Hello, and thank you for joining the Greenlight Capital Re First Quarter 2023 Earnings Conference Call. At this time all participants are in a listen-only mode. A question and answer session will follow the formal presentation. [Operator Instructions] It's now my pleasure to turn the call over to Karin Daly, Greenlight Re's Investor Relations Representative and Vice President at the Equity Group. You may please go ahead, Karin.

Thank you, Kevin, and good morning. I would like to remind you that this conference call is being recorded and will be available for replay following the conclusion of the event. An audio replay will also be available under the Investors section of the company's website at www.greenlightre.com. Joining us on the call today will be Chief Executive Officer, Simon Burton; Chairman of the Board, David Einhorn; and Chief Financial Officer, Faramarz Romer. On behalf of the company, I'd like to remind you that forward-looking statements may be made during the call and are intended to be covered by the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. These forward-looking statements are not statements of historical fact, but rather reflect the company's current expectations, estimates and predictions about future results and are subject to risks and uncertainties. As a result, actual results may differ materially from those expressed or implied. For more information on the risks and other factors that may impact future performance, investors should review the periodic reports that are filed by the company with the SEC from time to time. Additionally, management may refer to certain non-GAAP financial measures during their remarks. The reconciliations to these measures can be found in the company's filings with the SEC, including the company's Form 10-Q for three months ended March 31, 2023. The company undertakes no obligation to publicly update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, except as required by law. With that, it's now my pleasure to turn the call over to Mr. Simon Burton.

Thank you, Karin. Good morning, everyone. Thank you for joining us. I'd first like to welcome Faramarz Romer, who is joining his first earnings call as CFO since his promotion effective April 1. The CFO transition went well, which is not surprising as Faramarz has been an integral member of the team for the past 16 years. He is now fully up to speed. For the first quarter of 2023, we reported growth in book value per share of 1.1% and net income of $5.9 million, despite each of our three pillars of underwriting, innovations and SILP performing below our expectations for the quarter. Starting with the underwriting results. The combined ratio of 99.8% was impacted by 5.7 points of winter storm and convective storm losses, along with 5.6 points of non-cat reserve deterioration in our runoff book. The storm losses relate to a single innovation U.S. homeowners program written in 2022 that experienced higher-than-anticipated volatility from a winter storm in late December and from convective storms in March. We had identified these concentration issues leading up to the renewal of the homeowners program at January 1, when we restructured at favorable terms. So this volatility is contained to a single policy that's now running off. Otherwise, our book of innovation's underwriting risks is running well, and we expect that this is an isolated situation. block of reserves and: Some of the increases from the portion of the book that was repriced at January 1st at significantly better terms including property, marine, specialty and multiline, which includes our Lloyd's FAL positions. We were also able to expand and diversify the overall book into a market that is supply constrained in many of the classes that we write. Renewals at April 1st were similarly compelling. We grew our Japanese catastrophe book…

Thanks, Simon, and good morning, everyone. The Solasglas portfolio lost 1.1% in the first quarter. Our longs contributed 8.9% to the gross return. Shorts and macro cost us 9.0% and 0.3%, respectively. During the quarter, the S&P 500 Index advanced 7.5%. The first quarter was a challenging investment environment as many investments that performed well in 2022 reversed in 2023. We repositioned the portfolio from bearish to neutral while we await further economic developments. Long positions in Green Brick Partners, Kyndryl Holdings and gold were the largest positive contributors to the quarterly result. Brighthouse Financial, a single-name short position and a basket of housing sector shorts hedging some of our Green Brick exposure were the material detractors. Green Brick shares advanced 45% in the first quarter mostly as analysts' expectations for this year's earnings stopped coming down. It appears that the market is gaining confidence in the housing sector again after 2022's fear that higher interest rates would cause an imminent collapse. Green Brick remains well positioned. Its margins are the highest in the industry and it maintains an enviable land position in some of the country's best markets. Just last week, the company reported extremely strong new orders, revenues, gross margins and earnings that simply blew away consensus expectations that was formed during last year's housing slowdown. The stock appreciated another 40% so far this quarter. Kyndryl is an IT services business that was spun out of IBM in late 2021. Prior to the spin, IBM positioned this unit as a loss leader in order to sell more hardware. This investment is a turnaround story as Kyndryl can now offer solutions from multiple vendors and is better positioned to raise pricing on the no margin contracts that are expiring in the next couple of years. With an enterprise value…

Thank you, David, and good morning everyone. While I have been with Green Life Re for several years, it is an honor to now serve as the company's Chief Financial Officer. I look forward to continue working closely with Simon and the rest of the highly talented team as we take advantage of the current market conditions to create value for our shareholders. Now turning to our results for the first quarter of 2023. Our net income for the quarter was $5.9 million, or $0.17 per diluted share. We reported underwriting income of $0.4 million during the first quarter and a combined ratio of 99.8% compared to an underwriting loss of $7.7 million and a combined ratio of 106.2% during the equivalent 2022 period. While the overall underwriting performance improved this quarter, the result was negatively impacted by $10.3 million or 7.2 combined ratio points of catastrophe and weather-related events. $4.1 million of the cat losses related to Winter Storm Elliott, which hit the Northeast of the United States in late December 2022. The severe convective storms in the month of March resulted in $4.1 million of losses. The remaining $2.1 million of catastrophe losses came from the earthquake in Turkey and Cyclone Gabrielle in New Zealand. Adjusted for catastrophe event losses, our current year loss ratio decreased 7.4 percentage points to 55.1% compared to the same period in 2022. Excluding Winter Storm Elliott, we experienced $7.9 million or 5.6 combined ratio points of unfavorable prior year loss development during the first quarter. We reported total net investment income of $5.2 million during the first quarter of 2023. We lost $3.1 million on our investment in the Solasglas fund and earned $8.4 million of other investment income, primarily from interest income earned on our restricted cash, which benefited from the higher interest rates compared to the same period in 2022. Total general and administrative expenses incurred during the quarter were $9.9 million, up from $7.2 million in the first quarter of 2022. The increase was due primarily to non-recurring expenses relating to legal fees and severance costs during the first quarter of 2023. We recognized $4.9 million of foreign exchange gain in the first quarter of 2023 due primarily to a strong pound sterling. At the end of the first quarter, our fully diluted book value per share was $14.75, an increase of 1.1% from December 31, 2022, and an increase of 8.1% from March 31, 2022. During the first quarter, we repurchased $17.5 million of our senior unsecured convertible notes. The remaining $62 million of notes mature on August 1, 2023. We are actively working on plans to refinance them with non-convertible debt. Now I'll turn the call back to the operator, who will open it up for questions.

Thank you. We will now be conducting a question-and-answer session. [Operator Instructions] Our first question is coming from Anthony Mottolese from Dowling & Partners. Your line is now live.

Hi. Good morning. Simon, just a couple questions for you on the underwriting side of the business. There was really strong property growth in Q1. Just want to know, is this a good run rate for growth as we think about the rest of the year, and that could be specific to property business or even broader for the whole portfolio?

Hi, Anthony. So our property business is in part some of the homeowners business that I mentioned earlier in the call and in part some of our cat retro positions that we established at 1/1. So it's a bit lumpy, in fairness that a considerable amount of our business is quota share, so should write through the year. But I'm reluctant to guide you to any particular run rate on our property business because it can come and go.

That makes sense. And I appreciate the fact you were mentioning the reserve durations were relatively short-term, but do you think these pressures are going to persist in future quarters, specifically on the auto and I think there were pockets with workers' comp as well?

Well, I think it's a good question, and I think it's one that the entire industry is asking itself. So from an industry perspective, will these pressures persist? I think so. Yes. Although in fairness, I think we've already received the bulk of bad news on the inflationary pressure, and we should all be getting ahead of repricing our reserves based on the new inflationary outlook, temporary or long lived, whatever your view might be. With respect to our reserves, though, and I think that's more your question, because the duration is so short and particularly on the auto side, we got out of that business almost entirely almost a year ago, and it was tapering considerably before that. I would be surprised if that continues to kick for much longer. Quite apart from that answer, look, at every point in time, we established our best estimates of reserves, and this is our best estimate of reserves. At no point, am I going to expect future deterioration. I think we've got it all.

Okay. That's helpful. And if I may, I just have one more question. You pointed to underlying loss ratio improved 7 points in the quarter despite the reported combined ratio being also improving 6 points. But on the underlying position, is this mostly due to the book kind of shifting to property business? Or is there anything else to highlight here that would benefit the underlying results?

Yes. I wouldn't say that it's necessarily a shift towards property. The property volume is up, but a fair amount of that is rates and not exposure. If you look at our PML profile, it's not – it's about the same for our peak perils. It's a little up in Japan, where we did grow our book. So there's growth in the portfolio and property, but it's not that considerable, a lot of it is rate. But there's growth pretty much everywhere through the book with the exception of perhaps workers' comp, which is – which we've taken a more cautious view of. The picture is really an underlying improvement in rates in almost every class that we write and the continuing diversification and build out of the entire portfolio. I wouldn't necessarily focus on property or any individual class as being the driver of that.

All right. Thank you so much. That's all I had to ask.

You're welcome.

[Operator Instructions] Our next question is coming from David Schiff from Schiff's Insurance Observer. Your line is now live.

Hi, there. You had mentioned that you were going to looking into replacing the convertibles with fixed debt, fixed rate debt. I was just wondering roughly what amount were you thinking? The other question is, is there really any reason that you need to have any debt whatsoever?

Hi, David. It's Faramarz here. It's a good question. The – we started five years ago with convertible debt of $100 million, and we have now since then repurchased a bunch of it. And the remaining balance is about $62 million. So our current view is to look at refinancing the outstanding debt balance. The discussions are progressing well, and we think we're going to close in the second quarter. So size wise, we'll be looking to replace what our existing outstanding debt amount is.

And I guess the second part of my question was, is there a reason that you need to have any debt?

Look, I think, we're in a market where we see opportunities on the underwriting side, and we want to have as much liquidity and cash available to deploy in those markets. So we are assessing and always looking at opportunities for our capital structure. And at this time, we believe that this is the best option for us.

Thank you. There are no additional questions at this time. Should you have any follow-up questions, please direct them to Karin Daly of the Equity Group Inc. at ir@greenlightre.ky, and she'll be happy to assist you. This now conclude Greenlight Re's first quarter 2023 earnings conference call. Thank you. You may now disconnect.