Greenlight RE - GLRE - High Level Thoughts

Thoughts on Greenlight RE, ticker symbol GLRE.

• GLRE is primarily an investment vehicle to access Greenlight Capital.  To get the various advantages this vehicle has, the company has to operate a bona fide reinsurer.  The reinsurance business is designed to provide that legal/tax cover, and perhaps add a smidge of returns over time.  It's primarily a "frequency" style of book, which is designed to have losses that are predictable, rather than a "severity" style of book which accrues gains for a long time, and then takes a big bath periodically.
• There is not much capital markets sponsorship, as far as I can tell just CS and UBS cover name.  UBS had an 8 page report on 4/30. Looking at CS reports uninformative.  Is coverage a courtesy given DME commission payments?  Perhaps they have to be circumspect in what they are saying, if they do not want to get in trouble with the SEC for having a registered vehicle be a front door into unregulated hedge funds.
• Reviewed the Q's & K's as well as the management presentation from May 21.  Looks satisfactory, but to be fair, I have not read enough insurance filings to really know if something would be wildly out of sorts.  Looks like frequency business seems to be running at 102 combined ratio.  Not much severity biz to be written.  66mm is supposedly this biggest single hit they could take, with 102mm total.  When thinking about the company, it seems to me that this is a sort of "short put" that needs to be considered. 
• The raison d'etre of the firm is the 1.1 Bn investment book.  In addition to all the usual Einhorn long/short equity positions there 500-700mm in sov/corp CDS exposure, as well as short outright cash bonds.  Also some GLD and interest rate swaps, supposedly on the Japanese Yen. Roughly flat last year (2%) and about the same ytd.
• These were surpisingly solid writeups here and here
• My calculation of book value (as of 6/6) is 22.62, suggesting a current P/B of about 1.10 to 1.11.  What is a reasonable price to pay for:
• access to Einhorn's mgmt skills (his LP's have been closed since 2008)
• insurance co. float (i.e. non recourse leverage) which runs about 32% currently
• tax sheltered compounding as well as daily liquidity
• The CDS book (from the filings) seems to be having a significant carry cost.  My estimate is 10mm a quarter, which suggests they are paying 350bps in carry costs.  Those numbers could be off.   It also looks like they are positioned for rising rates and USD, as the investment book makes a little money in both those cases, at least according to the stress test presented.
• As others have alluded to, this is hard to replicate by oneself. 

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Updated as of June Month End - Fresh estimated book value - my calc's put it at very close to the same as last mo.