Fair Value (Tables)

9 Months Ended

Sep. 30, 2014

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

At September 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):



September 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	$	—		$	2,184,417		$	—		$	2,184,417
U.S. states, territories and municipalities	—			189,755			130,743			320,498
Non-U.S. sovereign government, supranational and government related	—			2,209,335			—			2,209,335
Corporate	—			5,706,486			—			5,706,486
Asset-backed securities	—			689,609			458,175			1,147,784
Residential mortgage-backed securities	—			2,331,870			—			2,331,870
Other mortgage-backed securities	—			50,239			—			50,239
Fixed maturities	$	—		$	13,361,711		$	588,918		$	13,950,629
Short-term investments	$	—		$	37,016		$	—		$	37,016
Equities
Real estate investment trusts	$	213,461		$	—		$	—		$	213,461
Energy	155,113			—			—			155,113
Insurance	127,740			—			—			127,740
Finance	70,010			8,431			19,136			97,577
Consumer noncyclical	91,334			—			—			91,334
Communications	72,619			—			1,966			74,585
Technology	47,848			—			7,318			55,166
Industrials	43,930			—			—			43,930
Consumer cyclical	36,252			—			—			36,252
Utilities	32,012			—			—			32,012
Other	17,372			—			7			17,379
Mutual funds and exchange traded funds	48,383			—			8,375			56,758
Equities	$	956,074		$	8,431		$	36,802		$	1,001,307
Other invested assets
Derivative assets
Foreign exchange forward contracts	$	—		$	8,456		$	—		$	8,456
Foreign currency option contracts	—			901			—			901
Futures contracts	3,723			—			—			3,723
Total return swaps	—			—			744			744
Other
Notes and loan receivables and notes securitization	—			—			45,396			45,396
Annuities and residuals	—			—			14,880			14,880
Private equities	—			—			53,019			53,019
Derivative liabilities
Foreign exchange forward contracts	—			(7,904		)	—			(7,904		)
Foreign currency option contracts	—			(1,682		)	—			(1,682		)
Futures contracts	(37		)	—			—			(37		)
Insurance-linked securities	—			—			(375		)	(375		)
Total return swaps	—			—			(1,859		)	(1,859		)
Interest rate swaps	—			(10,200		)	—			(10,200		)
TBAs	—			(508		)	—			(508		)
Other invested assets	$	3,686		$	(10,937	)	$	111,805		$	104,554
Funds held – directly managed
U.S. government and government sponsored enterprises	$	—		$	149,273		$	—		$	149,273
U.S. states, territories and municipalities	—			—			311			311
Non-U.S. sovereign government, supranational and government related	—			123,210			—			123,210
Corporate	—			191,621			—			191,621
Other invested assets	—			—			14,553			14,553
Funds held – directly managed	$	—		$	464,104		$	14,864		$	478,968
Total	$	959,760		$	13,860,325		$	752,389		$	15,572,474



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 nine months ended September 30, 2014 and 2013, were as follows (in thousands of U.S. dollars):



For the nine months ended September 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		$	10,488		$	14,220		$	(2,345	)	$	—	$	130,743		$	10,483
Asset-backed securities	446,577			4,698			138,538			(131,638		)	—		458,175			4,993
Fixed maturities	$	554,957		$	15,186		$	152,758		$	(133,983	)	$	—	$	588,918		$	15,476
Equities
Finance	$	20,207		$	(1,071	)	$	—		$	—		$	—	$	19,136		$	(1,071	)
Communications	2,199			(233		)	—			—			—		1,966			(233		)
Technology	7,752			(434		)	—			—			—		7,318			(434		)
Other	—			(1		)	8			—			—		7			(1		)
Mutual funds and exchange traded funds	7,887			488			—			—			—		8,375			488
Equities	$	38,045		$	(1,251	)	$	8		$	—		$	—	$	36,802		$	(1,251	)
Other invested assets
Derivatives, net	$	(788	)	$	(391	)	$	(871	)	$	560		$	—	$	(1,490	)	$	(391	)
Notes and loan receivables and notes securitization	41,446			2,188			32,202			(30,440		)	—		45,396			3,707
Annuities and residuals	24,064			(84		)	—			(9,100		)	—		14,880			(44		)
Private equities	39,131			(3,179		)	20,792			(3,725		)	—		53,019			(3,210		)
Other invested assets	$	103,853		$	(1,466	)	$	52,123		$	(42,705	)	$	—	$	111,805		$	62
Funds held – directly managed
U.S. states, territories and municipalities	$	286		$	25		$	—		$	—		$	—	$	311		$	25
Other invested assets	15,165			(1,087		)	475			—			—		14,553			(1,087		)
Funds held – directly managed	$	15,451		$	(1,062	)	$	475		$	—		$	—	$	14,864		$	(1,062	)
Total	$	712,306		$	11,407		$	205,364		$	(176,688	)	$	—	$	752,389		$	13,225


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



For the nine months ended September 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	$	(5,427	)	$	61,706	$	(379	)	$	—	$	289,135		$	(5,427	)
Corporate	100,904		(1,277		)	—		—			—		99,627			(1,277		)
Asset-backed securities	323,134		478			241,607		(111,466		)	—		453,753			(7,182		)
Fixed maturities	$	657,273	$	(6,226	)	$	303,313	$	(111,845	)	$	—	$	842,515		$	(13,886	)
Equities
Finance	$	13,477	$	808		$	—	$	—		$	—	$	14,285		$	808
Communications	—		103			2,040		—			—		2,143			103
Technology	6,987		2,163			—		—			—		9,150			2,163
Mutual funds and exchange traded funds	7,264		410			—		—			—		7,674			410
Equities	$	27,728	$	3,484		$	2,040	$	—		$	—	$	33,252		$	3,484
Other invested assets
Derivatives, net	$	3,911	$	(6,084	)	$	121	$	1,105		$	—	$	(947	)	$	(349	)
Notes and loan receivables and notes securitization	34,902		1,867			14,598		(3,586		)	—		47,781			1,867
Annuities and residuals	46,882		506			—		(20,449		)	—		26,939			481
Private equities	1,404		(3,811		)	24,285		—			—		21,878			(3,811		)
Other invested assets	$	87,099	$	(7,522	)	$	39,004	$	(22,930	)	$	—	$	95,651		$	(1,812	)
Funds held – directly managed
U.S. states, territories and municipalities	$	345	$	(47	)	$	—	$	—		$	—	$	298		$	(47	)
Other invested assets	17,976		(1,653		)	—		(757		)	—		15,566			(589		)
Funds held – directly managed	$	18,321	$	(1,700	)	$	—	$	(757	)	$	—	$	15,864		$	(636	)
Total	$	790,421	$	(11,964	)	$	344,357	$	(135,532	)	$	—	$	987,282		$	(12,850	)


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


(2)	Settlements and sales of asset-backed securities, derivatives and annuities and residuals include sales of $13.7 million, $1.4 million and $6.3 million, respectively

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 September 30, 2014 and 2013, were as follows (in thousands of U.S. dollars):



For the three months ended September 30, 2014	Balance at beginning of period			Realized and unrealized investment gains (losses) included in net income			Purchases and issuances		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	$	123,617		$	3,636		$	5,695	$	(2,205	)	$	—	$	130,743		$	3,747
Asset-backed securities	489,106			(4,439		)	11,085		(37,577		)	—		458,175			(4,403		)
Fixed maturities	$	612,723		$	(803	)	$	16,780	$	(39,782	)	$	—	$	588,918		$	(656	)
Equities
Finance	$	19,564		$	(428	)	$	—	$	—		$	—	$	19,136		$	(428	)
Communications	2,067			(101		)	—		—			—		1,966			(101		)
Technology	7,645			(327		)	—		—			—		7,318			(327		)
Other	7			—			—		—			—		7			—
Mutual funds and exchange traded funds	8,246			129			—		—			—		8,375			129
Equities	$	37,529		$	(727	)	$	—	$	—		$	—	$	36,802		$	(727	)
Other invested assets
Derivatives, net	$	(852	)	$	(1,255	)	$	57	$	560		$	—	$	(1,490	)	$	(1,255	)
Notes and loan receivables and notes securitization	38,603			(1,379		)	29,286		(21,114		)	—		45,396			(1,379		)
Annuities and residuals	17,134			(475		)	—		(1,779		)	—		14,880			(474		)
Private equities	54,928			(1,348		)	248		(809		)	—		53,019			(1,348		)
Other invested assets	$	109,813		$	(4,457	)	$	29,591	$	(23,142	)	$	—	$	111,805		$	(4,456	)
Funds held – directly managed
U.S. states, territories and municipalities	$	305		$	6		$	—	$	—		$	—	$	311		$	6
Other invested assets	15,800			(1,467		)	220		—			—		14,553			(1,467		)
Funds held – directly managed	$	16,105		$	(1,461	)	$	220	$	—		$	—	$	14,864		$	(1,461	)
Total	$	776,170		$	(7,448	)	$	46,591	$	(62,924	)	$	—	$	752,389		$	(7,300	)



For the three months ended September 30, 2013	Balance at beginning of period		Realized and unrealized investment gains (losses) included in net income			Purchases and issuances		Settlements and sales ⁽¹⁾			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	$	219,163	$	8,431		$	61,706	$	(165	)	$	—	$	289,135		$	8,431
Corporate	99,896		(269		)	—		—			—		99,627			(269		)
Asset-backed securities	426,288		4,800			86,442		(63,777		)	—		453,753			(3,043		)
Fixed maturities	$	745,347	$	12,962		$	148,148	$	(63,942	)	$	—	$	842,515		$	5,119
Equities
Finance	$	13,000	$	1,285		$	—	$	—		$	—	$	14,285		$	1,285
Communications	2,040		103			—		—			—		2,143			103
Technology	8,012		1,138			—		—			—		9,150			1,138
Mutual funds and exchange traded funds	7,549		125			—		—			—		7,674			125
Equities	$	30,601	$	2,651		$	—	$	—		$	—	$	33,252		$	2,651
Other invested assets
Derivatives, net	$	2,333	$	(1,885	)	$	—	$	(1,395	)	$	—	$	(947	)	$	(140	)
Notes and loan receivables and notes securitization	44,224		3,250			1,248		(941		)	—		47,781			3,250
Annuities and residuals	30,555		413			—		(4,029		)	—		26,939			166
Private equities	21,100		(299		)	1,077		—			—		21,878			(299		)
Other invested assets	$	98,212	$	1,479		$	2,325	$	(6,365	)	$	—	$	95,651		$	2,977
Funds held – directly managed
U.S. states, territories and municipalities	$	337	$	(39	)	$	—	$	—		$	—	$	298		$	(39	)
Other invested assets	15,207		1,045			—		(686		)	—		15,566			1,045
Funds held – directly managed	$	15,544	$	1,006		$	—	$	(686	)	$	—	$	15,864		$	1,006
Total	$	889,704	$	18,098		$	150,473	$	(70,993	)	$	—	$	987,282		$	11,753


(1)	Settlements and sales of asset-backed securities and derivatives include sales of $13.7 million and $1.4 million, respectively.

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 September 30, 2014 and December 31, 2013 were as follows (fair value in thousands of U.S. dollars):



September 30, 2014	Fair value			Valuation techniques	Unobservable inputs	Range (Weighted average)
Fixed maturities
U.S. states, territories and municipalities	$	130,743		Discounted cash flow	Credit spreads	2.4% – 10.0% (4.7%)
Asset-backed securities – other	458,175			Discounted cash flow	Credit spreads	4.0% – 12.0% (6.9%)
Equities
Finance	13,582			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	-1.4% (-1.4%)
Finance	5,554			Profitability analysis	Projected return on equity	14.0% (14.0%)
Communications	1,966			Weighted market comparables	Adjusted earnings multiple	9.4 (9.4)
				Weighted market comparables	Comparable return	-10.6% (-10.6%)
Technology	7,318			Weighted market comparables	Revenue multiple	1.4 (1.4)
				Weighted market comparables	Adjusted earnings multiple	8.3 (8.3)
Other invested assets
Total return swaps	(1,115		)	Discounted cash flow	Credit spreads	3.5% – 18.5% (14.3%)
Notes and loan receivables	9,589			Discounted cash flow	Credit spreads	6.7% (6.7%)
Notes and loan receivables	14,879			Discounted cash flow	Credit spreads	17.5% (17.5%)
Notes and loan receivables				Discounted cash flow	Gross revenue/fair value	1.3 – 1.6 (1.6)
Notes securitization	20,928			Discounted cash flow	Credit spreads	3.5% – 6.6% (6.3%)
Annuities and residuals	14,880			Discounted cash flow	Credit spreads	5.3% – 8.1% (7.0%)
					Prepayment speed	0% – 15.0% (4.8%)
					Constant default rate	0.3% – 23.0% (7.6%)
Private equity – direct	9,582			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	14,422			Lag reported market value	Net asset value, as reported	100.0% (100.0%)
				Lag reported market value	Market adjustments	-4.6% – 1.9% (-2.3%)
Private equity – other	29,015			Discounted cash flow	Effective yield	5.8% (5.8%)
Funds held – directly managed
Other invested assets	14,553			Lag reported market value	Net asset value, as reported	100.0% (100.0%)
				Lag reported market value	Market adjustments	-12.9% – 0% (-12.1%)



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 nine months ended September 30, 2014 and 2013 were as follows (in thousands of U.S. dollars):



	For the three months ended						For the nine months ended
	September 30, 2014			September 30, 2013			September 30, 2014			September 30, 2013
Fixed maturities and short-term investments	$	(75,537	)	$	10,259		$	167,696		$	(457,168	)
Equities	(31,093		)	(891		)	(14,447		)	(8,540		)
Other invested assets	(3,497		)	3,021			60			(4,047		)
Funds held – directly managed	(540		)	(907		)	937			(22,322		)
Total	$	(110,667	)	$	11,482		$	154,246		$	(492,077	)

Carrying values and fair values of financial instrument liabilities

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



	September 30, 2014				December 31, 2013
	Carrying Value		Fair Value		Carrying Value		Fair Value
Debt related to senior notes⁽¹⁾	$	750,000	$	868,702	$	750,000	$	844,331
Debt related to capital efficient notes⁽²⁾	63,384		63,231		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 September 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 September 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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