has fallen below their amortized cost at the time of review. The Company then assesses whether the decline in value is due to non-credit related or credit related factors. In making its assessment, the Company evaluates the current market and interest rate environment as well as specific issuer information. Generally, a change in a security’s value caused by a change in the market, interest rate or foreign exchange environment does not constitute a credit impairment, but rather a non-credit related decline in market value. Non-credit related declines in market value are recorded as unrealized losses in accumulated other comprehensive income (loss). If the Company intends to

sell the security or is more likely than not to sell the security, the Company records the entire fair value adjustment in net realized capital gains (losses) in the Company’s consolidated statements of operations and comprehensive income (loss). If the Company determines that the decline is credit related and the Company does not have the intent to sell the security; and it is more likely than not that the Company will not have to sell the security before recovery of its cost basis, the Company establishes a credit allowance equal to the estimated credit loss and is recorded in net realized capital gains (losses) in the Company’s consolidated statements of operations and comprehensive income (loss). The amount of the allowance for a given security will generally be the difference between a discounted cash flow model and the Company’s carrying value. The fair value adjustment that is non-credit related is recorded as a component of other comprehensive income (loss), net of tax, and is included in accumulated other comprehensive income (loss) in the Company’s consolidated balance sheets. The Company will adjust the credit allowance account for future changes in credit loss estimates for a security and record this adjustment through net realized capital gains (losses) in the Company’s consolidated statements of operations and comprehensive income (loss).

The Company does not create an allowance for uncollectible interest. If interest is not received when due, the interest receivable is immediately reversed and no additional interest is accrued. If future interest is received that has not been accrued, it is recorded as income at that time.

The Company’s assessments are based on the issuers’ current and expected future financial position, timeliness with respect to interest and/or principal payments, speed of repayments and any applicable credit enhancements or breakeven constant default rates on mortgage-backed and asset-backed securities, as well as relevant information provided by rating agencies, investment advisors and analysts.

Retrospective adjustments are employed to recalculate the values of asset-backed securities. All of the Company’s asset-backed and mortgage-backed securities have a pass-through structure. Each acquisition lot is reviewed to recalculate the effective yield. The recalculated effective yield is used to derive a book value as if the new yield were applied at the time of acquisition. Outstanding principal factors from the time of acquisition to the adjustment date are used to calculate the prepayment history for all applicable securities. Conditional prepayment rates, computed with life to date factor histories and weighted average maturities, are used in the calculation of projected prepayments for pass-through security types.

		Duration of Unrealized Loss at March 31, 2022 By Security Type
	Less than 12 months				Greater than 12 months				Total
			Gross				Gross				Gross
			Unrealized				Unrealized				Unrealized
(Dollars in thousands)	Market Value		Depreciation		Market Value		Depreciation		Market Value		Depreciation
Fixed maturity securities - available for sale
U.S. Treasury securities and obligations of
U.S. government agencies and corporations	$	735,568	$	(31,508)	$	140,967	$	(9,915)	$	876,535	$	(41,423)
Obligations of U.S. states and political subdivisions		135,080		(8,844)		12,751		(1,683)		147,831		(10,527)
Corporate securities		3,552,799		(191,372)		804,526		(71,842)		4,357,325		(263,214)
Asset-backed securities		3,072,751		(51,294)		41,984		(3,000)		3,114,735		(54,294)
Mortgage-backed securities
Commercial		696,096		(29,358)		19,307		(2,546)		715,403		(31,904)
Agency residential		1,405,047		(67,884)		511,034		(41,727)		1,916,081		(109,611)
Non-agency residential		4,831		(102)		815		(12)		5,646		(114)
Foreign government securities		868,416		(37,826)		173,278		(31,144)		1,041,694		(68,970)
Foreign corporate securities		2,674,129		(177,921)		444,844		(47,682)		3,118,973		(225,603)
Total	$	13,144,717	$	(596,109)	$	2,149,506	$	(209,551)	$	15,294,223	$	(805,660)
Securities where an allowance for credit loss was recorded		18,830		(1,092)		-		-		18,830		(1,092)
Total fixed maturity securities	$	13,163,547	$	(597,201)	$	2,149,506	$	(209,551)	$	15,313,053	$	(806,752)

Duration of Unrealized Loss at September 30, 2021 By Security Type

Less than 12 months

Greater than 12 months

Total

Gross

Gross

Gross

Unrealized

Unrealized

Unrealized
(Dollars in thousands)
Market Value

Depreciation

Market Value

Depreciation

Market Value

Depreciation
Fixed maturity securities - available for sale

U.S. Treasury securities and obligations of

U.S. government agencies and corporations
$
381,357

$
(6,369)

$
57,084

$
(3,954)

$
438,441

$
(10,323)
Obligations of U.S. states and political subdivisions

61,687

(937)

3,569

(121)

65,256

(1,058)
Corporate securities

1,559,623

(32,541)

399,617

(20,195)

1,959,240

(52,736)
Asset-backed securities

610,425

(3,131)

23,396

(368)

633,821

(3,499)
Mortgage-backed securities

Commercial

108,367

(3,138)

26,144

(1,225)

134,511

(4,363)
Agency residential

814,318

(5,631)

134,746

(2,784)

949,064

(8,415)
Non-agency residential

2,742

(19)

156

(2)

2,898

(21)
Foreign government securities

382,570

(22,491)

58,238

(5,247)

440,808

(27,738)
Foreign corporate securities

1,221,503

(34,080)

183,579

(11,869)

1,405,082

(45,949)
Total fixed maturity securities
$
5,142,592

$
(108,337)

$
886,529

$
(45,765)

$
6,029,121

$
(154,102)

		Duration of Unrealized Loss at March 31, 2022 By Maturity
	Less than 12 months				Greater than 12 months				Total
			Gross				Gross				Gross
			Unrealized				Unrealized				Unrealized
(Dollars in thousands)	Market Value		Depreciation		Market Value		Depreciation		Market Value		Depreciation
Fixed maturity securities
Due in one year or less	$	170,052	$	(2,305)	$	105,909	$	(9,957)	$	275,961	$	(12,262)
Due in one year through five years		3,852,436		(164,170)		755,276		(55,787)		4,607,712		(219,957)
Due in five years through ten years		2,843,780		(178,654)		628,985		(82,375)		3,472,765		(261,029)
Due after ten years		1,099,724		(102,342)		86,196		(14,147)		1,185,920		(116,489)
Asset-backed securities		3,072,751		(51,294)		41,984		(3,000)		3,114,735		(54,294)
Mortgage-backed securities		2,105,974		(97,344)		531,156		(44,285)		2,637,130		(141,629)
Total	$	13,144,717	$	(596,109)	$	2,149,506	$	(209,551)	$	15,294,223	$	(805,660)
Securities where an allowance for credit loss was recorded		18,830		(1,092)		-		-		18,830		(1,092)
Total fixed maturity securities	$	13,163,547	$	(597,201)	$	2,149,506	$	(209,551)	$	15,313,053	$	(806,752)

Duration of Unrealized Loss at September 30, 2021 By Maturity

Less than 12 months

Greater than 12 months

Total

Gross

Gross

Gross

Unrealized

Unrealized

Unrealized
(Dollars in thousands)
Market Value

Depreciation

Market Value

Depreciation

Market Value

Depreciation
Fixed maturity securities

Due in one year or less
$
178,193

$
(6,982)

$
150,934

$
(11,210)

$
329,127

$
(18,192)
Due in one year through five years

1,494,463

(33,475)

381,773

(17,997)

1,876,236

(51,472)
Due in five years through ten years

1,466,402

(45,526)

123,239

(9,696)

1,589,641

(55,222)
Due after ten years

467,682

(10,435)

46,141

(2,483)

513,823

(12,918)
Asset-backed securities

610,425

(3,131)

23,396

(368)

633,821

(3,499)
Mortgage-backed securities

925,427

(8,788)

161,046

(4,011)

1,086,473

(12,799)
Total fixed maturity securities
$
5,142,592

$
(108,337)

$
886,529

$
(45,765)

$
6,029,121

$
(154,102)

The aggregate market value and gross unrealized losses related to investments in an unrealized loss position at ~~September 30, 2021~~March 31, 2022 were ~~$6,029.1 million~~$15.3 billion and ~~$154.1~~$806.8 million, respectively. The market value of securities for the single issuer (the United States government) whose securities comprised the largest unrealized loss position at ~~September 30, 2021,~~March 31, 2022, did not exceed ~~1.7%~~4.0% 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 position at ~~September 30, 2021,~~March 31, 2022, comprised less than ~~0.6%~~0.9% 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 ~~$108.3~~$597.2 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~~agency residential mortgage-backed securities, ~~U.S. Treasury and government~~asset-backed securities and ~~agency residential mortgage-backed~~foreign government securities. Of these unrealized losses, ~~$101.6~~$551.4 million were related to securities that were rated investment grade by at least one nationally recognized rating agency. The ~~$45.8~~$209.6 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 ~~and domestic~~ corporate securities, agency residential mortgage-backed securities and foreign government securities. Of these unrealized losses, ~~$43.4~~$201.8 million were related to securities that were rated investment grade by at least one nationally recognized rating agency. ~~There was 0 gross unrealized depreciation for mortgage-backed securities related to sub-prime and alt-A loans.~~ 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. 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.

Duration of Unrealized Loss at December 31, 2020 By Security Type

Less than 12 months

Greater than 12 months

Total

Gross

Gross

Gross

Unrealized

Unrealized

Unrealized
(Dollars in thousands)
Market Value

Depreciation

Market Value

Depreciation

Market Value

Depreciation
Fixed maturity securities - available for sale

U.S. Treasury securities and obligations of

U.S. government agencies and corporations
$
135,190

$
(7,134)

$
-

$
-

$
135,190

$
(7,134)
Obligations of U.S. states and political subdivisions

19,524

(999)

4,059

(255)

23,583

(1,254)
Corporate securities

669,755

(26,159)

247,962

(29,072)

917,717

(55,231)
Asset-backed securities

235,566

(4,768)

85,595

(930)

321,161

(5,698)
Mortgage-backed securities

Commercial

53,511

(578)

6,592

(317)

60,103

(895)
Agency residential

434,447

(2,016)

50,353

(1,047)

484,800

(3,063)
Non-agency residential

185

(2)

-

-

185

(2)
Foreign government securities

114,755

(8,813)

150,812

(13,637)

265,567

(22,450)
Foreign corporate securities

354,548

(17,489)

115,595

(11,596)

470,143

(29,085)
Total fixed maturity securities
$
2,017,481

$
(67,958)

$
660,968

$
(56,854)

$
2,678,449

$
(124,812)

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
			Unrealized				Unrealized				Unrealized
(Dollars in thousands)	Market Value		Depreciation		Market Value		Depreciation		Market Value		Depreciation
Fixed maturity securities - available for sale
U.S. Treasury securities and obligations of
U.S. government agencies and corporations	$	504,168	$	(6,264)	$	91,735	$	(4,094)	$	595,903	$	(10,358)
Obligations of U.S. states and political subdivisions		51,094		(1,038)		2,558		(112)		53,652		(1,150)
Corporate securities		2,132,576		(38,316)		472,831		(24,264)		2,605,407		(62,580)
Asset-backed securities		1,954,079		(11,180)		41,823		(668)		1,995,902		(11,848)
Mortgage-backed securities
Commercial		221,852		(2,854)		40,496		(2,836)		262,348		(5,690)
Agency residential		1,101,215		(12,178)		279,697		(6,695)		1,380,912		(18,873)
Non-agency residential		2,320		(14)		156		(2)		2,476		(16)
Foreign government securities		392,447		(9,709)		100,673		(18,370)		493,120		(28,079)
Foreign corporate securities		1,734,510		(46,247)		210,722		(18,289)		1,945,232		(64,536)
Total fixed maturity securities	$	8,094,261	$	(127,800)	$	1,240,691	$	(75,330)	$	9,334,952	$	(203,130)

		Duration of Unrealized Loss at December 31, 2020 By Maturity												Duration of Unrealized Loss at December 31, 2021 By Maturity
	Less than 12 months				Greater than 12 months				Total				Less than 12 months				Greater than 12 months				Total
			Gross				Gross				Gross				Gross				Gross				Gross
			Unrealized				Unrealized				Unrealized				Unrealized				Unrealized				Unrealized
(Dollars in thousands)	Market Value		Depreciation		Market Value		Depreciation		Market Value		Depreciation		Market Value		Depreciation		Market Value		Depreciation		Market Value		Depreciation
Fixed maturity securities
Due in one year or less	$	96,144	$	(4,942)	$	112,419	$	(12,071)	$	208,563	$	(17,013)	$	129,860	$	(2,415)	$	136,827	$	(11,832)	$	266,687	$	(14,247)
Due in one year through five years		653,816		(32,469)		283,866		(21,319)		937,682		(53,788)		2,165,467		(35,264)		446,247		(28,685)		2,611,714		(63,949)
Due in five years through ten years		422,517		(19,392)		49,749		(2,034)		472,266		(21,426)		1,727,823		(47,413)		244,454		(22,038)		1,972,277		(69,451)
Due after ten years		121,295		(3,791)		72,394		(19,136)		193,689		(22,927)		791,645		(16,482)		50,991		(2,574)		842,636		(19,056)
Asset-backed securities		235,566		(4,768)		85,595		(930)		321,161		(5,698)		1,954,079		(11,180)		41,823		(668)		1,995,902		(11,848)
Mortgage-backed securities		488,143		(2,596)		56,945		(1,364)		545,088		(3,960)		1,325,387		(15,046)		320,349		(9,533)		1,645,736		(24,579)
Total fixed maturity securities	$	2,017,481	$	(67,958)	$	660,968	$	(56,854)	$	2,678,449	$	(124,812)	$	8,094,261	$	(127,800)	$	1,240,691	$	(75,330)	$	9,334,952	$	(203,130)

The aggregate market value and gross unrealized losses related to investments in an unrealized loss position at December 31, ~~2020~~2021 were ~~$2,678.4 million~~$9.3 billion and ~~$124.8~~$203.1 million, respectively. The market value of securities for the single issuer (the United States government) whose securities comprised the largest unrealized loss position at December 31, ~~2020,~~2021, did not exceed ~~0.7%~~2.7% 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 ~~0.1%~~0.5% 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 ~~$68.0~~$127.8 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, agency residential mortgage-backed securities, asset-backed securities and foreign government securities. Of these unrealized losses, ~~$63.4~~$116.2 million were related to securities that were rated investment grade by at least one nationally recognized rating agency. The ~~$56.9~~$75.3 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, foreign government securities and agency residential mortgage-backed securities. Of these unrealized losses, ~~$33.5~~$72.3 million were related to securities that were rated investment grade by at least one nationally recognized rating agency. ~~There was 0 gross unrealized depreciation for mortgage-backed securities related to sub-prime and alt-A loans.~~ 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 table below for the periods indicated:

	Three Months Ended				Nine Months Ended				Three Months Ended
	September 30,				September 30,				March 31,
(Dollars in thousands)	2021		2020		2021		2020		2022		2021
Fixed maturities	$	134,157	$	136,104	$	423,335	$	407,946	$	148,226	$	140,916
Equity securities		3,774		4,402		12,105		11,585		4,146		4,838
Short-term investments and cash		82		494		1,035		4,356		159		180
Other invested assets:
Limited partnerships		138,718		88,778		493,017		22,092		88,437		114,333
Other		30,954		14,742		62,828		(1,291)		11,831		6,019
Gross investment income before adjustments		307,685		244,520		992,320		444,688		252,799		266,286
Funds held interest income (expense)		1,196		684		12,449		10,921		3,685		7,966
Future policy benefit reserve income (expense)		(272)		(291)		(733)		(805)		(222)		(291)
Gross investment income		308,609		244,913		1,004,036		454,804		256,262		273,961
Investment expenses		(15,850)		(10,680)		(43,769)		(34,688)		(13,432)		(13,548)
Net investment income	$	292,759	$	234,233	$	960,267	$	420,116	$	242,830	$	260,413

The Company records results from limited partnership investments on the equity method of accounting with changes in value reported through net investment income. The net investment income from limited partnerships is dependent upon the Company’s share of the net asset values of interests underlying each limited partnership. Due to the timing of receiving financial information from these partnerships, the results are generally reported on a one month or quarter lag. If the Company determines there has been a significant

109

decline in value of a 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 to invest up to an additional ~~$2,648.1 million~~$2.5 billion in limited partnerships and private placement loan securities at ~~September 30, 2021.~~March 31, 2022. These commitments will be funded when called in accordance with the partnership and loan agreements, which have investment periods that expire, unless extended, through 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 in high quality, short-duration securities and permits daily liquidity. The Company consolidates its participation in the facility. As of ~~September 30, 2021,~~March 31, 2022, the market value of investments in the facility consolidated within the Company’s balance sheets was ~~$429.7~~$773.3 million.

Variable Interest Entities

The Company is engaged with various special purpose entities and other entities that are deemed to be VIEs primarily as an investor through normal investment activities but also as an investment manager. A VIE is an entity that either has investors that lack certain essential characteristics of a controlling financial interest, such as simple majority kick-out rights, or lacks sufficient funds to finance its own activities without financial support provided by other entities. The Company performs ongoing qualitative assessments of its VIEs to determine whether the Company has a controlling financial interest in the VIE and therefore is 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 to absorb losses or right to receive benefits from the VIE that could potentially be significant to the VIE. Based on the Company’s assessment, if it determines it is the primary beneficiary, the Company consolidates the VIE in the Company’s Consolidated Financial Statements. As of March 31, 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 in general and limited partnerships and other alternative investments. For these non-consolidated VIEs, the Company has determined it is not the primary beneficiary as it has no ability to direct activities that could significantly affect the economic performance of the investments. The Company’s maximum exposure to loss as of March 31, 2022 and December 31, 2021 is limited to the total carrying value of $2.9 billion and $2.9 billion, respectively, which are included in general and limited partnerships and other alternative investments in Other Invested Assets in the Company's Consolidated Balance Sheets. As of March 31, 2022, the Company has outstanding commitments totaling $2.2 billion whereby the Company is committed to fund these investments and may be called by the partnership during the commitment period to fund the purchase of new investments and partnership expenses. These investments are generally of a passive nature in that the Company does not take an active role in management.

In addition, the Company makes passive investments in structured securities issued by VIEs for which the Company is not the manager. These investments are included in asset-backed securities, which includes collateralized loan obligations and are reported in fixed maturities, available-for-sale. The Company has not provided financial or other support with respect to 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 to 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 ~~realized capital~~ gains (losses) on investments are presented in the tables below for the periods indicated:

	Three Months Ended				Nine Months Ended				Three Months Ended
	September 30,				September 30,				March 31,
(Dollars in thousands)	2021			2020	2021			2020	2022			2021
Fixed maturity securities, market value:
Allowance for credit losses	$	(7,329)	$	6,196	$	(30,234)	$	(19,641)	$	(11,853)	$	(6,977)
Gains (losses) from sales		6,219		5,398		25,453		941
Fixed maturity securities, fair value:
Gains (losses) from sales		-		(1,968)		-		(1,968)
Gains (losses) from fair value adjustments		-		3,339		-		1,944
Net realized gains (losses) from dispositions										2,799		9,174
Equity securities, fair value:
Gains (losses) from sales		(489)		(1,317)		9,504		(12,642)
Net realized gains (losses) from dispositions										(11,787)		6,238
Gains (losses) from fair value adjustments		(4,542)		96,673		128,039		114,364		(136,860)		29,056
Other invested assets		1,920		1,084		6,014		50		4,152		1,346
Short-term investments gain (loss)		-		798		13		1,215		(78)		66
Total net realized capital gains (losses)	$	(4,222)	$	110,203	$	138,789	$	84,263
Total net gains (losses) on investments									$	(153,627)	$	38,902

(Some amounts may not reconcile due to rounding.)

	Roll Forward of Allowance for Credit Losses																								Roll Forward of Allowance for Credit Losses
	Three Months Ended September 30, 2021												Nine Months Ended September 30, 2021												Three Months Ended March 31, 2022
					Obligations of												Obligations of												Obligations of
					U.S. States		Foreign		Foreign								U.S. States		Foreign		Foreign								U.S. States		Foreign
	Corporate		Asset-Backed		and Political		Government		Corporate				Corporate		Asset-Backed		and Political		Government		Corporate				Corporate		Asset-Backed		and Political		Corporate
	Securities		Securities		Subdivisions		Securities		Securities		Total		Securities		Securities		Subdivisions		Securities		Securities		Total		Securities		Securities		Subdivisions		Securities		Total
(Dollars in thousands)

Beginning Balance	$	(18,475)	$	(4,915)	$	-	$	-	$	(1,260)	$	(24,650)	$	(1,220)	$	-	$	-	$	(22)	$	(503)	$	(1,745)	$	(19,267)	$	(7,679)	$	(151)	$	(2,641)	$	(29,738)
Credit losses on securities where credit
losses were not previously recorded		(5,257)				(151)		-		-		(5,408)		(21,177)		(4,915)		(151)		-		(1,055)		(27,298)		(1,929)		-		-		(11,184)		(13,113)
Increases in allowance on previously
impaired securities		(620)		(2,764)		-		-		-		(3,384)		(2,088)		(2,764)		-		-		-		(4,852)		-		-		-		-		-
Decreases in allowance on previously
impaired securities		-		-		-		-		-		-		-		-		-		-		-		-		-		-		-		-		-
Reduction in allowance due to disposals		1,462		-		-		-		-		1,462		1,595		-		-		22		298		1,915		1,147		-		-		113		1,260

Balance as of September 30, 2021	$	(22,890)	$	(7,679)	$	(151)	$	-	$	(1,260)	$	(31,980)	$	(22,890)	$	(7,679)	$	(151)	$	-	$	(1,260)	$	(31,980)
Balance as of March 31, 2022																									$	(20,049)	$	(7,679)	$	(151)	$	(13,712)	$	(41,591)

	Roll Forward of Allowance for Credit Losses
	Three Months Ended March 31, 2021
					Foreign		Foreign
	Corporate		Asset-Backed		Government		Corporate
	Securities		Securities		Securities		Securities		Total
(Dollars in thousands)
Beginning Balance	$	(1,220)	$	-	$	(22)	$	(503)	$	(1,745)
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		-		-		22		298		320

Balance as of March 31, 2021	$	(3,603)	$	(4,915)	$	-	$	(205)	$	(8,723)

Roll Forward of Allowance for Credit Losses

Three Months Ended September 30, 2020

Nine Months Ended September 30, 2020

Foreign

Foreign

Foreign

Foreign

Corporate

Government

Corporate

Corporate

Government

Corporate

Securities

Securities

Securities

Total

Securities

Securities

Securities

Total
(Dollars in thousands)

Beginning Balance
$
(22,253)

$
(92)

$
(3,492)

$
(25,837)

$
-

$
-

$
-

$
-
Credit losses on securities where credit

losses were not previously recorded

(6)

-

(144)

(150)

(27,666)

(519)

(4,699)

(32,884)
Increases in allowance on previously

-

impaired securities

(5,354)

(27)

(181)

(5,562)

(6,136)

(27)

(481)

(6,644)
Decreases in allowance on previously

impaired securities

159

-

151

310

3,590

212

844

4,646
Reduction in allowance due to disposals

9,980

-

1,618

11,598

12,738

215

2,288

15,241

Balance as of September 30, 2020
$
(17,474)

$
(119)

$
(2,048)

$
(19,641)

$
(17,474)

$
(119)

$
(2,048)

$
(19,641)

The Company recorded as net realized capital gains (losses) in the consolidated statements of operations and comprehensive income (loss) fair value re-measurements, allowances for credit losses per ASU 2016-13 and write-downs in the value of securities deemed to be impaired on an other-than-temporary basis in prior years as displayed in the table above.

The proceeds and split between gross gains and losses from ~~sales~~dispositions of fixed maturity and equity securities, are presented in the table below for the periods indicated:

Three Months Ended

Nine Months Ended

September 30,

September 30,
(Dollars in thousands)
2021

2020

2021

2020
Proceeds from sales of fixed maturity securities
$
283,412

$
402,528

$
883,149

$
1,392,801
Gross gains from sales

17,004

18,721

51,738

54,077
Gross losses from sales

(10,785)

(15,291)

(26,285)

(55,104)

Proceeds from sales of equity securities
$
104,231

$
116,565

$
578,894

$
329,750
Gross gains from sales

2,768

9,512

20,875

30,268
Gross losses from sales

(3,257)

(10,829)

(11,371)

(42,910)

	Three Months Ended
	March 31,
(Dollars in thousands)	2022		2021
Proceeds from sales of fixed maturity securities	$	418,988	$	228,278
Gross gains from dispositions		20,122		14,864
Gross losses from dispositions		(17,324)		(5,690)

Proceeds from sales of equity securities	$	90,101	$	281,313
Gross gains from dispositions		3,508		12,304
Gross losses from dispositions		(15,294)		(6,066)

4. RESERVE FOR LOSSES, LAE AND FUTURE POLICY BENEFIT RESERVE

Activity in the reserve for losses and LAE is summarized for the periods indicated:

	Nine Months Ended				Three Months Ended
	September 30,				March 31,
(Dollars in thousands)	2021		2020		2022		2021
Gross reserves beginning of period	$	16,398,997	$	13,611,313	$	19,009,486	$	16,322,143
Less reinsurance recoverables on unpaid losses		(1,843,691)		(1,640,712)		(1,946,365)		(1,843,691)
Net reserves beginning of period		14,555,306		11,970,601		17,063,121		14,478,452

Incurred related to:
Current year		5,577,911		4,572,640		1,790,798		1,713,253
Prior years		(6,050)		1,426		(935)		(1,834)
Total incurred losses and LAE		5,571,861		4,574,066		1,789,863		1,711,419

Paid related to:
Current year		1,375,665		1,015,538		307,661		215,302
Prior years		1,786,393		2,042,712		918,834		837,035
Total paid losses and LAE		3,162,058		3,058,250		1,226,495		1,052,337

Foreign exchange/translation adjustment		(41,000)		(28,024)		(121,934)		(5,841)

Net reserves end of period		16,924,109		13,458,393		17,504,555		15,131,694
Plus reinsurance recoverables on unpaid losses		2,032,844		1,774,732		1,991,082		1,882,112
Gross reserves end of period	$	18,956,953	$	15,233,125	$	19,495,637	$	17,013,806

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

Current year incurred losses were ~~$5,577.9 million~~$1.8 billion and ~~$4,572.6 million~~$1.7 billion for the ~~nine~~three months ended ~~September 30,~~March 31, 2022 and 2021, ~~and 2020,~~ respectively. Gross and net reserves increased for the ~~nine~~three months ended ~~September 30, 2021,~~March 31, 2022, reflecting an increase in underlying exposure due to premium growth, ~~and catastrophe losses~~partially offset by a reduction of ~~$1,010.0~~$155.0 million ~~and $355.0 million for the nine months ended September 30, 2021 and 2020, respectively. In addition,~~in current year ~~incurred losses for the nine months ended September 30, 2020 included $434.9 million of losses associated with the COVID-19 Pandemic which did not recur in 2021.~~catastrophe losses.

5. FAIR VALUE

GAAP guidance regarding fair value measurements ~~address~~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. In addition, it establishes a three-level valuation hierarchy for the disclosure of 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 is 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 to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or 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 by 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 do not trade on a daily basis the services will apply available information through processes such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing. In addition, they use model processes, such as the Option Adjusted Spread model to 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. In addition, the investment asset managers have procedures in place to review the reasonableness of the prices from the service providers and may request verification of the prices. ~~In addition, the~~The Company also continually performs ~~analytical reviews~~quantitative and qualitative analysis 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 ~~changes and tests the prices on a random basis to an independent pricing source.~~source for reasonableness. No material variances were noted during these price validation procedures. In limited situations, where financial markets are inactive or illiquid, the Company may use its own assumptions about future cash flows and risk-adjusted discount rates to determine fair value. At ~~September 30, 2021, $1,803.0 million~~March 31, 2022, $2.1 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 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, ~~2020, $1,330.2 million~~2021, $2.1 billion of fixed maturities, market value were fair valued using unobservable inputs.

The Company internally manages a public equity portfolio which had a fair value at ~~September 30, 2021~~March 31, 2022 and December 31, ~~2020~~2021 of ~~$1,253.9 million~~$1.4 billion and ~~$784.7 million, respectively,~~$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 securities which had a fair value of $2.1 billion and ~~all~~$2.0 billion at March 31, 2022 and December 31, 2021, respectively. All prices for these securities were obtained from publicly published ~~sources.~~sources or nationally recognized pricing vendors.

Equity securities denominated in U.S. currency with quoted prices in active markets for identical assets 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.

~~All categories of fixed~~Fixed maturity securities listed in the tables ~~below are generally~~have been 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 as

interest rate yield curves and prices for similar fixed maturity securities in terms of issuer, maturity and seniority. For foreign government securities and foreign corporate securities, the fair values provided by the third party pricing services in local currencies, and where applicable, are converted to 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.~~services and are derived using unobservable inputs. The ~~asset~~Company will value the securities with unobservable inputs using comparable market information or receive fair values from investment managers. The investment 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. In limited circumstances when broker prices are not available for private placements, the Company will value the securities using comparable market information or receive fair values from investment managers.

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 on observable market inputs such as quoted market prices, quoted prices for similar securities, benchmark yields and credit spreads;

• Asset-backed and mortgage-backed 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 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;

• 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.

1514

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

Fair Value Measurement Using:

Quoted Prices

in Active

Significant

Markets for

Other

Significant

Identical

Observable

Unobservable

Assets

Inputs

Inputs
(Dollars in thousands)

September 30, 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

$
1,362,822

$
-

$
1,362,822

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

608,375

-

608,375

-
Corporate securities

7,494,241

-

6,700,200

794,041
Asset-backed securities

3,305,252

-

2,301,183

1,004,069
Mortgage-backed securities

Commercial

1,087,870

-

1,087,870

-
Agency residential

2,246,001

-

2,246,001

-
Non-agency residential

7,306

-

7,306

-
Foreign government securities

1,455,145

-

1,455,145

-
Foreign corporate securities

4,056,107

-

4,051,232

4,875
Total fixed maturities, market value

21,623,119

-

19,820,134

1,802,985

Equity securities, fair value

1,523,595

1,451,271

72,324

-

Fair Value Measurement Using:

Quoted Prices

in Active

Significant

Markets for

Other

Significant

Identical

Observable

Unobservable

Assets

Inputs

Inputs
(Dollars in thousands)

December 31, 2020

(Level 1)

(Level 2)

(Level 3)
Assets:

Fixed maturities, market value

U.S. Treasury securities and obligations of

U.S. government agencies and corporations

$
1,367,106

$
-

$
1,367,106

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

577,295

-

577,295

-
Corporate securities

7,149,026

-

6,447,534

701,492
Asset-backed securities

2,565,802

-

1,942,769

623,033
Mortgage-backed securities

Commercial

990,303

-

990,303

-
Agency residential

2,267,739

-

2,267,739

-
Non-agency residential

5,194

-

5,194

-
Foreign government securities

1,645,375

-

1,645,375

-
Foreign corporate securities

3,472,333

-

3,466,634

5,699
Total fixed maturities, market value

20,040,173

-

18,709,949

1,330,224

Equity securities, fair value

1,472,236

1,368,704

103,532

-

			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	$	1,355,806	$	-	$	1,355,806	$	-
Obligations of U.S. States and political subdivisions		559,188		-		559,188		-
Corporate securities		7,291,050		-		6,576,394		714,656
Asset-backed securities		3,997,891		-		2,609,200		1,388,691
Mortgage-backed securities
Commercial		991,871		-		985,981		5,890
Agency residential		2,283,497		-		2,283,497		-
Non-agency residential		5,645		-		5,645		-
Foreign government securities		1,362,382		-		1,362,382		-
Foreign corporate securities		4,151,085		-		4,135,159		15,926
Total fixed maturities, market value		21,998,415		-		19,873,252		2,125,163

Equity securities, fair value		1,780,526		1,698,324		82,202		-

				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	$	1,420,618	$	-	$	1,420,618	$	-
Obligations of U.S. States and political subdivisions		586,621		-		586,621		-
Corporate securities		7,556,898		-		6,756,324		800,574
Asset-backed securities		3,581,729		-		2,330,448		1,251,281
Mortgage-backed securities
Commercial		1,064,366		-		1,064,366		-
Agency residential		2,375,332		-		2,375,332		-
Non-agency residential		6,536		-		6,536		-
Foreign government securities		1,437,512		-		1,437,512		-
Foreign corporate securities		4,278,660		-		4,262,645		16,015
Total fixed maturities, market value		22,308,272		-		20,240,402		2,067,870

Equity securities, fair value		1,825,908		1,742,367		83,541		-

In addition, ~~$266.3~~$299.6 million and ~~$224.7~~$286.6 million of investments within other invested assets on the consolidated balance sheets as of ~~September 30, 2021~~March 31, 2022 and December 31, ~~2020,~~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.

1615

The following ~~tables present~~table presents the activity under Level 3, fair value measurements using significant unobservable inputs for fixed maturities, for the periods indicated:

Total Fixed Maturities, Market Value

Three Months Ended September 30, 2021

Nine Months Ended September 30, 2021

Corporate

Asset-Backed

Foreign

Corporate

Asset-Backed

Foreign

(Dollars in thousands)

Securities

Securities

Corporate

Total

Securities

Securities

Corporate

Total
Beginning balance fixed maturities at market value

$
705,571

$
815,276

$
4,887

$
1,525,734

$
701,492

$
623,033

$
5,699

$
1,330,224
Total gains or (losses) (realized/unrealized)

Included in earnings

3,184

(3,292)

33

(75)

(12,366)

(7,254)

173

(19,447)
Included in other comprehensive income (loss)

(1,311)

(381)

(34)

(1,726)

6,107

4,094

(70)

10,131
Purchases, issuances and settlements

86,597

192,466

(12)

279,051

98,808

384,196

(928)

482,076
Transfers in and/or (out) of Level 3

-

-

-

-

-

-

-

-
Ending balance

$
794,041

$
1,004,069

$
4,875

$
1,802,984

$
794,041

$
1,004,069

$
4,875

$
1,802,984

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

$
761

$
(2,764)

$
-

$
(2,003)

$
(16,518)

$
(7,679)

$
-

$
(24,197)

(Some amounts may not reconcile due to rounding.)

Total Fixed Maturities, Market Value

Three Months Ended September 30, 2020

Nine Months Ended September 30, 2020

Corporate

Asset-Backed

Foreign

Corporate

Asset-Backed

Foreign

(Dollars in thousands)

Securities

Securities

Corporate

Total

Securities

Securities

Corporate

Total
Beginning balance fixed maturities at market value

$
721,834

$
295,730

$
6,274

$
1,023,838

$
617,588

$
153,641

$
1,750

$
772,979
Total gains or (losses) (realized/unrealized)

Included in earnings

362

457

26

845

(100)

582

(71)

411
Included in other comprehensive income (loss)

(992)

5,028

126

4,162

(4,898)

7,238

86

2,426
Purchases, issuances and settlements

(1,349)

103,574

139

102,364

112,060

243,328

3,823

359,211
Transfers in and/or (out) of Level 3

4,189

-

(863)

3,326

(606)

-

114

(492)
Ending balance

$
724,044

$
404,789

$
5,702

$
1,134,535

$
724,044

$
404,789

$
5,702

$
1,134,535

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

$
-

$
-

$
-

$
-

$
(539)

$
-

$
-

$
(539)

(Some amounts may not reconcile due to rounding.)

Total Fixed Maturities, Fair Value

Three Months Ended September 30, 2020

Nine Months Ended September 30, 2020

Foreign

Foreign

(Dollars in thousands)

Corporate

Total

Corporate

Total
Beginning balance fixed maturities at market value

$
4,431

$
4,431

$
5,826

$
5,826
Total gains or (losses) (realized/unrealized)

Included in earnings

1,371

1,371

(24)

(24)
Included in other comprehensive income (loss)

-

-

-

-
Purchases, issuances and settlements

(2,054)

(2,054)

(2,054)

(2,054)
Transfers in and/or (out) of Level 3

-

-

-

-
Ending balance

$
3,748

$
3,748

$
3,748

$
3,748

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.)

There were 0 net transfers to/(from) level 3, fair value measurements using significant unobservable inputs for fixed maturities, market value for the three and nine months ended September 30, 2021, respectively. The net transfers to/(from) level 3, fair value measurements using significant unobservable inputs for fixed maturities, market value were $3.3 million and ($0.5) million for the three and nine months ended September 30, 2020, respectively. The net transfers of $3.3 million during the three months ended September 30, 2020 were previously priced by a recognized pricing service and were subsequently priced using investment managers as of September 30, 2020. The net transfers of ($0.5) million during the nine months ended September 30, 2020 were related to securities that were previously priced using investment managers and were subsequently priced by a recognized pricing service as of September 30, 2020.

~~The following table presents the activity under Level 3, fair value measurements using significant unobservable inputs for equity securities, for the periods indicated:~~

Three Months Ended

Nine Months Ended

September 30,

September 30,
(Dollars in thousands)
2021

2020

2021

2020
Common Stock

Balance, beginning of period
$
-

$
9,877

$
-

$
-
Total (gains) or losses (realized/unrealized)

Included in earnings

-

-

-

-
Included in other comprehensive income (loss)

-

-

-

-
Purchases, issuances and settlements

-

-

-

9,877
Transfers in and/or (out) of Level 3

-

(9,877)

-

(9,877)
Balance, end of period
$
-

$
-

$
-

$
-

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 liabilities still held at the reporting date
$
-

$
-

$
-

$
-

(Some amounts may not reconcile due to rounding.)

~~The net transfers to/(from) level 3, fair value measurements using significant unobservable inputs for equity securities, fair value were ($9.9) million for both the three and nine months ended September 30, 2020. The transfers of ($9.9~~) million during both the three and nine months ended September 30, 2020, were related to preferred stock in a private entity purchased during the second quarter of 2020 which was priced at cost as of June 30, 2020 and was subsequently priced based upon the book value of the underlying private entity as of September 30, 2020.

		Total Fixed Maturities, Market Value
	Three Months Ended March 31, 2022										Three Months Ended March 31, 2021
	Corporate		Asset-Backed				Foreign				Corporate		Asset-Backed		Foreign
(Dollars in thousands)	Securities		Securities		CMBS		Corporate		Total		Securities		Securities		Corporate		Total
Beginning balance fixed maturities at market value	$	800,574	$	1,251,281	$	-	$	16,015	$	2,067,870	$	701,492	$	623,033	$	5,699	$	1,330,224
Total gains or (losses) (realized/unrealized)
Included in earnings		15,943		102		-		13		16,058		(1,789)		(4,168)		3		(5,954)
Included in other comprehensive income (loss)		(4,167)		(28,788)		(23)		(61)		(33,039)		2,836		(3,135)		49		(250)
Purchases, issuances and settlements		(97,694)		166,096		5,913		(41)		74,274		2,003		169,630		(153)		171,480
Transfers in and/or (out) of Level 3		-		-		-		-		-		-		-		-		-
Ending balance	$	714,656	$	1,388,691	$	5,890	$	15,926	$	2,125,163	$	704,542	$	785,360	$	5,599	$	1,495,500

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.)

6. EARNINGS PER COMMON SHARE

Basic earnings per share are calculated by dividing net income by the weighted average number of common shares outstanding. Diluted earnings per share reflect the potential dilution that would occur if options granted under various share-based compensation plans were exercised resulting in the issuance of common shares that would participate in the earnings of the entity.

Net income (loss) per common share has been computed as per below, based upon weighted average common basic and dilutive shares outstanding.

		Three Months Ended						Nine Months Ended							Three Months Ended
		September 30,						September 30,							March 31,
(Dollars in thousands, except per share amounts)	(Dollars in thousands, except per share amounts)	2021			2020			2021			2020			(Dollars in thousands, except per share amounts)	2022			2021
Net income (loss) per share:	Net income (loss) per share:													Net income (loss) per share:
	Numerator													Numerator
	Net income (loss)	$	(73,468)		$	243,057		$	948,376		$	450,549		Net income (loss)	$	297,751		$	341,862
	Less: dividends declared-common shares and unvested common shares		(61,457)			(61,910)			(185,731)			(187,115)		Less: dividends declared-common shares and unvested common shares		(61,097)			(62,229)
	Undistributed earnings		(134,925)			181,148			762,646			263,435		Undistributed earnings		236,653			279,633
	Percentage allocated to common shareholders (1)		100.0	%		98.8	%		98.7	%		98.7	%	Percentage allocated to common shareholders (1)		98.7	%		98.7	%
			(134,925)			178,938			752,414			260,096				233,504			276,031
	Add: dividends declared-common shareholders		61,457			61,199			183,333			184,836		Add: dividends declared-common shareholders		60,282			61,415
	Numerator for basic and diluted earnings per common share	$	(73,468)		$	240,138		$	935,748		$	444,931		Numerator for basic and diluted earnings per common share	$	293,785		$	337,446

	Denominator													Denominator
	Denominator for basic earnings per weighted-average common shares		39,161			39,483			39,409			39,711		Denominator for basic earnings per weighted-average common shares		38,823			39,543
	Effect of dilutive securities:													Effect of dilutive securities:
	Options		36			74			44			79		Options		14			54
	Denominator for diluted earnings per adjusted weighted-average common shares		39,197			39,557			39,452			39,790		Denominator for diluted earnings per adjusted weighted-average common shares		38,837			39,597

	Per common share net income (loss)													Per common share net income (loss)
	Basic	$	(1.88)		$	6.08		$	23.74		$	11.20		Basic	$	7.57		$	8.53
	Diluted	$	(1.88)		$	6.07		$	23.72		$	11.18		Diluted	$	7.56		$	8.52

⁽¹⁾	Basic weighted-average common shares outstanding		39,161			39,483			39,409			39,711		Basic weighted-average common shares outstanding		38,823			39,543
	Basic weighted-average common shares outstanding and unvested common shares expected to vest		39,161			39,971			39,945			40,221		Basic weighted-average common shares outstanding and unvested common shares expected to vest		39,347			40,059
	Percentage allocated to common shareholders		100.0	%		98.8	%		98.7	%		98.7	%	Percentage allocated to common shareholders		98.7	%		98.7	%

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

There were 0 anti-diluted options outstanding for the three ~~and nine~~ months ended ~~September 30, 2021~~March 31, 2022 and ~~2020.~~2021.

All outstanding options granted under share-based compensation plans expire on ~~or between February 22, 2022 and~~ September 19, 2022.

7. 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. In some disputes, the Company seeks to enforce its rights under an 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. In 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 ~~Company had 1 equity index put option contract at September 30, 2021, based on~~war in the ~~Standard & Poor’s 500 (“S&P 500”) index. Based on historical index volatilities~~Ukraine is ongoing and ~~trends~~an evolving event. Economic and the September 30, 2021 S&P 500 index value, the Company estimates the probability that the equity index put option contract of the S&P 500 index falling below the strike price on the exercise date to be less than 0.1%. The theoretical maximum payout under this equity index put option contract would occur if on the exercise date the S&P 500 index value was zero. At September 30, 2021, the present value of the theoretical maximum payout using a 3% discount factor was $151.2 million. Conversely, if the contract had expired on September 30, 2021, with the S&P index at 4,307.54, there wouldlegal sanctions have been ~~0 settlement amount.~~

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 ~~Company has entered into separate annuity agreements with The Prudential Insurance~~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 ~~America (“The Prudential”) and an additional unaffiliated life insurance company in which~~our knowledge at this time, the Company has either purchased annuity contracts or become the assignee of annuity proceeds that are meant to settle claim payment obligations in the future. In both instances, the Company would become contingently liable if either The Prudential or the unaffiliated life insurance company were unable to make paymentslimited financial exposure related to the ~~respective annuity contract.~~Russian invasion of the

~~The table below presents~~Ukraine. However, given the ~~estimated cost to replace all such annuities for which~~ongoing nature of the ~~Company was contingently liable for~~war and the ~~periods indicated:~~high degree of uncertainty around both exposures and coverage, a reasonable estimation of potential loss is not credible at this time.

At September 30,

At December 31,
(Dollars in thousands)
2021

2020
The Prudential
$
138,869

$
140,773
Unaffiliated life insurance company

34,163

35,128

8. OTHER COMPREHENSIVE INCOME (LOSS)

The following table presents the components of comprehensive income (loss) in the consolidated statements of operations for the periods indicated:

	Three Months Ended September 30, 2021						Nine Months Ended September 30, 2021						Three Months Ended March 31, 2022						Three Months Ended March 31, 2021
(Dollars in thousands)	Before Tax		Tax Effect		Net of Tax		Before Tax		Tax Effect		Net of Tax		Before Tax		Tax Effect		Net of Tax		Before Tax		Tax Effect		Net of Tax
Unrealized appreciation (depreciation) ("URA(D)") on securities - non-credit related	$	(107,980)	$	7,959	$	(100,021)	$	(343,137)	$	38,672	$	(304,465)	$	(932,309)	$	117,132	$	(815,177)	$	(329,166)	$	40,551	$	(288,615)
Reclassification of net realized losses (gains) included in net income (loss)		(809)		(579)		(1,388)		(1,233)		(2,231)		(3,464)		4,902		(724)		4,178		(3,542)		(124)		(3,666)
Foreign currency translation adjustments		(59,094)		5,495		(53,599)		(30,060)		1,174		(28,886)		(34,603)		501		(34,102)		(8,988)		(594)		(9,582)
Reclassification of benefit plan liability amortization included in net income (loss)		1,979		(416)		1,563		7,151		(1,502)		5,649		960		(202)		758		2,586		(543)		2,043
Total other comprehensive income (loss)	$	(165,904)	$	12,459	$	(153,445)	$	(367,279)	$	36,113	$	(331,166)	$	(961,050)	$	116,707	$	(844,343)	$	(339,110)	$	39,290	$	(299,820)

Three Months Ended September 30, 2020

Nine Months Ended September 30, 2020
(Dollars in thousands)
Before Tax

Tax Effect

Net of Tax

Before Tax

Tax Effect

Net of Tax
Unrealized appreciation (depreciation) ("URA(D)") on securities - non-credit related
$
68,264

$
(4,784)

$
63,480

$
373,990

$
(38,155)

$
335,835
Reclassification of net realized losses (gains) included in net income (loss)

(12,678)

1,225

(11,453)

18,650

(5,961)

12,689
Foreign currency translation adjustments

64,453

(3,825)

60,628

28,555

1,835

30,390
Reclassification of benefit plan liability amortization included in net income (loss)

2,285

(479)

1,806

5,736

(1,204)

4,532
Total other comprehensive income (loss)
$
122,324

$
(7,863)

$
114,461

$
426,931

$
(43,485)

$
383,446

The following table presents details of the amounts reclassified from AOCI for the periods indicated:

	Three Months Ended				Nine Months Ended					Three Months Ended
	September 30,				September 30,				Affected line item within the statements of	March 31,				Affected line item within the statements of
AOCI component	2021		2020		2021		2020		operations and comprehensive income (loss)	2022		2021		operations and comprehensive income (loss)
(Dollars in thousands)
URA(D) on securities	$	(809)	$	(12,678)	$	(1,233)	$	18,650	Other net realized capital gains (losses)	$	4,902	$	(3,542)	Other net realized capital gains (losses)
		(579)		1,225		(2,231)		(5,961)	Income tax expense (benefit)		(724)		(124)	Income tax expense (benefit)
	$	(1,388)	$	(11,453)	$	(3,464)	$	12,689	Net income (loss)	$	4,178	$	(3,666)	Net income (loss)

Benefit plan net gain (loss)	$	1,979	$	2,285	$	7,151	$	5,736	Other underwriting expenses	$	960	$	2,586	Other underwriting expenses
		(416)		(479)		(1,502)		(1,204)	Income tax expense (benefit)		(202)		(543)	Income tax expense (benefit)
	$	1,563	$	1,806	$	5,649	$	4,532	Net income (loss)	$	758	$	2,043	Net income (loss)

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				Three Months Ended
	September 30,				September 30,				March 31,
(Dollars in thousands)	2021		2020		2021		2020		2022		2021
Beginning balance of URA (D) on securities	$	517,639	$	600,922	$	724,159	$	304,425	$	239,397	$	724,159
Current period change in URA (D) of investments - non-credit related		(101,409)		52,027		(307,929)		348,524		(810,999)		(292,281)
Ending balance of URA (D) on securities		416,230		652,949		416,230		652,949		(571,602)		431,878

Beginning balance of foreign currency translation adjustments		(90,677)		(231,955)		(115,390)		(201,717)		(177,481)		(115,390)
Current period change in foreign currency translation adjustments		(53,599)		60,628		(28,886)		30,390		(34,102)		(9,582)
Ending balance of foreign currency translation adjustments		(144,276)		(171,327)		(144,276)		(171,327)		(211,583)		(124,972)

Beginning balance of benefit plan net gain (loss)		(69,784)		(71,830)		(73,870)		(74,556)		(50,392)		(73,870)
Current period change in benefit plan net gain (loss)		1,563		1,806		5,649		4,532		758		2,043
Ending balance of benefit plan net gain (loss)		(68,221)		(70,024)		(68,221)		(70,024)		(49,634)		(71,827)

Ending balance of accumulated other comprehensive income (loss)	$	203,733	$	411,598	$	203,733	$	411,598	$	(832,820)	$	235,079

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

9. CREDIT FACILITIES

The Company has multiple active letter of credit facilities for a total commitment of up to ~~$1,530.0 million and an additional credit facility for a total commitment~~$1.2 billion as of ~~up to £52.2 million, providing for the issuance of letters of credit and/or unsecured revolving credit lines.~~March 31, 2022. The Company also has additional uncommitted letter of credit facilities of up to ~~$140.0~~$340.0 million which may be accessible via written request and corresponding authorization from the applicable lender. ~~The following table presents~~There is no guarantee the ~~interest and fees incurred in connection with these committed credit facilities for the periods indicated:~~uncommitted capacity will be available to us on a future date.

Three Months Ended

Nine Months Ended

September 30,

September 30,
(Dollars in thousands)
2021

2020

2021

2020
Credit facility interest and fees incurred
$
-

$
105

$
175

$
560
Loan interest and fees incurred - Federal Home Loan Bank

281

27

827

27
Total interest and fees incurred
$
281

$
132

$
1,002

$
587

The terms and outstanding amounts for each facility are discussed below:

Group Credit Facility

Effective May 26, 2016, Group, Everest Reinsurance (Bermuda), Ltd. (“Bermuda Re”) and Everest International Reinsurance, Ltd. (“Everest International”), both direct subsidiaries of Group, entered into a five year, $800.0 million senior credit facility with a syndicate of lenders, which amended and restated in its entirety the June 22,

2012, four year, $800.0 million senior credit facility. Both the May 26, 2016 and June 22, 2012 senior credit facilities, which have similar terms, are referred to as the “2016 Group Credit Facility”. Wells Fargo Corporation (“Wells Fargo Bank”) is the administrative agent for the 2016 Group Credit Facility, which consists of 2 tranches. Tranche one provides up to $200.0 million of unsecured revolving credit for liquidity and general corporate purposes, and for the issuance of unsecured standby letters of credit. Tranche two exclusively provides up to $600.0 million for the issuance of standby letters of credit on a collateralized basis.Facility.

Effective May 26, 2021, the term of the 2016 Group Credit Facility expired. The Company elected not to renew this facility to allow for the replacement by ~~new~~other collateralized letter of credit facilities ~~including the 2021 Bermuda Re Wells Fargo Letter of Credit Facility, detailed~~such as those described below. As a result ~~Tranche One~~ of the non-renewal in May 2021, letter of credit commitment/availability in the 2016 Group Credit Facility ~~(unsecured revolving credit in~~as of March 31, 2022 is limited only to the ~~amount of $200.0 million) is no longer effective or available for use. The $600.0~~remaining $13.3 million of ~~credit availability in Tranche two will be in run-off and able to support standby~~ letters of credit currently in force ~~through December 31, 2021. As~~and scheduled to expire in 2022. No additional letters of ~~December 31, 2021, the entirety of~~credit will be issued under the 2016 Group Credit Facility, and the facility will ~~have expired and will no longer~~ be ~~effective. This collateralized letter~~dormant once the remaining letters of credit ~~capacity will be replaced with additional bilateral collateralized letters~~have expired. As of ~~credit.~~

The Group Credit Facility requires Group to maintain a debt to capital ratio of not greater than 0.35 to 1 and to maintain a minimum net worth. Minimum net worth is an amount equal to the sum of $5,371.0 million plus 25% of consolidated net income for each of Group’s fiscal quarters, for which statements are available ending on or after March 31, 2016 and for which consolidated net income is positive, plus 25% of any increase in consolidated net worth during such period attributable to the issuance of ordinary and preferred shares, which at September 30, 2021, was $6,651.8 million. As of September 30, 2021,2022, the Company was in compliance with all Group Credit Facility covenants.

The following table summarizes the outstanding letters of credit and/or borrowings for the periods indicated:

(Dollars in thousands)			At September 30, 2021					At December 31, 2020					At March 31, 2022					At December 31, 2021
Bank		Commitment		In Use		Date of Expiry	Commitment		In Use		Date of Expiry	Commitment		In Use		Date of Expiry	Commitment		In Use		Date of Expiry
Wells Fargo Bank Group Credit Facility	Tranche One	$	-	$	-		$	200,000	$	164,242	12/31/2021	$	13,319	$	13,319	12/30/2022	$	39,198	$	39,198	12/30/2022
	Tranche Two		600,000		402,284	12/31/2021		600,000		589,690	12/31/2021
Total Wells Fargo Bank Group Credit Facility		$	600,000	$	402,284		$	800,000	$	753,932		$	13,319	$	13,319		$	39,198	$	39,198

Bermuda Re Wells Fargo Letter of Credit Facility

Effective February 23, 2021, Bermuda Re entered into a letter of credit issuance facility with Wells Fargo referred to as the “2021 Bermuda Re Wells Fargo Letter of Credit Facility.” The Bermuda Re Wells Fargo Letter of Credit Facility originally provided for the issuance of up to $50.0 million of secured letters of credit. Effective May 5, 2021, the agreement was amended to provide for the issuance of up to $500.0 million of secured letters of credit.

The following table summarizes the outstanding letters of credit for the periods indicated:

(Dollars in thousands)	At September 30, 2021					At March 31, 2022					At December 31, 2021
Bank	Commitment		In Use		Date of Expiry	Commitment		In Use		Date of Expiry	Commitment		In Use		Date of Expiry
Wells Fargo Bank Bilateral LOC Agreement	$	500,000	$	404,157	12/31/2021	$	500,000	$	422,521	12/30/2022	$	500,000	$	351,497	12/30/2022
	$	500,000	$	404,157
Total Wells Fargo Bank Bilateral LOC Agreement						$	500,000	$	422,521		$	500,000	$	351,497

Bermuda Re Citibank Letter of Credit Facility

Effective August 9, 2021, Bermuda Re entered into a new letter of credit issuance facility with Citibank N.A. which superseded the previous letter of credit issuance facility with Citibank N.A. that was effective December 31, 2020. Both of these agreements are referred to as the “Bermuda Re Citibank Letter of Credit Facility”. The current Bermuda Re Citibank Letter of Credit Facility provides for the committed issuance of up to $230.0 million

of secured letters of credit. In addition, the facility provided for the uncommitted issuance of up the $140.0

million, which may be accessible via written request by the Company and corresponding authorization from Citibank N.A.

The following table summarizes the outstanding letters of credit for the periods indicated:

(Dollars in thousands)	At September 30, 2021					At December 31, 2020					At March 31, 2022					At December 31, 2021
Bank	Commitment		In Use		Date of Expiry	Commitment		In Use		Date of Expiry	Commitment		In Use		Date of Expiry	Commitment		In Use		Date of Expiry
Citibank Bilateral Letter of Credit Agreement	$	230,000	$	1,264	11/24/2021	$	200,000	$	4,425	02/28/2021
Bermuda Re Citibank LOC Facility- Committed											$	230,000	$	425	12/16/22	$	230,000	$	4,425	02/28/22
				429	12/16/2021				3,672	11/24/2021				218,377	12/31/22				925	03/01/22
				139,887	12/31/2021				448	12/16/2021				473	01/21/23				1,264	11/24/22
				4,425	02/28/2022				115	12/20/2021				4,425	02/28/23				423	12/16/22
				838	03/01/2022				136,383	12/31/2021				1,088	03/01/23				146	12/20/22
				148	12/20/2022				39,619	12/30/2024				990	08/15/23				216,622	12/31/22
				28,498	12/31/2022				821	08/15/2022				1,240	09/23/23				473	01/21/23
				999	08/15/2023				-					147	12/20/23				985	08/15/23
				1,252	09/23/2023				-					–					1,234	09/23/23
Bermuda Re Citibank LOC Facility - Uncommitted												140,000		84,203	12/31/22		140,000		84,203	12/31/22
				22,964	09/30/2025				-					22,233	03/30/26				22,731	12/30/25
Total Citibank Bilateral Agreement	$	230,000	$	200,704		$	200,000	$	185,483		$	370,000	$	333,600		$	370,000	$	333,429

~~Everest International Credit Facility~~

Effective May 12, 2020, Everest International amended its credit facility with Lloyds Bank plc (“Everest International Credit Facility”). The current amendment of the Everest International Credit Facility provides up to £52.2 million for the issuance of standby letters of credit on a collateralized basis.

The Everest International Credit Facility requires Group to maintain a debt to capital ratio of not greater than 0.35 to 1 and to maintain a minimum net worth. Minimum net worth is an amount equal to the sum of $6,393.0 million (70% of consolidated net worth as of December 31, 2019), plus 25% of consolidated net income for each of Group’s fiscal quarters, for which statements are available ending on or after January 1, 2020 and for which net income is positive, plus 25% of any increase in consolidated net worth of Group during such period attributable to the issuance of ordinary and preferred shares, which at September 30, 2021, was $6,788.7 million. As of September 30, 2021, the Company was in compliance with all Everest International Credit Facility requirements.

~~The following table summarizes the outstanding letters of credit for the periods indicated:~~

(Dollars in thousands)

At September 30, 2021

At December 31, 2020
Bank

Commitment

In Use

Date of Expiry

Commitment

In Use

Date of Expiry
Lloyd's Bank plc

£
52,175

£
52,175

12/31/2024

£
52,175

£
52,175

12/31/2023
Total Lloyd's Bank Credit Facility

£
52,175

£
52,175

£
52,175

£
52,175

Bermuda Re Bayerische Landesbank Credit Facility

Effective August 9,27, 2021 Bermuda Re entered into a letter of credit issuance facility with Bayerische Landesbank, an agreement referred to as the “Bermuda Re Bayerische Landesbank ~~Credit~~Bilateral LOC Facility”. The Bermuda Re Bayerische Landesbank Bilateral LOC Facility provides for the committed issuance of up to $200.0 million of secured letters of credit.

The following table summarizes the outstanding letters of credit for the periods indicated:

(Dollars in thousands)	At March 31, 2022					At December 31, 2021
Bank	Commitment		In Use		Date of Expiry	Commitment		In Use		Date of Expiry
Bayerische Landesbank Bilateral LOC Agreement	$	200,000	$	156,197	12/31/2022	$	200,000	$	154,691	12/31/2022
Total Bayerische Landesbank Bilateral LOC Agreement	$	200,000	$	156,197		$	200,000	$	154,691

Bermuda Re Lloyd’s Bank Credit Facility.

Effective October 8, 2021 Bermuda Re entered into a letter of credit issuance facility with Lloyd’s Bank Corporate Markets PLC, an agreement referred to as the “Bermuda Re Lloyd’s Bank Credit Facility”. The Bermuda Re Lloyd’s Bank Credit Facility provides for the committed issuance of up to $50.0 million of secured letters of credit, and subject to credit approval a maximum total facility amount of $250.0 million.

The following table summarizes the outstanding letters of credit for the periods indicated:

(Dollars in thousands)	At March 31, 2022					At December 31, 2021
Bank	Commitment		In Use		Date of Expiry	Commitment		In Use		Date of Expiry
Bermuda Re Lloyd's Bank Credit Facility-Committed	$	50,000	$	46,008	12/31/2022	$	50,000	$	46,008	12/31/2022
Bermuda Re Lloyd's Bank Credit Facility-Uncommitted		200,000		84,806	12/31/2022		-		-
Total Bermuda Re Lloyd's Bank Credit Facility	$	250,000	$	130,814		$	50,000	$	46,008

Bermuda Re Barclays Bank Credit Facility.

Effective November 3, 2021 Bermuda Re entered into a letter of credit issuance facility with Barclays Bank PLC, an agreement referred to as the “Bermuda Re Barclays Credit Facility”. The Bermuda Re Barclays Credit Facility provides for the committed issuance of up to $200.0 million of secured letters of credit.

2320

(Dollars in thousands)

At September 30, 2021
Bank

Commitment

In Use

Date of Expiry
Bayerische Landesbank Bilateral Letter of Credit Agreement

$
200,000

$
-

Total Bayerische Landesbank Bilateral Agreement

$
200,000

$
-

The following table summarizes the outstanding letters of credit for the periods indicated:

(Dollars in thousands)	At March 31, 2022					At December 31, 2021
Bank	Commitment		In Use		Date of Expiry	Commitment		In Use		Date of Expiry
Bermuda Re Barclays Bilateral Letter of Credit Facility	$	200,000	$	171,628	12/31/2022	$	200,000	$	186,299	12/31/2022
Total Bermuda Re Barclays Bilateral Letter of Credit Facility	$	200,000	$	171,628		$	200,000	$	186,299

Federal Home Loan Bank Membership

Everest Reinsurance Company (“Everest Re”) is a member of the Federal Home Loan Bank of New York (“FHLBNY”), which allows Everest Re to borrow up to 10% of its statutory admitted assets. As of ~~September 30, 2021,~~March 31, 2022, Everest Re had admitted assets of approximately ~~$18,874.0 million~~$20.4 billion which provides borrowing capacity of up to approximately ~~$1,887.4 million. During 2020,~~$2.0 billion. As of March 31, 2022, Everest Re ~~borrowed $400.0 million under its FHLBNY capacity. The borrowings have interest payable at an interest rate of 0.35%. As of September 30, 2021, $310.0~~has $519.0 million of ~~these~~ borrowings ~~remain~~ outstanding, with maturities in November and December, 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% of borrowed funds be used to acquire additional membership stock.

10. COLLATERALIZED REINSURANCE AND TRUST AGREEMENTS

Certain subsidiaries of Group have established trust agreements, which effectively use the Company’s investments as collateral, as security for assumed losses payable to certain non-affiliated ceding companies. At ~~September 30, 2021,~~March 31, 2022, the total amount on deposit in trust accounts was ~~$1,526.1 million.~~$1.8 billion.

The Company reinsures some of its catastrophe exposures with the segregated accounts of Mt. Logan Re. Mt. Logan Re is a Collateralized insurer registered in Bermuda and 100% of the voting common shares are owned by Group. Each segregated account invests predominantly in a diversified set of catastrophe exposures, diversified by risk/peril and across different geographic regions globally.

The following table summarizes the premiums and losses that are ceded by the Company to Mt. Logan Re segregated accounts and assumed by the Company from Mt. Logan Re segregated accounts.

		Three Months Ended				Nine Months Ended				Three Months Ended
		September 30,				September 30,				March 31,
Mt. Logan Re Segregated Accounts		2021		2020		2021		2020		2022		2021
(Dollars in thousands)
Ceded written premiums	$	114,694	$	86,712	$	269,987	$	245,422	$	50,239	$	99,110
Ceded earned premiums		100,133		71,396		249,662		233,089		50,443		78,107
Ceded losses and LAE		169,998		87,917		281,893		173,968		40,620		80,843

Assumed written premiums		4,273		8,894		9,490		14,448		793		2,476
Assumed earned premiums		4,273		8,894		9,490		14,448		793		2,476
Assumed losses and LAE		-		-		-		-		-		-

Each segregated account is permitted to assume net risk exposures equal to the amount of its available posted collateral, which in the aggregate was $847.3 million and $806.6 million at September 30, 2021 and December 31, 2020, respectively. Of this amount, Group had investments recorded at $61.6 million and $67.6 million at September 30, 2021 and December 31, 2020, respectively, in the segregated accounts.

Effective April 1, 2018, the Company entered into a retroactive reinsurance transaction with one of the Mt. Logan Re segregated accounts to retrocede $269.2 million of casualty reserves held by Bermuda Re related to accident years 2002 through 2015. As consideration for entering the agreement, the Company transferred cash of $252.0 million to the Mt. Logan Re segregated account. The maximum liability to be retroceded under the agreement will be $319.0 million. The Company will retain liability for any amounts exceeding the maximum liability. As of ~~September 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, the Company has a reinsurance recoverable of ~~$217.5~~$192.5 million and ~~$254.9~~$206.1 million, respectively. In addition, the Company has a deferred gain liability of ~~$34.4~~

$14.4 million and ~~$38.8~~$15.5 million as of ~~September 30, 2021~~March 31, 2022 and December 31, ~~2020,~~2021, respectively, reported in other liabilities.

The Company entered into various collateralized reinsurance agreements with Kilimanjaro Re 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

Description

Effective Date

Expiration Date

Limit

Coverage Basis

Series 2017-1 Class A-2