Fair Value (Tables)

12 Months Ended

Dec. 31, 2015

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

At December 31, 2015 and 2014, 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):



December 31, 2015	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	$	—		$	2,872,845		$	—		$	2,872,845
U.S. states, territories and municipalities	—			639,479			138,847			778,326
Non-U.S. sovereign government, supranational and government related	—			1,332,925			—			1,332,925
Corporate	—			5,086,199			—			5,086,199
Asset-backed securities	—			668,117			369,699			1,037,816
Residential mortgage-backed securities	—			2,290,640			—			2,290,640
Other mortgage-backed securities	—			49,511			—			49,511
Fixed maturities	$	—		$	12,939,716		$	508,546		$	13,448,262
Short-term investments	$	—		$	46,688		$	—		$	46,688
Equities
Insurance	$	72,226		$	7,799		$	—		$	80,025
Finance	29,422			5,497			22,760			57,679
Real estate investment trusts	46,379			—			—			46,379
Consumer noncyclical	43,375			—			—			43,375
Industrials	26,863			7,401			—			34,264
Technology	21,177			—			8,207			29,384
Consumer cyclical	25,871			—			—			25,871
Communications	20,939			—			1,985			22,924
Other	28,197			—			—			28,197
Mutual funds and exchange traded funds	71,159			—			4,604			75,763
Equities	$	385,608		$	20,697		$	37,556		$	443,861
Other invested assets
Derivative assets
Foreign exchange forward contracts	$	—		$	15,311		$	—		$	15,311
Futures contracts	5,675			—			—			5,675
Insurance-linked securities	—			—			9,428			9,428
Total return swaps	—			—			2,745			2,745
Other
Notes and loan receivables and notes securitization	—			—			125,922			125,922
Annuities and residuals	—			—			8,436			8,436
Private equities	—			—			71,298			71,298
Derivative liabilities
Foreign exchange forward contracts	—			(15,109		)	—			(15,109		)
Futures contracts	(140		)	—			—			(140		)
Insurance-linked securities	—			—			(3,944		)	(3,944		)
Total return swaps	—			—			(2,878		)	(2,878		)
Interest rate swaps	—			(24,383		)	—			(24,383		)
TBAs	—			(1,462		)	—			(1,462		)
Other invested assets	$	5,535		$	(25,643	)	$	211,007		$	190,899
Funds held – directly managed
U.S. government and government sponsored enterprises	$	—		$	169,951		$	—		$	169,951
Non-U.S. sovereign government, supranational and government related	—			119,487			—			119,487
Corporate	—			99,349			—			99,349
Short-term investments	—			966			—			966
Other invested assets	—			—			10,146			10,146
Funds held – directly managed	$	—		$	389,753		$	10,146		$	399,899
Total	$	391,143		$	13,371,211		$	767,255		$	14,529,609



December 31, 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	$	—		$	2,315,422		$	—		$	2,315,422
U.S. states, territories and municipalities	—			380,875			149,728			530,603
Non-U.S. sovereign government, supranational and government related	—			1,976,202			—			1,976,202
Corporate	—			5,604,160			—			5,604,160
Asset-backed securities	—			681,502			449,918			1,131,420
Residential mortgage-backed securities	—			2,306,476			—			2,306,476
Other mortgage-backed securities	—			54,462			—			54,462
Fixed maturities	$	—		$	13,319,099		$	599,646		$	13,918,745
Short-term investments	$	—		$	25,678		$	—		$	25,678
Equities
Real estate investment trusts	$	213,770		$	—		$	—		$	213,770
Insurance	140,916			4,521			—			145,437
Energy	123,978			—			—			123,978
Consumer noncyclical	100,134			—			—			100,134
Finance	70,621			7,354			20,353			98,328
Technology	52,707			—			8,555			61,262
Communications	51,829			—			2,640			54,469
Industrials	49,983			—			—			49,983
Consumer cyclical	39,002			—			—			39,002
Utilities	31,748			—			—			31,748
Other	11,571			—			—			11,571
Mutual funds and exchange traded funds	118,246			—			8,586			126,832
Equities	$	1,004,505		$	11,875		$	40,134		$	1,056,514
Other invested assets
Derivative assets
Foreign exchange forward contracts	$	—		$	20,033		$	—		$	20,033
Futures contracts	846			—			—			846
Insurance-linked securities	—			—			3			3
Total return swaps	—			—			485			485
TBAs	—			154			—			154
Other
Notes and loan receivables and notes securitization	—			—			44,817			44,817
Annuities and residuals	—			—			13,243			13,243
Private equities	—			—			59,872			59,872
Derivative liabilities
Foreign exchange forward contracts	—			(7,446		)	—			(7,446		)
Foreign currency option contracts	—			(1,196		)	—			(1,196		)
Futures contracts	(467		)	—			—			(467		)
Insurance-linked securities	—			—			(339		)	(339		)
Total return swaps	—			—			(2,007		)	(2,007		)
Interest rate swaps	—			(16,282		)	—			(16,282		)
TBAs	—			(240		)	—			(240		)
Other invested assets	$	379		$	(4,977	)	$	116,074		$	111,476
Funds held – directly managed
U.S. government and government sponsored enterprises	$	—		$	153,483		$	—		$	153,483
U.S. states, territories and municipalities	—			—			132			132
Non-U.S. sovereign government, supranational and government related	—			128,233			—			128,233
Corporate	—			177,347			—			177,347
Other invested assets	—			—			13,398			13,398
Funds held – directly managed	$	—		$	459,063		$	13,530		$	472,593
Total	$	1,004,884		$	13,810,738		$	769,384		$	15,585,006

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 years ended December 31, 2015 and 2014, were as follows (in thousands of U.S. dollars):



For the year ended December 31, 2015	Balance at beginning of year			Realized and unrealized investment gains (losses) included in net income			Purchases and issuances ⁽¹⁾			Settlements and sales ⁽²⁾			Net transfers into/(out of) Level 3		Balance at end of year		Change in unrealized investment gains (losses) relating to assets held at end of year
Fixed maturities
U.S. states, territories and municipalities	$	149,728		$	16,660		$	16,440		$	(43,981	)	$	—	$	138,847	$	16,650
Asset-backed securities	449,918			(11,208		)	171,249			(240,260		)	—		369,699		(10,368		)
Fixed maturities	$	599,646		$	5,452		$	187,689		$	(284,241	)	$	—	$	508,546	$	6,282
Equities
Finance	$	20,353		$	2,540		$	—		$	(133	)	$	—	$	22,760	$	2,540
Technology	8,555			(348		)	—			—			—		8,207		(348		)
Communications	2,640			(655		)	—			—			—		1,985		(655		)
Mutual funds and exchange traded funds	8,586			471			249,340			(253,793		)	—		4,604		(1,009		)
Equities	$	40,134		$	2,008		$	249,340		$	(253,926	)	$	—	$	37,556	$	528
Other invested assets
Derivatives, net	$	(1,858	)	$	804		$	(2,051	)	$	8,456		$	—	$	5,351	$	7,648
Notes and loan receivables and notes securitization	44,817			(2,223		)	88,675			(5,347		)	—		125,922		(2,223		)
Annuities and residuals	13,243			(866		)	—			(3,941		)	—		8,436		(472		)
Private equities	59,872			1,239			14,484			(4,297		)	—		71,298		1,119
Other invested assets	$	116,074		$	(1,046	)	$	101,108		$	(5,129	)	$	—	$	211,007	$	6,072
Funds held – directly managed
U.S. states, territories and municipalities	$	132		$	68		$	—		$	(200	)	$	—	$	—	$	—
Other invested assets	13,398			(3,252		)	—			—			—		10,146		(3,252		)
Funds held – directly managed	$	13,530		$	(3,184	)	$	—		$	(200	)	$	—	$	10,146	$	(3,252	)
Total	$	769,384		$	3,230		$	538,137		$	(543,496	)	$	—	$	767,255	$	9,630


(1)	Purchases and issuances of derivatives include issuances of $2.1 million.


(2)	Settlements and sales of mutual funds and exchange traded funds and private equities include sales of $4.4 million and $0.2 million, respectively.



For the year ended December 31, 2014	Balance at beginning of year			Realized and unrealized investment gains (losses) included in net income			Purchases and issuances ⁽¹⁾			Settlements and sales ⁽²⁾			Net transfers into/(out of) Level 3		Balance at end of year			Change in unrealized investment gains (losses) relating to assets held at end of year
Fixed maturities
U.S. states, territories and municipalities	$	108,380		$	12,322		$	31,470		$	(2,444	)	$	—	$	149,728		$	12,315
Asset-backed securities	446,577			8,169			192,940			(197,768		)	—		449,918			8,616
Fixed maturities	$	554,957		$	20,491		$	224,410		$	(200,212	)	$	—	$	599,646		$	20,931
Equities
Finance	$	20,207		$	146		$	—		$	—		$	—	$	20,353		$	146
Technology	7,752			803			—			—			—		8,555			803
Communications	2,199			441			—			—			—		2,640			441
Other	—			—			8			(8		)	—		—			—
Mutual funds and exchange traded funds	7,887			699			—			—			—		8,586			699
Equities	$	38,045		$	2,089		$	8		$	(8	)	$	—	$	40,134		$	2,089
Other invested assets
Derivatives, net	$	(788	)	$	(759	)	$	(871	)	$	560		$	—	$	(1,858	)	$	(759	)
Notes and loan receivables and notes securitization	41,446			(372		)	35,988			(32,245		)	—		44,817			1,147
Annuities and residuals	24,064			(207		)	—			(10,614		)	—		13,243			(167		)
Private equities	39,131			(3,149		)	28,410			(4,520		)	—		59,872			(3,180		)
Other invested assets	$	103,853		$	(4,487	)	$	63,527		$	(46,819	)	$	—	$	116,074		$	(2,959	)
Funds held – directly managed
U.S. states, territories and municipalities	$	286		$	1		$	—		$	(155	)	$	—	$	132		$	13
Other invested assets	15,165			(2,102		)	781			(446		)	—		13,398			(2,102		)
Funds held – directly managed	$	15,451		$	(2,101	)	$	781		$	(601	)	$	—	$	13,530		$	(2,089	)
Total	$	712,306		$	15,992		$	288,726		$	(247,640	)	$	—	$	769,384		$	17,972


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


(2)	There were no sales for the year ended December 31, 2014.

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 December 31, 2015 and 2014 were as follows (fair value in thousands of U.S. dollars):



December 31, 2015	Fair value			Valuation techniques	Unobservable inputs	Range (Weighted average)
Fixed maturities
U.S. states, territories and municipalities	$	138,847		Discounted cash flow	Credit spreads	1.2% – 10.3% (4.1%)
Asset-backed securities	369,699			Discounted cash flow	Credit spreads	4.1% – 11.4% (7.7%)
Equities
Finance	16,627			Weighted market comparables	Net income multiple	14.4 (14.4)
				Weighted market comparables	Tangible book value multiple	1.5 (1.5)
					Liquidity discount	25.0% (25.0%)
					Comparable return	7.9% (7.9%)
Finance	6,133			Profitability analysis	Projected return on equity	14.0% (14.0%)
Technology	8,207			Weighted market comparables	Revenue multiple	1.2 (1.2)
				Weighted market comparables	Adjusted earnings multiple	8.4 (8.4)
Communications	1,985			Weighted market comparables	Adjusted earnings multiple	9.4 (9.4)
				Weighted market comparables	Comparable return	0% (0%)
Other invested assets
Total return swaps, net	(133		)	Discounted cash flow	Credit spreads	3.0% – 29.3% (16.5%)
Insurance-linked securities – longevity swaps	9,428			Discounted cash flow	Credit spreads	2.4% (2.4%)
Notes and loan receivables	84,080			Discounted cash flow	Credit spreads	6.0% – 26.8% (7.4%)
Notes and loan receivables	10,415			Discounted cash flow	Credit spreads	17.5% (17.5%)
Notes and loan receivables				Discounted cash flow	Gross revenue/fair value	1.1 – 1.5 (1.5)
Notes securitization	31,427			Discounted cash flow	Credit spreads	2.4% – 7.1% (6.9%)
Annuities and residuals	8,436			Discounted cash flow	Credit spreads	5.1% – 15.4% (12.7%)
					Prepayment speed	0% – 15.0% (2.1%)
					Constant default rate	0.3% – 17.5% (4.4%)
Private equity – direct	8,792			Discounted cash flow and weighted market comparables	Net income multiple	9.2 (9.2)
					Tangible book value multiple	1.9 (1.9)
					Recoverability of intangible assets	0% (0%)
Private equity funds	29,222			Reported market value	Net asset value, as reported	100.0% (100.0%)
				Reported market value	Market adjustments	-4.9 – 5.2% (-0.5%)
Private equity – other	33,284			Discounted cash flow	Effective yield	5.8% (5.8%)
Funds held – directly managed
Other invested assets	10,146			Reported market value	Net asset value, as reported	100.0% (100.0%)
				Reported market value	Market adjustments	-16.0% – 0% (-15.0%)



December 31, 2014	Fair value			Valuation techniques	Unobservable inputs	Range (Weighted average)
Fixed maturities
U.S. states, territories and municipalities	$	149,728		Discounted cash flow	Credit spreads	2.2% – 10.1% (4.6%)
Asset-backed securities	449,918			Discounted cash flow	Credit spreads	4.0% – 12.1% (7.1%)
Equities
Finance	14,561			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	7.3% (7.3%)
Finance	5,792			Profitability analysis	Projected return on equity	14.0% (14.0%)
Technology	8,555			Weighted market comparables	Revenue multiple	1.6 (1.6)
				Weighted market comparables	Adjusted earnings multiple	10.2 (10.2)
Communications	2,640			Weighted market comparables	Adjusted earnings multiple	9.4 (9.4)
				Weighted market comparables	Comparable return	-10.6% (-10.6%)
Other invested assets
Total return swaps, net	(1,522		)	Discounted cash flow	Credit spreads	3.6% – 19.3% (16.3%)
Notes and loan receivables	8,068			Discounted cash flow	Credit spreads	12.6% (12.6%)
Notes and loan receivables	13,237			Discounted cash flow	Credit spreads	17.5% (17.5%)
Notes and loan receivables				Discounted cash flow	Gross revenue/fair value	1.5 – 1.7 (1.7)
Notes securitization	23,512			Discounted cash flow	Credit spreads	3.5% – 6.6% (6.4%)
Annuities and residuals	13,243			Discounted cash flow	Credit spreads	4.9% – 9.6% (7.8%)
					Prepayment speed	0% – 15.0% (4.3%)
					Constant default rate	0.3% – 17.5% (6.3%)
Private equity – direct	8,536			Discounted cash flow and weighted market comparables	Net income multiple	9.0 (9.0)
					Tangible book value multiple	2.0 (2.0)
					Recoverability of intangible assets	0% (0%)
Private equity funds	18,494			Reported market value	Net asset value, as reported	100.0% (100.0%)
				Reported market value	Market adjustments	-7.6% – 11.0% (-1.6%)
Private equity – other	32,842			Discounted cash flow	Effective yield	5.8% (5.8%)
Funds held – directly managed
Other invested assets	13,398			Reported market value	Net asset value, as reported	100.0% (100.0%)
				Reported market value	Market adjustments	-15.4% – 0% (-14.5%)

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 years ended December 31, 2015, 2014 and 2013 were as follows (in thousands of U.S. dollars):



	2015			2014			2013
Fixed maturities and short-term investments	$	(276,776	)	$	228,781		$	(525,787	)
Equities	(187,561		)	2,605			118,010
Other invested assets	(1,835		)	(2,664		)	(6,970		)
Funds held – directly managed	(6,323		)	1,382			(27,850		)
Total	$	(472,495	)	$	230,104		$	(442,597	)

Carrying values and fair values of financial instrument liabilities

The carrying values and fair values of the Senior Notes and CENts at December 31, 2015 and 2014 were as follows (in thousands of U.S. dollars):



	December 31, 2015				December 31, 2014
	Carrying Value		Fair Value		Carrying Value		Fair Value
Debt related to senior notes⁽¹⁾	$	750,000	$	829,755	$	750,000	$	853,792
Debt related to CENts⁽²⁾	63,384		63,265		63,384		62,309


(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 Consolidated Balance Sheets at December 31, 2015 and 2014.


(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 Consolidated Balance Sheets at December 31, 2015 and 2014.

- 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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