Fair Value (Tables)

6 Months Ended

Jun. 30, 2014

Financial instruments measured at fair value and categorized between Levels 1, 2 and 3

At June 30, 2014 and December 31, 2013, the Company’s financial instruments measured at fair value were classified between Levels 1, 2 and 3 as follows (in thousands of U.S. dollars):



June 30, 2014	Quoted prices in active markets for identical assets (Level 1)			Significant other observable inputs (Level 2)			Significant unobservable inputs (Level 3)			Total
Fixed maturities
U.S. government and government sponsored enterprises	$	—		$	1,855,443		$	—		$	1,855,443
U.S. states, territories and municipalities	—			97,830			123,617			221,447
Non-U.S. sovereign government, supranational and government related	—			2,288,627			—			2,288,627
Corporate	—			5,980,652			—			5,980,652
Asset-backed securities	—			725,466			489,106			1,214,572
Residential mortgage-backed securities	—			2,394,941			—			2,394,941
Other mortgage-backed securities	—			51,088			—			51,088
Fixed maturities	$	—		$	13,394,047		$	612,723		$	14,006,770
Short-term investments	$	—		$	31,849		$	—		$	31,849
Equities
Real estate investment trusts	$	224,501		$	—		$	—		$	224,501
Energy	154,368			—			—			154,368
Finance	98,254			9,718			19,564			127,536
Insurance	122,864			—			—			122,864
Consumer noncyclical	100,022			—			—			100,022
Communications	78,556			—			2,067			80,623
Technology	52,429			—			7,645			60,074
Industrials	49,759			—			—			49,759
Consumer cyclical	41,279			—			—			41,279
Utilities	35,141			—			—			35,141
Other	19,845			—			7			19,852
Mutual funds and exchange traded funds	47,003			181,814			8,246			237,063
Equities	$	1,024,021		$	191,532		$	37,529		$	1,253,082
Other invested assets
Derivative assets
Foreign exchange forward contracts	$	—		$	2,410		$	—		$	2,410
Foreign currency option contracts	—			746			—			746
Futures contracts	2,706			—			—			2,706
Total return swaps	—			—			408			408
TBAs	—			1,728			—			1,728
Other
Notes and loan receivables and notes securitization	—			—			38,603			38,603
Annuities and residuals	—			—			17,134			17,134
Private equities	—			—			54,928			54,928
Derivative liabilities
Foreign exchange forward contracts	—			(4,171		)	—			(4,171		)
Futures contracts	(407		)	—			—			(407		)
Insurance-linked securities	—			—			(950		)	(950		)
Total return swaps	—			—			(310		)	(310		)
Interest rate swaps	—			(9,145		)	—			(9,145		)
Other invested assets	$	2,299		$	(8,432	)	$	109,813		$	103,680
Funds held – directly managed
U.S. government and government sponsored enterprises	$	—		$	154,590		$	—		$	154,590
U.S. states, territories and municipalities	—			—			305			305
Non-U.S. sovereign government, supranational and government related	—			128,323			—			128,323
Corporate	—			214,482			—			214,482
Other invested assets	—			—			15,800			15,800
Funds held – directly managed	$	—		$	497,395		$	16,105		$	513,500
Total	$	1,026,320		$	14,106,391		$	776,170		$	15,908,881



December 31, 2013	Quoted prices in active markets for identical assets (Level 1)		Significant other observable inputs (Level 2)			Significant unobservable inputs (Level 3)			Total
Fixed maturities
U.S. government and government sponsored enterprises	$	—	$	1,623,859		$	—		$	1,623,859
U.S. states, territories and municipalities	—		16,207			108,380			124,587
Non-U.S. sovereign government, supranational and government related	—		2,353,699			—			2,353,699
Corporate	—		6,048,663			—			6,048,663
Asset-backed securities	—		691,654			446,577			1,138,231
Residential mortgage-backed securities	—		2,268,517			—			2,268,517
Other mortgage-backed securities	—		35,747			—			35,747
Fixed maturities	$	—	$	13,038,346		$	554,957		$	13,593,303
Short-term investments	$	—	$	13,546		$	—		$	13,546
Equities
Real estate investment trusts	$	175,796	$	—		$	—		$	175,796
Energy	159,509		—			—			159,509
Insurance	144,020		—			—			144,020
Finance	108,944		9,556			20,207			138,707
Consumer noncyclical	108,663		—			—			108,663
Communications	70,792		—			2,199			72,991
Technology	53,768		—			7,752			61,520
Industrials	47,677		—			—			47,677
Consumer cyclical	45,915		—			—			45,915
Utilities	37,151		—			—			37,151
Other	19,993		—			—			19,993
Mutual funds and exchange traded funds	61,902		139,322			7,887			209,111
Equities	$	1,034,130	$	148,878		$	38,045		$	1,221,053
Other invested assets
Derivative assets
Foreign exchange forward contracts	$	—	$	1,249		$	—		$	1,249
Futures contracts	41,031		—			—			41,031
Total return swaps	—		—			79			79
Interest rate swaps	—		2,147			—			2,147
TBAs	—		2			—			2
Other
Notes and loan receivables and notes securitization	—		—			41,446			41,446
Annuities and residuals	—		—			24,064			24,064
Private equities	—		—			39,131			39,131
Derivative liabilities
Foreign exchange forward contracts	—		(8,648		)	—			(8,648		)
Foreign currency option contracts	—		(535		)	—			(535		)
Credit default swaps (protection purchased)	—		(71		)	—			(71		)
Insurance-linked securities	—		—			(268		)	(268		)
Total return swaps	—		—			(599		)	(599		)
Interest rate swaps	—		(2,558		)	—			(2,558		)
TBAs	—		(1,331		)	—			(1,331		)
Other invested assets	$	41,031	$	(9,745	)	$	103,853		$	135,139
Funds held – directly managed
U.S. government and government sponsored enterprises	$	—	$	157,296		$	—		$	157,296
U.S. states, territories and municipalities	—		—			286			286
Non-U.S. sovereign government, supranational and government related	—		137,186			—			137,186
Corporate	—		248,947			—			248,947
Short-term investments	—		2,426			—			2,426
Other invested assets	—		—			15,165			15,165
Funds held – directly managed	$	—	$	545,855		$	15,451		$	561,306
Total	$	1,075,161	$	13,736,880		$	712,306		$	15,524,347

Reconciliation of beginning and ending balances for all financial instruments measured at fair value using Level 3 inputs

The reconciliations of the beginning and ending balances for all financial instruments measured at fair value using Level 3 inputs for the six months ended June 30, 2014 and 2013, were as follows (in thousands of U.S. dollars):



For the six months ended June 30, 2014	Balance at beginning of period			Realized and unrealized investment gains (losses) included in net income			Purchases and issuances ⁽¹⁾			Settlements and sales			Net transfers into/(out of) Level 3		Balance at end of period			Change in unrealized investment gains (losses) relating to assets held at end of period
Fixed maturities
U.S. states, territories and municipalities	$	108,380		$	6,852		$	8,525		$	(140	)	$	—	$	123,617		$	6,849
Asset-backed securities	446,577			9,137			127,453			(94,061		)	—		489,106			9,444
Fixed maturities	$	554,957		$	15,989		$	135,978		$	(94,201	)	$	—	$	612,723		$	16,293
Equities
Finance	$	20,207		$	(643	)	$	—		$	—		$	—	$	19,564		$	(643	)
Communications	2,199			(132		)	—			—			—		2,067			(132		)
Technology	7,752			(107		)	—			—			—		7,645			(107		)
Other	—			(1		)	8			—			—		7			(1		)
Mutual funds and exchange traded funds	7,887			359			—			—			—		8,246			359
Equities	$	38,045		$	(524	)	$	8		$	—		$	—	$	37,529		$	(524	)
Other invested assets
Derivatives, net	$	(788	)	$	864		$	(928	)	$	—		$	—	$	(852	)	$	864
Notes and loan receivables and notes securitization	41,446			3,567			2,916			(9,326		)	—		38,603			5,086
Annuities and residuals	24,064			391			—			(7,321		)	—		17,134			431
Private equities	39,131			(1,831		)	20,544			(2,916		)	—		54,928			(1,863		)
Other invested assets	$	103,853		$	2,991		$	22,532		$	(19,563	)	$	—	$	109,813		$	4,518
Funds held – directly managed
U.S. states, territories and municipalities	$	286		$	19		$	—		$	—		$	—	$	305		$	19
Other invested assets	15,165			380			255			—			—		15,800			380
Funds held – directly managed	$	15,451		$	399		$	255		$	—		$	—	$	16,105		$	399
Total	$	712,306		$	18,855		$	158,773		$	(113,764	)	$	—	$	776,170		$	20,686


(1)	Purchases and issuances of derivatives include issuances of $0.9 million.



For the six months ended June 30, 2013	Balance at beginning of period		Realized and unrealized investment (losses) gains included in net income			Purchases and issuances ⁽¹⁾		Settlements and sales ⁽²⁾			Net transfers into/(out of) Level 3		Balance at end of period		Change in unrealized investment (losses) gains relating to assets held at end of period
Fixed maturities
U.S. states, territories and municipalities	$	233,235	$	(13,858	)	$	—	$	(214	)	$	—	$	219,163	$	(13,858	)
Corporate	100,904		(1,008		)	—		—			—		99,896		(1,008		)
Asset-backed securities	323,134		(4,322		)	155,165		(47,689		)	—		426,288		(4,140		)
Fixed maturities	$	657,273	$	(19,188	)	$	155,165	$	(47,903	)	$	—	$	745,347	$	(19,006	)
Equities
Finance	$	13,477	$	(477	)	$	—	$	—		$	—	$	13,000	$	(477	)
Technology	6,987		1,025			—		—			—		8,012		1,025
Communications	—		—			2,040		—			—		2,040		—
Mutual funds and exchange traded funds	7,264		285			—		—			—		7,549		285
Equities	$	27,728	$	833		$	2,040	$	—		$	—	$	30,601	$	833
Other invested assets
Derivatives, net	$	3,911	$	(4,199	)	$	121	$	2,500		$	—	$	2,333	$	(3,698	)
Notes and loan receivables and notes securitization	34,902		(1,383		)	13,350		(2,645		)	—		44,224		(1,383		)
Annuities and residuals	46,882		93			—		(16,420		)	—		30,555		316
Private equities	1,404		(3,512		)	23,208		—			—		21,100		(3,512		)
Other invested assets	$	87,099	$	(9,001	)	$	36,679	$	(16,565	)	$	—	$	98,212	$	(8,277	)
Funds held – directly managed
U.S. states, territories and municipalities	$	345	$	(8	)	$	—	$	—		$	—	$	337	$	(8	)
Other invested assets	17,976		(2,698		)	—		(71		)	—		15,207		(1,634		)
Funds held – directly managed	$	18,321	$	(2,706	)	$	—	$	(71	)	$	—	$	15,544	$	(1,642	)
Total	$	790,421	$	(30,062	)	$	193,884	$	(64,539	)	$	—	$	889,704	$	(28,092	)


(1)	Purchases and issuances of derivatives include issuances of $0.8 million.


(2)	Settlement and sales of annuities and residuals include sales of $6.3 million.

The reconciliations of the beginning and ending balances for all financial instruments measured at fair value using Level 3 inputs for the three months ended June 30, 2014 and 2013, were as follows (in thousands of U.S. dollars):



For the three months ended June 30, 2014	Balance at beginning of period			Realized and unrealized investment gains (losses) included in net income			Purchases and issuances ⁽¹⁾			Settlements and sales			Net transfers into/ (out of) Level 3		Balance at end of period			Change in unrealized investment gains (losses) relating to assets held at end of period
Fixed maturities
U.S. states, territories and municipalities	$	113,467		$	5,960		$	4,260		$	(70	)	$	—	$	123,617		$	5,959
Asset-backed securities	447,701			3,141			68,035			(29,771		)	—		489,106			3,184
Fixed maturities	$	561,168		$	9,101		$	72,295		$	(29,841	)	$	—	$	612,723		$	9,143
Equities
Finance	$	22,706		$	(3,142	)	$	—		$	—		$	—	$	19,564		$	(3,142	)
Communications	2,111			(44		)	—			—			—		2,067			(44		)
Technology	7,400			245			—			—			—		7,645			245
Other	—			(1		)	8			—			—		7			(1		)
Mutual funds and exchange traded funds	8,053			193			—			—			—		8,246			193
Equities	$	40,270		$	(2,749	)	$	8		$	—		$	—	$	37,529		$	(2,749	)
Other invested assets
Derivatives, net	$	(1,042	)	$	398		$	(208	)	$	—		$	—	$	(852	)	$	398
Notes and loan receivables and notes securitization	42,243			2,967			2,196			(8,803		)	—		38,603			4,486
Annuities and residuals	18,945			302			—			(2,113		)	—		17,134			303
Private equities	42,655			(2,264		)	15,478			(941		)	—		54,928			(2,264		)
Other invested assets	$	102,801		$	1,403		$	17,466		$	(11,857	)	$	—	$	109,813		$	2,923
Funds held – directly managed
U.S. states, territories and municipalities	$	301		$	4		$	—		$	—		$	—	$	305		$	4
Other invested assets	15,223			577			—			—			—		15,800			577
Funds held – directly managed	$	15,524		$	581		$	—		$	—		$	—	$	16,105		$	581
Total	$	719,763		$	8,336		$	89,769		$	(41,698	)	$	—	$	776,170		$	9,898


(1)	Purchases and issuances of derivatives include issuances of $0.2 million.



For the three months ended June 30, 2013	Balance at beginning of period		Realized and unrealized investment (losses) gains included in net loss			Purchases and issuances ⁽¹⁾		Settlements and sales			Net transfers into/(out of) Level 3		Balance at end of period		Change in unrealized investment (losses) gains relating to assets held at end of period
Fixed maturities
U.S. states, territories and municipalities	$	232,292	$	(13,009	)	$	—	$	(120	)	$	—	$	219,163	$	(13,009	)
Corporate	100,716		(820		)	—		—			—		99,896		(820		)
Asset-backed securities	325,659		(6,063		)	128,009		(21,317		)	—		426,288		(5,921		)
Fixed maturities	$	658,667	$	(19,892	)	$	128,009	$	(21,437	)	$	—	$	745,347	$	(19,750	)
Equities
Finance	$	12,553	$	447		$	—	$	—		$	—	$	13,000	$	447
Technology	7,647		365			—		—			—		8,012		365
Communications	—		—			2,040		—			—		2,040		—
Mutual funds and exchange traded funds	7,442		107			—		—			—		7,549		107
Equities	$	27,642	$	919		$	2,040	$	—		$	—	$	30,601	$	919
Other invested assets
Derivatives, net	$	2,732	$	(520	)	$	121	$	—		$	—	$	2,333	$	(3,020	)
Notes and loan receivables and notes securitization	34,058		(1,322		)	11,990		(502		)	—		44,224		(1,322		)
Annuities and residuals	35,656		(243		)	—		(4,858		)	—		30,555		(510		)
Private equities	17,764		(447		)	3,783		—			—		21,100		(447		)
Other invested assets	$	90,210	$	(2,532	)	$	15,894	$	(5,360	)	$	—	$	98,212	$	(5,299	)
Funds held – directly managed
U.S. states, territories and municipalities	$	341	$	(4	)	$	—	$	—		$	—	$	337	$	(4	)
Other invested assets	15,468		(261		)	—		—			—		15,207		(261		)
Funds held – directly managed	$	15,809	$	(265	)	$	—	$	—		$	—	$	15,544	$	(265	)
Total	$	792,328	$	(21,770	)	$	145,943	$	(26,797	)	$	—	$	889,704	$	(24,395	)


(1)	Purchases and issuances of derivatives include issuances of $0.8 million.

Fair Value Inputs, Assets, Quantitative Information [Table Text Block]

The significant unobservable inputs used in the valuation of financial instruments measured at fair value using Level 3 inputs at June 30, 2014 and December 31, 2013 were as follows (fair value in thousands of U.S. dollars):



June 30, 2014	Fair value		Valuation techniques	Unobservable inputs	Range (Weighted average)
Fixed maturities
U.S. states, territories and municipalities	$	123,617	Discounted cash flow	Credit spreads	2.6% – 10.0% (5.2%)
Asset-backed securities – interest only	11		Discounted cash flow	Credit spreads	5.2% – 10.3% (6.9%)
Asset-backed securities – other	489,095		Discounted cash flow	Credit spreads	3.9% – 12.0% (6.8%)
Equities
Finance	13,782		Weighted market comparables	Net income multiple	19.0 (19.0)
			Weighted market comparables	Tangible book value multiple	1.3 (1.3)
				Liquidity discount	25.0% (25.0%)
				Comparable return	0% (0%)
Finance	5,782		Profitability analysis	Projected return on equity	14.0% (14.0%)
Communications	2,067		Weighted market comparables	Adjusted earnings multiple	9.4 (9.4)
			Weighted market comparables	Comparable return	-6.0% (-6.0%)
Technology	7,645		Weighted market comparables	Revenue multiple	1.5 (1.5)
			Weighted market comparables	Adjusted earnings multiple	9.0 (9.0)
Other invested assets
Total return swaps	98		Discounted cash flow	Credit spreads	3.7% – 17.4% (9.6%)
Notes and loan receivables	16,984		Discounted cash flow	Credit spreads	17.5% (17.5%)
Notes and loan receivables			Discounted cash flow	Gross revenue/fair value	1.3 – 1.5 (1.5)
Notes securitization	21,619		Discounted cash flow	Credit spreads	4.0% – 5.9% (5.8%)
Annuities and residuals	17,134		Discounted cash flow	Credit spreads	4.0% – 7.4% (5.9%)
				Prepayment speed	0% – 15.0% (5.6%)
				Constant default rate	0.3% – 23.0% (8.2%)
Private equity – direct	10,657		Discounted cash flow and weighted market comparables	Net income multiple	9.2 (9.2)
				Tangible book value multiple	1.6 (1.6)
				Recoverability of intangible assets	0% (0%)
Private equity funds	14,447		Lag reported market value	Net asset value, as reported	100.0% (100.0%)
			Lag reported market value	Market adjustments	1.0% – 6.1% (2.4%)
Private equity – other	29,824		Discounted cash flow	Effective yield	5.8% (5.8%)
Funds held – directly managed
Other invested assets	15,800		Lag reported market value	Net asset value, as reported	100.0% (100.0%)
			Lag reported market value	Market adjustments	-18.7% – 0% (-12.4%)



December 31, 2013	Fair value			Valuation techniques	Unobservable inputs	Range (Weighted average)
Fixed maturities
U.S. states, territories and municipalities	$	108,380		Discounted cash flow	Credit spreads	2.9% – 9.9% (5.3%)
Asset-backed securities – interest only	21			Discounted cash flow	Credit spreads	5.5% – 10.7% (8.8%)
Asset-backed securities – other	446,556			Discounted cash flow	Credit spreads	4.0% – 12.2% (7.1%)
Equities
Finance	15,483			Weighted market comparables	Net income multiple	14.6 (14.6)
				Weighted market comparables	Tangible book value multiple	1.1 (1.1)
					Liquidity discount	25.0% (25.0%)
					Comparable return	8.5% (8.5%)
Finance	4,724			Profitability analysis	Projected return on equity	14.0% (14.0%)
Communications	2,199			Weighted market comparables	Adjusted earnings multiple	9.4 (9.4)
				Weighted market comparables	Comparable return	0% (0%)
Technology	7,752			Weighted market comparables	Revenue multiple	0.9 (0.9)
				Weighted market comparables	Adjusted earnings multiple	4.4 (4.4)
Other invested assets
Total return swaps	(520		)	Discounted cash flow	Credit spreads	2.8% – 18.9% (17.0%)
Notes and loan receivables	21,280			Discounted cash flow	Credit spreads	17.5% (17.5%)
Notes and loan receivables				Discounted cash flow	Gross revenue/fair value	1.5 (1.5)
Notes securitization	20,166			Discounted cash flow	Credit spreads	6.2% (6.2%)
Annuities and residuals	24,064			Discounted cash flow	Credit spreads	4.0% – 7.9% (5.8%)
					Prepayment speed	0% – 15.0% (6.4%)
					Constant default rate	0.3% – 35.0% (12.4%)
Private equity – direct	11,742			Discounted cash flow and weighted market comparables	Net income multiple	8.3 (8.3)
					Tangible book value multiple	1.6 (1.6)
					Recoverability of intangible assets	0% (0%)
Private equity funds	8,993			Lag reported market value	Net asset value, as reported	100.0% (100.0%)
				Lag reported market value	Market adjustments	1.8% – 9.8% (8.3%)
Private equity – other	18,396			Discounted cash flow	Credit spreads	3.8% (3.8%)
Funds held – directly managed
Other invested assets	15,165			Lag reported market value	Net asset value, as reported	100.0% (100.0%)
				Lag reported market value	Market adjustments	-22.9% – 0% (-15.5%)

Change in fair value of financial instruments subject to fair value option

Changes in the fair value of the Company’s financial instruments subject to the fair value option during the three months and six months ended June 30, 2014 and 2013 were as follows (in thousands of U.S. dollars):



	For the three months ended June 30, 2014		For the three months ended June 30, 2013			For the six months ended June 30, 2014		For the six months ended June 30, 2013
Fixed maturities and short-term investments	$	123,434	$	(395,757	)	$	243,233	$	(467,427	)
Equities	6,322		(57,715		)	16,647		(7,649		)
Other invested assets	2,515		(2,234		)	3,558		(7,068		)
Funds held – directly managed	741		(15,372		)	1,477		(21,415		)
Total	$	133,012	$	(471,078	)	$	264,915	$	(503,559	)

Carrying values and fair values of financial instrument liabilities

The carrying values and fair values of the Senior Notes and CENts at June 30, 2014 and December 31, 2013 were as follows (in thousands of U.S. dollars):



	June 30, 2014				December 31, 2013
	Carrying Value		Fair Value		Carrying Value		Fair Value
Debt related to senior notes ⁽¹⁾	$	750,000	$	865,321	$	750,000	$	844,331
Debt related to capital efficient notes ⁽²⁾	63,384		62,015		63,384		61,094


(1)	PartnerRe Finance A LLC and PartnerRe Finance B LLC, the issuers of the Senior Notes, do not meet consolidation requirements under U.S. GAAP. Accordingly, the Company shows the related intercompany debt of $750 million in its Condensed Consolidated Balance Sheets at June 30, 2014 and December 31, 2013.


(2)	PartnerRe Finance II Inc., the issuer of the CENts, does not meet consolidation requirements under U.S. GAAP. Accordingly, the Company shows the related intercompany debt of $71 million in its Condensed Consolidated Balance Sheets at June 30, 2014 and December 31, 2013.

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

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