Cover and table of contents

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, 2021

___ 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

Hamilton****HM 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	X		No

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	X		No

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	X		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			NO	X

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

YES			NO	X

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

Class	Trading Symbol	Name of Exchange where Registered	Number of Shares Outstanding At November 1, 2021
Common Shares, $0.01 par value	RE	New York Stock Exchange	39,369,026

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 (unaudited)
	and December 31, 2020	1
	Consolidated Statements of Operations and Comprehensive Income (Loss) for the
	three and nine months ended September 30, 2021 and 2020 (unaudited)	2
	Consolidated Statements of Changes in Shareholders’ Equity for the nine
	months ended September 30, 2021 and 2020 (unaudited)	3
	Consolidated Statements of Cash Flows for the nine months ended
	September 30, 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	31
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	53
Item 4.	Controls and Procedures	53

PART II

OTHER INFORMATION

Item 1.	Legal Proceedings	54
Item 1A.	Risk Factors	54
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	54
Item 3.	Defaults Upon Senior Securities	54
Item 4.	Mine Safety Disclosures	54
Item 5.	Other Information	55
Item 6.	Exhibits	55

EVEREST RE GROUP, LTD.

CONSOLIDATED BALANCE SHEETS

	September 30,			December 31,
(Dollars and share amounts in thousands, except par value per share)	2021			2020
	(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))
Equity securities, at fair value		1,523,595			1,472,236
Short-term investments (cost: 2021, $713,144; 2020, $1,135,088)		713,144			1,134,950
Other invested assets		2,855,372			2,012,581
Cash		1,068,441			801,651
Total investments and cash		27,783,671			25,461,591
Accrued investment income		170,364			141,304
Premiums receivable		3,408,338			2,680,562
Reinsurance recoverables		2,215,380			1,994,555
Funds held by reinsureds		811,269			716,655
Deferred acquisition costs		797,735			622,053
Prepaid reinsurance premiums		552,468			412,015
Income taxes net recoverable		-			17,253
Other assets		866,872			742,369
TOTAL ASSETS	$	36,606,097		$	32,788,357
LIABILITIES:
Reserve for losses and loss adjustment expenses	$	18,956,953		$	16,398,997
Future policy benefit reserve		36,533			37,723
Unearned premium reserve		4,421,098			3,501,359
Funds held under reinsurance treaties		18,279			15,807
Other net payable to reinsurers		485,682			294,347
Losses in course of payment		150,784			127,971
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
Borrowings from FHLB		310,000			310,000
Accrued interest on debt and borrowings		23,267			10,460
Unsettled securities payable		83,626			206,693
Income taxes net payable		4,074			-
Other liabilities		536,218			558,432
Total liabilities		26,627,462			23,062,181
Commitments and contingencies (Note 7)		(nil)			(nil)
SHAREHOLDERS' EQUITY:
Preferred shares, par value: $0.01; 50,000 shares authorized;
no 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
Additional paid-in capital		2,266,342			2,245,301
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)
Retained earnings		11,330,097			10,567,452
Total shareholders' equity		9,978,635			9,726,176
TOTAL LIABILITIES AND SHAREHOLDERS' EQUITY	$	36,606,097		$	32,788,357
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
	September 30,						September 30,
(Dollars in thousands, except per share amounts)	2021			2020			2021			2020
	(unaudited)						(unaudited)
REVENUES:
Premiums earned	$	2,656,403		$	2,205,811		$	7,602,640		$	6,285,030
Net investment income		292,759			234,233			960,267			420,116
Net realized capital gains (losses):
Credit allowances on fixed maturity securities		(7,329)			6,196			(30,234)			(19,641)
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
Other income (expense)		(19,517)			59,937			44,190			47,306
Total revenues		2,925,423			2,610,184			8,745,886			6,836,715
CLAIMS AND EXPENSES:
Incurred losses and loss adjustment expenses		2,274,301			1,736,210			5,571,861			4,574,066
Commission, brokerage, taxes and fees		564,335			445,332			1,611,095			1,360,170
Other underwriting expenses		141,150			138,875			424,225			385,865
Corporate expenses		17,817			10,618			46,363			29,184
Interest, fees and bond issue cost amortization expense		15,539			6,641			46,785			21,477
Total claims and expenses		3,013,142			2,337,676			7,700,329			6,370,762
INCOME (LOSS) BEFORE TAXES		(87,719)			272,508			1,045,557			465,953
Income tax expense (benefit)		(14,251)			29,451			97,181			15,404
NET INCOME (LOSS)	$	(73,468)		$	243,057		$	948,376		$	450,549
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
Reclassification adjustment for realized losses (gains) included in net income (loss)		(1,388)			(11,453)			(3,464)			12,689
Total URA(D) on securities arising during the period		(101,409)			52,027			(307,929)			348,524
Foreign currency translation adjustments		(53,599)			60,628			(28,886)			30,390
Reclassification adjustment for amortization of net (gain) loss included in net income (loss)		1,563			1,806			5,649			4,532
Total benefit plan net gain (loss) for the period		1,563			1,806			5,649			4,532
Total other comprehensive income (loss), net of tax		(153,445)			114,461			(331,166)			383,446
COMPREHENSIVE INCOME (LOSS)	$	(226,913)		$	357,518		$	617,210		$	833,995
EARNINGS PER COMMON SHARE:
Basic	$	(1.88)		$	6.08		$	23.74		$	11.20
Diluted		(1.88)			6.07			23.72			11.18
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
	(unaudited)
COMMON SHARES (shares outstanding):
Balance, January 1		39,983,481			40,798,963
Issued during the period, net		196,481			159,423
Treasury shares acquired		(97,462)			(970,892)
Balance, March 31		40,082,500			39,987,494
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
Issued during the period, net		2			2
Balance, March 31		698			696
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
Share-based compensation plans		436			(3,181)
Balance, March 31		2,245,737			2,216,479
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
Net increase (decrease) during the period		(299,820)			(297,903)
Balance, March 31		235,079			(269,751)
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
Change to beginning balance due to adoption of Accounting Standards Update 2016-13		-			(4,214)
Net income (loss)		341,862			16,612
Dividends declared ($1.55 per share 2021 and $1.55 per share 2020)		(62,228)			(63,277)
Balance, March 31		10,847,086			10,255,692
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)
Purchase of treasury shares		(23,545)			(200,020)
Balance, March 31		(3,645,717)			(3,622,172)
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
The accompanying notes are an integral part of the consolidated financial statements.

EVEREST RE GROUP, LTD.

CONSOLIDATED STATEMENTS OF CASH FLOWS

	Nine Months Ended
	September 30,
(Dollars in thousands)	2021			2020
	(unaudited)
CASH FLOWS FROM OPERATING ACTIVITIES:
Net income (loss)	$	948,376		$	450,549
Adjustments to reconcile net income to net cash provided by operating activities:
Decrease (increase) in premiums receivable		(736,614)			(357,162)
Decrease (increase) in funds held by reinsureds, net		(92,512)			(53,878)
Decrease (increase) in reinsurance recoverables		(230,593)			(172,454)
Decrease (increase) in income taxes		57,270			184,311
Decrease (increase) in prepaid reinsurance premiums		(146,639)			(7,963)
Increase (decrease) in reserve for losses and loss adjustment expenses		2,576,049			1,665,982
Increase (decrease) in future policy benefit reserve		(1,189)			(2,218)
Increase (decrease) in unearned premiums		927,524			392,904
Increase (decrease) in other net payable to reinsurers		198,954			68,784
Increase (decrease) in losses in course of payment		23,661			132,208
Change in equity adjustments in limited partnerships		(543,401)			(12,475)
Distribution of limited partnership income		105,571			55,576
Change in other assets and liabilities, net		(247,615)			(131,224)
Non-cash compensation expense		33,199			29,337
Amortization of bond premium (accrual of bond discount)		57,289			32,594
Net realized capital (gains) losses		(138,789)			(84,263)
Net cash provided by (used in) operating activities		2,790,541			2,190,608
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 equity securities sold, at fair value		578,894			329,750
Distributions from other invested assets		216,573			210,527
Cost of fixed maturities acquired - available for sale, at market value		(5,670,636)			(3,874,890)
Cost of equity securities acquired, at fair value		(507,862)			(460,953)
Cost of other invested assets acquired		(604,180)			(392,650)
Net change in short-term investments		422,643			(804,744)
Net change in unsettled securities transactions		(177,259)			89,064
Net cash provided by (used in) investing activities		(2,101,715)			(1,729,274)
CASH FLOWS FROM FINANCING ACTIVITIES:
Common shares issued during the period for share-based compensation, net of expense		(12,156)			(13,617)
Purchase of treasury shares		(200,064)			(200,020)
Dividends paid to shareholders		(185,731)			(187,110)
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)
Net cash provided by (used in) financing activities		(413,084)			(336,691)
EFFECT OF EXCHANGE RATE CHANGES ON CASH		(8,952)			6,203
Net increase (decrease) in cash		266,790			130,845
Cash, beginning of period		801,651			808,036
Cash, end of period	$	1,068,441		$	938,881
SUPPLEMENTAL CASH FLOW INFORMATION:
Income taxes paid (recovered)	$	39,767		$	(169,149)
Interest paid		33,422			16,731
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, 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 and December 31, 2020 and for the three and nine months ended September 30, 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 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, 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, 2020, 2019 and 2018, 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 presentation.

Application of Recently Issued Accounting Standard Changes.

Reference Rate Reform - LIBOR. In March 2020, 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 financial statements.

Accounting for Long Duration Contracts. In August 2018, FASB issued ASU 2018-12, which discusses changes to 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 within 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.

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 and market value of available for sale, fixed maturity securities as of the dates indicated:

		At September 30, 2021
		Amortized			Allowance for			Unrealized			Unrealized			Market
(Dollars in thousands)		Cost			Credit Losses			Appreciation			Depreciation			Value
Fixed maturity securities
	U.S. Treasury securities and obligations of
	U.S. government agencies and corporations	$	1,344,813		$	-		$	28,332		$	(10,323)		$	1,362,822
	Obligations of U.S. states and political subdivisions		578,289			(151)			31,295			(1,058)			608,375
	Corporate securities		7,315,144			(22,890)			254,723			(52,736)			7,494,241
	Asset-backed securities		3,284,025			(7,679)			32,405			(3,499)			3,305,252
	Mortgage-backed securities
	Commercial		1,042,504			-			49,729			(4,363)			1,087,870
	Agency residential		2,208,540			-			45,876			(8,415)			2,246,001
	Non-agency residential		7,316			-			11			(21)			7,306
	Foreign government securities		1,428,105			-			54,778			(27,738)			1,455,145
	Foreign corporate securities		3,974,020			(1,260)			129,296			(45,949)			4,056,107
Total fixed maturity securities		$	21,182,756		$	(31,980)		$	626,445		$	(154,102)		$	21,623,119

		At December 31, 2020
		Amortized			Allowance for			Unrealized			Unrealized			Market
(Dollars in thousands)		Cost			Credit Losses			Appreciation			Depreciation			Value
Fixed maturity securities
	U.S. Treasury securities and obligations of
	U.S. government agencies and corporations	$	1,325,156		$	-		$	49,084		$	(7,134)		$	1,367,106
	Obligations of U.S. states and political subdivisions		543,895			-			34,654			(1,254)			577,295
	Corporate securities		6,824,800			(1,220)			380,677			(55,231)			7,149,026
	Asset-backed securities		2,540,809			-			30,691			(5,698)			2,565,802
	Mortgage-backed securities
	Commercial		915,923			-			75,275			(895)			990,303
	Agency residential		2,206,139			-			64,663			(3,063)			2,267,739
	Non-agency residential		5,187			-			9			(2)			5,194
	Foreign government securities		1,565,260			(22)			102,587			(22,450)			1,645,375
	Foreign corporate securities		3,297,898			(503)			204,023			(29,085)			3,472,333
Total fixed maturity securities		$	19,225,067		$	(1,745)		$	941,663		$	(124,812)		$	20,040,173

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
	Amortized			Market			Amortized			Market
(Dollars in thousands)	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
Due after one year through five years		6,675,763			6,826,936			6,529,189			6,774,785
Due after five years through ten years		4,918,975			5,069,884			4,414,211			4,751,903
Due after ten years		1,424,370			1,458,329			1,247,816			1,309,773
Asset-backed securities		3,284,025			3,305,252			2,540,809			2,565,802
Mortgage-backed securities:
Commercial		1,042,504			1,087,870			915,923			990,303
Agency residential		2,208,540			2,246,001			2,206,139			2,267,739
Non-agency residential		7,316			7,306			5,187			5,194
Total fixed maturity securities	$	21,182,756		$	21,623,119		$	19,225,067		$	20,040,173

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
	September 30,						September 30,
(Dollars in thousands)	2021			2020			2021			2020
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
Change in unrealized appreciation (depreciation), pre-tax		(108,789)			55,587			(344,370)			392,640
Deferred tax benefit (expense)		7,380			(3,560)			36,441			(44,116)
Change in unrealized appreciation (depreciation),
net of deferred taxes, included in shareholders’ equity	$	(101,409)		$	52,027		$	(307,929)		$	348,524

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.

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:

		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 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 were $6,029.1 million and $154.1 million, respectively. The market value of securities for the single issuer (the United States government) whose securities comprised the largest unrealized loss position at September 30, 2021, did not exceed 1.7% 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 position at September 30, 2021, comprised less than 0.6% 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 million of unrealized losses related to fixed maturity securities that have been in an unrealized loss position for less than one year were generally comprised of domestic and foreign corporate securities, foreign government securities, U.S. Treasury and government securities and agency residential mortgage-backed securities. Of these unrealized losses, $101.6 million were related to securities that were rated investment grade by at least one nationally recognized rating agency. The $45.8 million of unrealized losses related to fixed maturity securities in an unrealized loss position for more than one year related primarily to foreign and domestic corporate securities and foreign government securities. Of these unrealized losses, $43.4 million were related to securities that were rated investment grade by at least one nationally recognized rating agency. There was no 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 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)

		Duration of Unrealized Loss at December 31, 2020 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	$	96,144		$	(4,942)		$	112,419		$	(12,071)		$	208,563		$	(17,013)
Due in one year through five years		653,816			(32,469)			283,866			(21,319)			937,682			(53,788)
Due in five years through ten years		422,517			(19,392)			49,749			(2,034)			472,266			(21,426)
Due after ten years		121,295			(3,791)			72,394			(19,136)			193,689			(22,927)
Asset-backed securities		235,566			(4,768)			85,595			(930)			321,161			(5,698)
Mortgage-backed securities		488,143			(2,596)			56,945			(1,364)			545,088			(3,960)
Total fixed maturity securities	$	2,017,481		$	(67,958)		$	660,968		$	(56,854)		$	2,678,449		$	(124,812)

The aggregate market value and gross unrealized losses related to investments in an unrealized loss position at December 31, 2020 were $2,678.4 million and $124.8 million, respectively. The market value of securities for the single issuer whose securities comprised the largest unrealized loss position at December 31, 2020, did not exceed 0.7% 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% 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 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 and foreign government securities. Of these unrealized losses, $63.4 million were related to securities that were rated investment grade by at least one nationally recognized rating agency. The $56.9 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 million were related to securities that were rated investment grade by at least one nationally recognized rating agency. There was no 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
	September 30,						September 30,
(Dollars in thousands)	2021			2020			2021			2020
Fixed maturities	$	134,157		$	136,104		$	423,335		$	407,946
Equity securities		3,774			4,402			12,105			11,585
Short-term investments and cash		82			494			1,035			4,356
Other invested assets:
Limited partnerships		138,718			88,778			493,017			22,092
Other		30,954			14,742			62,828			(1,291)
Gross investment income before adjustments		307,685			244,520			992,320			444,688
Funds held interest income (expense)		1,196			684			12,449			10,921
Future policy benefit reserve income (expense)		(272)			(291)			(733)			(805)
Gross investment income		308,609			244,913			1,004,036			454,804
Investment expenses		(15,850)			(10,680)			(43,769)			(34,688)
Net investment income	$	292,759		$	234,233		$	960,267		$	420,116

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

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 in limited partnerships and private placement loan securities at September 30, 2021. 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, the market value of investments in the facility consolidated within the Company’s balance sheets was $429.7 million.

The components of net realized capital gains (losses) are presented in the tables below for the periods indicated:

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
(Dollars in thousands)	2021				2020		2021				2020
Fixed maturity securities, market value:
Allowance for credit losses	$	(7,329)		$	6,196		$	(30,234)		$	(19,641)
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
Equity securities, fair value:
Gains (losses) from sales		(489)			(1,317)			9,504			(12,642)
Gains (losses) from fair value adjustments		(4,542)			96,673			128,039			114,364
Other invested assets		1,920			1,084			6,014			50
Short-term investments gain (loss)		-			798			13			1,215
Total net realized capital gains (losses)	$	(4,222)		$	110,203		$	138,789		$	84,263
(Some amounts may not reconcile due to rounding.)

		Roll Forward of Allowance for Credit Losses
		Three Months Ended September 30, 2021																		Nine Months Ended September 30, 2021
								Obligations of																		Obligations of
								U.S. States			Foreign			Foreign												U.S. States			Foreign			Foreign
		Corporate			Asset-Backed			and Political			Government			Corporate						Corporate			Asset-Backed			and Political			Government			Corporate
		Securities			Securities			Subdivisions			Securities			Securities			Total			Securities			Securities			Subdivisions			Securities			Securities			Total
(Dollars in thousands)
Beginning Balance		$	(18,475)		$	(4,915)		$	-		$	-		$	(1,260)		$	(24,650)		$	(1,220)		$	-		$	-		$	(22)		$	(503)		$	(1,745)
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)
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
Balance as of September 30, 2021		$	(22,890)		$	(7,679)		$	(151)		$	-		$	(1,260)		$	(31,980)		$	(22,890)		$	(7,679)		$	(151)		$	-		$	(1,260)		$	(31,980)

	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 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)

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
	September 30,
(Dollars in thousands)	2021			2020
Gross reserves beginning of period	$	16,398,997		$	13,611,313
Less reinsurance recoverables on unpaid losses		(1,843,691)			(1,640,712)
Net reserves beginning of period		14,555,306			11,970,601
Incurred related to:
Current year		5,577,911			4,572,640
Prior years		(6,050)			1,426
Total incurred losses and LAE		5,571,861			4,574,066
Paid related to:
Current year		1,375,665			1,015,538
Prior years		1,786,393			2,042,712
Total paid losses and LAE		3,162,058			3,058,250
Foreign exchange/translation adjustment		(41,000)			(28,024)
Net reserves end of period		16,924,109			13,458,393
Plus reinsurance recoverables on unpaid losses		2,032,844			1,774,732
Gross reserves end of period	$	18,956,953		$	15,233,125
(Some amounts may not reconcile due to rounding.)

Current year incurred losses were $5,577.9 million and $4,572.6 million for the nine months ended September 30, 2021 and 2020, respectively. Gross and net reserves increased for the nine months ended September 30, 2021, reflecting an increase in underlying exposure due to premium growth and catastrophe losses of $1,010.0 million and $355.0 million for the nine months ended September 30, 2021 and 2020, respectively. In addition, 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.

5. FAIR VALUE

GAAP guidance regarding fair value measurements address 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 Company continually performs analytical reviews of price changes and tests the prices on a random basis to an independent pricing source. 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 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 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 and December 31, 2020 of $1,253.9 million and $784.7 million, respectively, and all prices were obtained from publicly published sources.

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 maturity securities listed in the tables below are generally categorized as Level 2, since a particular security may not have traded but the pricing services are able to use valuation models with observable market inputs such 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. The asset managers may obtain non-binding price quotes for the securities from brokers. The single broker quotes

are provided by market makers or broker-dealers who are recognized as market participants in the markets in which they are providing the quotes. The prices received from brokers are reviewed for reasonableness by the third party asset managers and the Company. If the broker quotes are for foreign denominated securities, the quotes are converted to U.S. dollars using currency exchange rates from nationally recognized sources. 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.

The following table presents 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			-

In addition, $266.3 million and $224.7 million of investments within other invested assets on the consolidated balance sheets as of September 30, 2021 and December 31, 2020, respectively, are not included within the fair value hierarchy tables as the assets are measured at NAV as a practical expedient to determine fair value.

The following tables present the activity under Level 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 no 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.

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
		September 30,								September 30,
(Dollars in thousands, except per share amounts)		2021				2020				2021				2020
Net income (loss) per share:
	Numerator
	Net income (loss)	$	(73,468)			$	243,057			$	948,376			$	450,549
	Less: dividends declared-common shares and unvested common shares		(61,457)				(61,910)				(185,731)				(187,115)
	Undistributed earnings		(134,925)				181,148				762,646				263,435
	Percentage allocated to common shareholders (1)		100.0	%			98.8	%			98.7	%			98.7	%
			(134,925)				178,938				752,414				260,096
	Add: dividends declared-common shareholders		61,457				61,199				183,333				184,836
	Numerator for basic and diluted earnings per common share	$	(73,468)			$	240,138			$	935,748			$	444,931
	Denominator
	Denominator for basic earnings per weighted-average common shares		39,161				39,483				39,409				39,711
	Effect of dilutive securities:
	Options		36				74				44				79
	Denominator for diluted earnings per adjusted weighted-average common shares		39,197				39,557				39,452				39,790
	Per common share net income (loss)
	Basic	$	(1.88)			$	6.08			$	23.74			$	11.20
	Diluted	$	(1.88)			$	6.07			$	23.72			$	11.18
(1)	Basic weighted-average common shares outstanding		39,161				39,483				39,409				39,711
	Basic weighted-average common shares outstanding and unvested common shares expected to vest		39,161				39,971				39,945				40,221
	Percentage allocated to common shareholders		100.0	%			98.8	%			98.7	%			98.7	%
(Some amounts may not reconcile due to rounding.)

There were no anti-diluted options outstanding for the three and nine months ended September 30, 2021 and 2020.

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 one equity index put option contract at September 30, 2021, based on the Standard & Poor’s 500 (“S&P 500”) index. Based on historical index volatilities and trends 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 would have been no settlement amount.

The Company has entered into separate annuity agreements with The Prudential Insurance of America (“The Prudential”) and an additional unaffiliated life insurance company in which 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 payments related to the respective annuity contract.

The table below presents the estimated cost to replace all such annuities for which the Company was contingently liable for the periods indicated:

	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
(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	$	(107,980)		$	7,959		$	(100,021)		$	(343,137)		$	38,672		$	(304,465)
Reclassification of net realized losses (gains) included in net income (loss)		(809)			(579)			(1,388)			(1,233)			(2,231)			(3,464)
Foreign currency translation adjustments		(59,094)			5,495			(53,599)			(30,060)			1,174			(28,886)
Reclassification of benefit plan liability amortization included in net income (loss)		1,979			(416)			1,563			7,151			(1,502)			5,649
Total other comprehensive income (loss)	$	(165,904)		$	12,459		$	(153,445)		$	(367,279)		$	36,113		$	(331,166)

	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
		September 30,						September 30,						Affected line item within the statements of
AOCI component		2021			2020			2021			2020			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)
			(579)			1,225			(2,231)			(5,961)		Income tax expense (benefit)
		$	(1,388)		$	(11,453)		$	(3,464)		$	12,689		Net income (loss)
Benefit plan net gain (loss)		$	1,979		$	2,285		$	7,151		$	5,736		Other underwriting expenses
			(416)			(479)			(1,502)			(1,204)		Income tax expense (benefit)
		$	1,563		$	1,806		$	5,649		$	4,532		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
	September 30,						September 30,
(Dollars in thousands)	2021			2020			2021			2020
Beginning balance of URA (D) on securities	$	517,639		$	600,922		$	724,159		$	304,425
Current period change in URA (D) of investments - non-credit related		(101,409)			52,027			(307,929)			348,524
Ending balance of URA (D) on securities		416,230			652,949			416,230			652,949
Beginning balance of foreign currency translation adjustments		(90,677)			(231,955)			(115,390)			(201,717)
Current period change in foreign currency translation adjustments		(53,599)			60,628			(28,886)			30,390
Ending balance of foreign currency translation adjustments		(144,276)			(171,327)			(144,276)			(171,327)
Beginning balance of benefit plan net gain (loss)		(69,784)			(71,830)			(73,870)			(74,556)
Current period change in benefit plan net gain (loss)		1,563			1,806			5,649			4,532
Ending balance of benefit plan net gain (loss)		(68,221)			(70,024)			(68,221)			(70,024)
Ending balance of accumulated other comprehensive income (loss)	$	203,733		$	411,598		$	203,733		$	411,598
(Some amounts may not reconcile due to rounding.)

9. CREDIT FACILITIES

The Company has multiple active credit facilities for a total commitment of up to $1,530.0 million and an additional credit facility for a total commitment of up to £52.2 million, providing for the issuance of letters of credit and/or unsecured revolving credit lines. The Company also has additional uncommitted credit facilities of up to $140.0 million which may be accessible via written request and corresponding authorization from the applicable lender. The following table presents the interest and fees incurred in connection with these committed credit facilities for the periods indicated:

	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 two 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.

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 credit facilities, including the 2021 Bermuda Re Wells Fargo Letter of Credit Facility, detailed below. As a result, Tranche One of the Group Credit Facility (unsecured revolving credit in the amount of $200.0 million) is no longer effective or available for use. The $600.0 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 of December 31, 2021, the entirety of the 2016 Group Credit Facility will have expired and will no longer be effective. This collateralized letter of credit capacity will be replaced with additional bilateral collateralized letters 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, 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
Bank				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
		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

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
Bank		Commitment			In Use			Date of Expiry
Wells Fargo Bank Bilateral LOC Agreement		$	500,000		$	404,157		12/31/2021
		$	500,000		$	404,157

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
Bank		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
						429		12/16/2021						3,672		11/24/2021
						139,887		12/31/2021						448		12/16/2021
						4,425		02/28/2022						115		12/20/2021
						838		03/01/2022						136,383		12/31/2021
						148		12/20/2022						39,619		12/30/2024
						28,498		12/31/2022						821		08/15/2022
						999		08/15/2023						-
						1,252		09/23/2023						-
						22,964		09/30/2025						-
Total Citibank Bilateral Agreement		$	230,000		$	200,704				$	200,000		$	185,483

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, 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 Facility”. The Bermuda Re Bayerische Landesbank Credit Facility provides for the committed issuance of up to $200.0 million of secured letters of credit.

(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		$	-

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, Everest Re had admitted assets of approximately $18,874.0 million which provides borrowing capacity of up to approximately $1,887.4 million. During 2020, 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 million of these borrowings remain outstanding, with maturities in November and December 2021. 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, the total amount on deposit in trust accounts was $1,526.1 million.

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
			September 30,						September 30,
Mt. Logan Re Segregated Accounts			2021			2020			2021			2020
(Dollars in thousands)
Ceded written premiums		$	114,694		$	86,712		$	269,987		$	245,422
Ceded earned premiums			100,133			71,396			249,662			233,089
Ceded losses and LAE			169,998			87,917			281,893			173,968
Assumed written premiums			4,273			8,894			9,490			14,448
Assumed earned premiums			4,273			8,894			9,490			14,448
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 and December 31, 2020, the Company has a reinsurance recoverable of $217.5 million and $254.9 million, respectively. In addition, the Company has a deferred gain liability of $34.4

million and $38.8 million as of September 30, 2021 and December 31, 2020, 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
Series 2017-1 Class A-2		US, Canada, Puerto Rico – Named Storm and Earthquake Events		4/13/2017		4/13/2022			50,000		Aggregate
Series 2017-1 Class B-2		US, Canada, Puerto Rico – Named Storm and Earthquake Events		4/13/2017		4/13/2022			75,000		Aggregate
Series 2017-1 Class C-2		US, Canada, Puerto Rico – Named Storm and Earthquake Events		4/13/2017		4/13/2022			175,000		Aggregate
Series 2018-1 Class A-1		US, Canada, Puerto Rico – Named Storm and Earthquake Events		4/30/2018		5/6/2022			62,500		Aggregate
Series 2018-1 Class B-1		US, Canada, Puerto Rico – Named Storm and Earthquake Events		4/30/2018		5/6/2022			200,000		Aggregate
Series 2018-1 Class A-2		US, Canada, Puerto Rico – Named Storm and Earthquake Events		4/30/2018		5/5/2023			62,500		Aggregate
Series 2018-1 Class B-2		US, Canada, Puerto Rico – Named Storm and Earthquake Events		4/30/2018		5/5/2023			200,000		Aggregate
Series 2019-1 Class A-1		US, Canada, Puerto Rico – Named Storm and Earthquake Events		12/12/2019		12/19/2023			150,000		Occurrence
Series 2019-1 Class B-1		US, Canada, Puerto Rico – Named Storm and Earthquake Events		12/12/2019		12/19/2023			275,000		Aggregate
Series 2019-1 Class A-2		US, Canada, Puerto Rico – Named Storm and Earthquake Events		12/12/2019		12/19/2024			150,000		Occurrence
Series 2019-1 Class B-2		US, Canada, Puerto Rico – Named Storm and Earthquake Events		12/12/2019		12/19/2024			275,000		Aggregate
Series 2021-1 Class A-1		US, Canada, Puerto Rico – Named Storm and Earthquake Events		4/8/2021		4/21/2025			150,000		Occurrence
Series 2021-1 Class B-1		US, Canada, Puerto Rico – Named Storm and Earthquake Events		4/8/2021		4/21/2025			85,000		Aggregate
Series 2021-1 Class C-1		US, Canada, Puerto Rico – Named Storm and Earthquake Events		4/8/2021		4/21/2025			85,000		Aggregate
Series 2021-1 Class A-2		US, Canada, Puerto Rico – Named Storm and Earthquake Events		4/8/2021		4/20/2026			150,000		Occurrence
Series 2021-1 Class B-2		US, Canada, Puerto Rico – Named Storm and Earthquake Events		4/8/2021		4/20/2026			90,000		Aggregate
Series 2021-1 Class C-2		US, Canada, Puerto Rico – Named Storm and Earthquake Events		4/8/2021		4/20/2026			90,000		Aggregate
		Total available limit as of September 30, 2021						$	2,325,000

Recoveries under these collateralized reinsurance agreements with Kilimanjaro are primarily dependent on estimated industry level insured losses from covered events, as well as, the geographic location of the events. The estimated industry level of insured losses is obtained from published estimates by an independent recognized authority on insured property losses. Currently, none of the published insured loss estimates for catastrophe events during the applicable covered periods of the various agreements have exceeded the single event retentions or aggregate retentions under the terms of the agreements that would result in a recovery.

Kilimanjaro has financed the various property catastrophe reinsurance coverages by issuing catastrophe bonds to unrelated, external investors. The proceeds from the issuance of the Notes listed below are held in reinsurance trusts throughout the duration of the applicable reinsurance agreements and invested solely in U.S. government money market funds with a rating of at least “AAAm” by Standard & Poor’s.

(Dollars in thousands)
Note Series		Issue Date		Maturity Date		Amount
Series 2017-1 Class A-2		4/13/2017		4/13/2022		$	50,000
Series 2017-1 Class B-2		4/13/2017		4/13/2022			75,000
Series 2017-1 Class C-2		4/13/2017		4/13/2022			175,000
Series 2018-1 Class A-1		4/30/2018		5/6/2022			62,500
Series 2018-1 Class B-1		4/30/2018		5/6/2022			200,000
Series 2018-1 Class A-2		4/30/2018		5/5/2023			62,500
Series 2018-1 Class B-2		4/30/2018		5/5/2023			200,000
Series 2019-1 Class A-1		12/12/2019		12/19/2023			150,000
Series 2019-1 Class B-1		12/12/2019		12/19/2023			275,000
Series 2019-1 Class A-2		12/12/2019		12/19/2024			150,000
Series 2019-1 Class B-2		12/12/2019		12/19/2024			275,000
Series 2021-1 Class A-1		4/8/2021		4/21/2025			150,000
Series 2021-1 Class B-1		4/8/2021		4/21/2025			85,000
Series 2021-1 Class C-1		4/8/2021		4/21/2025			85,000
Series 2021-1 Class A-2		4/8/2021		4/20/2026			150,000
Series 2021-1 Class B-2		4/8/2021		4/20/2026			90,000
Series 2021-1 Class C-2		4/8/2021		4/20/2026			90,000

11. SENIOR NOTES

The table below displays Everest Reinsurance Holdings’ (“Holdings”) outstanding senior notes. Market value is based on quoted market prices, but due to limited trading activity, these senior notes are considered Level 2 in the fair value hierarchy.

							September 30, 2021						December 31, 2020
							Consolidated Balance						Consolidated Balance
(Dollars in thousands)	Date Issued		Date Due		Principal Amounts		Sheet Amount			Market Value			Sheet Amount			Market Value
4.868% Senior notes	6/5/2014		6/1/2044		400,000		$	397,284		$	506,828		$	397,194		$	528,000
3.5% Senior notes	10/07/2020		10/15/2050		1,000,000			979,915			1,065,400			979,524			1,138,100

On June 5, 2014, Holdings issued $400.0 million of 30 year senior notes with an interest coupon rate of 4.868%, which will mature on June 1, 2044. Interest is paid semi-annually on June 1 and December 1 of each year.

On October 7, 2020, Holdings issued $1,000.0 million of 30 year senior notes with an interest coupon rate of 3.50%, which will mature on October 15, 2050. Interest is paid semi-annually on April 15 and October 15 of each year.

On October 4, 2021, Holdings issued $1,000.0 million of 31 year senior notes with an interest coupon rate of 3.125%, which will mature on October 15, 2052. Interest is paid semi-annually on April 15 and October 15 of each year.

Interest expense incurred in connection with these senior notes is as follows for the periods indicated:

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
(Dollars In thousands	2021			2020			2021			2020
Interest expense incurred 4.868% Senior notes	$	4,868		$	4,868		$	14,604		$	14,604
Interest expense incurred 3.5% Senior notes		8,805			-			26,415			-

12. LONG TERM SUBORDINATED NOTES

The table below displays Holdings’ outstanding fixed to floating rate long term subordinated notes. Market value is based on quoted market prices, but due to limited trading activity, these subordinated notes are considered Level 2 in the fair value hierarchy.

						Maturity Date				September 30, 2021						December 31, 2020
			Original							Consolidated Balance			Market			Consolidated Balance			Market
(Dollars in thousands)	Date Issued		Principal Amount			Scheduled		Final		Sheet Amount			Value			Sheet Amount			Value
Long term subordinated notes	4/26/2007		$	400,000		5/15/2037		5/1/2067		$	223,749		$	216,043		$	223,674		$	206,447

During the fixed rate interest period from May 3, 2007 through May 14, 2017, interest was at the annual rate of 6.6%, payable semi-annually in arrears on November 15 and May 15 of each year, commencing on November 15, 2007. During the floating rate interest period from May 15, 2017 through maturity, interest will be based on the 3 month LIBOR plus 238.5 basis points, reset quarterly, payable quarterly in arrears on February 15, May 15, August 15 and November 15 of each year, subject to Holdings’ right to defer interest on one or more occasions for up to ten consecutive years. Deferred interest will accumulate interest at the applicable rate compounded quarterly for periods from and including May 15, 2017. The reset quarterly interest rate for August 16, 2021 to November 14, 2021 is 2.51%.

Holdings may redeem the long term subordinated notes on or after May 15, 2017, in whole or in part at 100% of the principal amount plus accrued and unpaid interest; however, redemption on or after the scheduled maturity date and prior to May 1, 2047 is subject to a replacement capital covenant. This covenant is for the benefit of certain senior note holders and it mandates that Holdings receive proceeds from the sale of another subordinated debt issue, of at least similar size, before it may redeem the subordinated notes. Effective upon the maturity of the Company’s 5.40% senior notes on October 15, 2014, the Company’s 4.868% senior notes, due on June 1, 2044, have become the Company’s long term indebtedness that ranks senior to the long term subordinated notes.

The Company repurchased and retired $0 million and $13.2 million of its outstanding long term subordinated notes during the three and nine months ended September 30, 2020, respectively. The Company realized a gain of $0 million and $2.5 million from the repurchase of the long term subordinated notes for the three and nine months ended September 30, 2020, respectively. No repurchases of debt were made during the three and nine months ended September 30, 2021.

On March 19, 2009, Group announced the commencement of a cash tender offer for any and all of the 6.60% fixed to floating rate long term subordinated notes. Upon expiration of the tender offer, the Company had reduced its outstanding debt by $161.4 million. In addition, during 2020, the Company repurchased and retired $13.2 million of the notes.

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

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
(Dollars in thousands)	2021			2020			2021			2020
Interest expense incurred	$	1,456		$	1,587		$	4,378		$	6,126

13. SEGMENT REPORTING

The Reinsurance operation writes worldwide property and casualty reinsurance and specialty lines of business, on both a treaty and facultative basis, through reinsurance brokers, as well as directly with ceding companies. Business is written in the U.S., Bermuda, and Ireland offices, as well as, through branches in Canada, Singapore, the United Kingdom and Switzerland. The Insurance operation writes property and casualty insurance directly and through brokers, surplus lines brokers and general agents within the U.S., Bermuda, Canada and Europe through its offices in the U.S., Canada, United Kingdom, Ireland and a branch in the Netherlands.

These segments are managed independently, but conform with corporate guidelines with respect to pricing, risk management, control of aggregate catastrophe exposures, capital, investments and support operations. Management generally monitors and evaluates the financial performance of these operating segments based upon their underwriting results.

Underwriting results include earned premium less losses and loss adjustment expenses (“LAE”) incurred, commission and brokerage expenses and other underwriting expenses. The Company measures its underwriting results using ratios, in particular loss, commission and brokerage and other underwriting expense ratios, which, respectively, divide incurred losses, commissions and brokerage and other underwriting expenses by premiums earned.

The Company does not maintain separate balance sheet data for its operating segments. Accordingly, the Company does not review and evaluate the financial results of its operating segments based upon balance sheet data.

The following tables present the underwriting results for the operating segments for the periods indicated:

	Three Months Ended						Nine Months Ended
Reinsurance	September 30,						September 30,
(Dollars in thousands)	2021			2020			2021			2020
Gross written premiums	$	2,488,344		$	2,086,961		$	6,695,594		$	5,403,080
Net written premiums		2,292,957			1,936,851			6,265,825			4,974,034
Premiums earned	$	1,976,454		$	1,669,257		$	5,674,707		$	4,656,733
Incurred losses and LAE		1,766,197			1,335,048			4,206,243			3,361,367
Commission and brokerage		471,079			373,251			1,353,062			1,130,946
Other underwriting expenses		45,347			51,333			144,408			135,170
Underwriting gain (loss)	$	(306,170)		$	(90,375)		$	(29,006)		$	29,250

	Three Months Ended						Nine Months Ended
Insurance	September 30,						September 30,
(Dollars in thousands)	2021			2020			2021			2020
Gross written premiums	$	1,009,264		$	704,643		$	2,923,587		$	2,328,733
Net written premiums		732,832			511,829			2,123,311			1,693,603
Premiums earned	$	679,949		$	536,554		$	1,927,933		$	1,628,297
Incurred losses and LAE		508,103			401,162			1,365,619			1,212,699
Commission and brokerage		93,256			72,081			258,033			229,224
Other underwriting expenses		95,802			87,542			279,817			250,695
Underwriting gain (loss)	$	(17,213)		$	(24,231)		$	24,465		$	(64,321)

The following table reconciles the underwriting results for the operating segments to income before taxes as reported in the consolidated statements of operations and comprehensive income (loss) for the periods indicated:

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
(Dollars in thousands)	2021			2020			2021			2020
Underwriting gain (loss)	$	(323,383)		$	(114,606)		$	(4,541)		$	(35,071)
Net investment income		292,759			234,233			960,267			420,116
Net realized capital gains (losses)		(4,222)			110,203			138,789			84,263
Corporate expenses		(17,817)			(10,618)			(46,363)			(29,184)
Interest, fee and bond issue cost amortization expense		(15,539)			(6,641)			(46,785)			(21,477)
Other income (expense)		(19,517)			59,937			44,190			47,306
Income (loss) before taxes	$	(87,719)		$	272,508		$	1,045,557		$	465,953

The Company produces business in the U.S., Bermuda and internationally. The net income deriving from and assets residing in the individual foreign countries in which the Company writes business are not identifiable in the Company’s financial records. Based on gross written premium, the table below presents the largest country, other than the U.S., in which the Company writes business, for the periods indicated:

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
(Dollars in thousands)	2021			2020			2021			2020
United Kingdom gross written premium	$	281,645		$	314,502		$	897,107		$	857,310

No other country represented more than 5% of the Company’s revenues.

14. SHARE-BASED COMPENSATION PLANS

For the three months ended September 30, 2021, a total of 2,090 restricted stock awards were granted: 2,090 restricted share awards were granted on September 9, 2021 with a fair value of $263.63 per share.

For the nine months ended September 30, 2021, a total of 209,631 restricted stock awards were granted: 194,610, 10,656, 2,275 and 2,090 restricted share awards were granted on February 23, 2021, February 24, 2021, May 12, 2021 and September 9, 2021, with a fair value of $242.24 per share, $244.445 per share, $264.845 per share and $263.63 per share, respectively. Additionally, 22,205 performance share unit awards were granted on February 23, 2021, with a fair value of $242.24 per unit.

15. INCOME TAXES

The Company is domiciled in Bermuda and has significant subsidiaries and/or branches in Canada, Ireland, the Netherlands, Singapore, Switzerland, the United Kingdom, and the United States. The Company’s Bermuda domiciled subsidiaries are exempt from income taxation under Bermuda law until 2035. The Company’s non-Bermudian subsidiaries and branches are subject to income taxation at varying rates in their respective domiciles.

The Company generally applies the estimated Annualized Effective Tax Rate (“AETR”) approach for calculating its tax provision for interim periods as prescribed by ASC 740-270, Interim Reporting. Under the AETR approach, the estimated annualized effective tax rate is applied to the interim year-to-date pre-tax income/(loss) to determine the income tax expense or benefit for the year-to-date period. The tax expense or benefit for the quarter represents the difference between the year-to-date tax expense or benefit for the current year-to-date period less such amount for the immediately preceding year-to-date period. Management considers the impact of all known events in its estimation of the Company’s annual pre-tax income/(loss) and annualized effective tax rate.

16. SUBSEQUENT EVENTS

The Company has evaluated known recognized and non-recognized subsequent events. Other than the debt issuance on October 4, 2021 described in Note 11, the Company does not have any subsequent events to report.