Fair Value (Tables)

3 Months Ended

Mar. 31, 2016

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

At March 31, 2016 and December 31, 2015, 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):



March 31, 2016	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	$	—		$	2,794,761		$	—		$	2,794,761
U.S. states, territories and municipalities	—			639,799			140,573			780,372
Non-U.S. sovereign government, supranational and government related	—			1,197,012			—			1,197,012
Corporate	—			4,977,795			—			4,977,795
Asset-backed securities	—			657,827			374,489			1,032,316
Residential mortgage-backed securities	—			2,189,843			—			2,189,843
Other mortgage-backed securities	—			47,915			—			47,915
Fixed maturities	$	—		$	12,504,952		$	515,062		$	13,020,014
Short-term investments	$	—		$	33,555		$	—		$	33,555
Equities
Finance	$	18,326		$	4,466		$	21,409		$	44,201
Consumer noncyclical	41,544			—			—			41,544
Insurance	27,382			2,651			—			30,033
Technology	21,366			—			6,984			28,350
Industrials	25,390			—			—			25,390
Consumer cyclical	25,191			—			—			25,191
Communications	21,109			—			2,037			23,146
Other	34,094			—			—			34,094
Mutual funds and exchange traded funds	70,142			—			2,336			72,478
Equities	$	284,544		$	7,117		$	32,766		$	324,427
Other invested assets
Derivative assets
Foreign exchange forward contracts	$	—		$	15,119		$	—		$	15,119
Foreign currency option contracts	—			1,977			—			1,977
Futures contracts	5,588			—			—			5,588
Insurance-linked securities	—			—			9,491			9,491
Total return swaps	—			—			2,953			2,953
TBAs	—			1,619			—			1,619
Other
Notes and loan receivables and notes securitization	—			1,000			175,970			176,970
Annuities and residuals	—			—			9,116			9,116
Private equities	—			—			71,899			71,899
Derivative liabilities
Foreign exchange forward contracts	—			(4,258		)	—			(4,258		)
Futures contracts	(1,441		)	—			—			(1,441		)
Insurance-linked securities	—			—			(5,830		)	(5,830		)
Total return swaps	—			—			(2,999		)	(2,999		)
Interest rate swaps	—			(25,280		)	—			(25,280		)
Other invested assets	$	4,147		$	(9,823	)	$	260,600		$	254,924
Funds held – directly managed
U.S. government and government sponsored enterprises	$	—		$	199,258		$	—		$	199,258
Non-U.S. sovereign government, supranational and government related	—			126,363			—			126,363
Corporate	—			90,624			—			90,624
Other invested assets	—			—			10,292			10,292
Funds held – directly managed	$	—		$	416,245		$	10,292		$	426,537
Total	$	288,691		$	12,952,046		$	818,720		$	14,059,457



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

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 three months ended March 31, 2016 and 2015 were as follows (in thousands of U.S. dollars):



For the three months ended March 31, 2016	Balance at beginning of period		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 period		Change in unrealized investment gains (losses) relating to assets held at end of period
Fixed maturities
U.S. states, territories and municipalities	$	138,847	$	1,876		$	—	$	(150	)	$	—	$	140,573	$	1,876
Asset-backed securities	369,699		7,110			21,835		(24,155		)	—		374,489		7,163
Fixed maturities	$	508,546	$	8,986		$	21,835	$	(24,305	)	$	—	$	515,062	$	9,039
Equities
Finance	$	22,760	$	(1,351	)	$	—	$	—		$	—	$	21,409	$	(1,351	)
Technology	8,207		(1,223		)	—		—			—		6,984		(1,223		)
Communications	1,985		52			—		—			—		2,037		52
Mutual funds and exchange traded funds	4,604		(48		)	—		(2,220		)	—		2,336		(781		)
Equities	$	37,556	$	(2,570	)	$	—	$	(2,220	)	$	—	$	32,766	$	(3,303	)
Other invested assets
Derivatives, net	$	5,351	$	(810	)	$	414	$	(1,340	)	$	—	$	3,615	$	(1,310	)
Notes and loan receivables and notes securitization	125,922		2,535			50,377		(2,864		)	—		175,970		2,535
Annuities and residuals	8,436		1,266			—		(586		)	—		9,116		1,266
Private equities	71,298		(481		)	1,940		(858		)	—		71,899		(481		)
Other invested assets	$	211,007	$	2,510		$	52,731	$	(5,648	)	$	—	$	260,600	$	2,010
Funds held – directly managed
Other invested assets	10,146		146			—		—			—		10,292		146
Funds held – directly managed	$	10,146	$	146		$	—	$	—		$	—	$	10,292	$	146
Total	$	767,255	$	9,072		$	74,566	$	(32,173	)	$	—	$	818,720	$	7,892


(1)	Purchases and issuances of derivatives include issuances of $0.4 million.


(2)	Settlements and sales of mutual funds and exchange traded funds include sales of $2.2 million during the three months ended March 31, 2016.



For the three months ended March 31, 2015	Balance at beginning of period			Realized and unrealized investment (losses) gains included in net income			Purchases and issuances ⁽¹⁾		Settlements and sales⁽¹⁾			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	$	149,728		$	(1,861	)	$	—	$	(184	)	$	—	$	147,683		$	(1,863	)
Asset-backed securities	449,918			1,261			43,422		(43,018		)	—		451,583			1,293
Fixed maturities	$	599,646		$	(600	)	$	43,422	$	(43,202	)	$	—	$	599,266		$	(570	)
Equities
Finance	$	20,353		$	179		$	—	$	—		$	—	$	20,532		$	179
Technology	8,555			47			—		—			—		8,602			47
Communications	2,640			83			—		—			—		2,723			83
Mutual funds and exchange traded funds	8,586			51			249,340		—			—		257,977			51
Equities	$	40,134		$	360		$	249,340	$	—		$	—	$	289,834		$	360
Other invested assets
Derivatives, net	$	(1,858	)	$	481		$	—	$	—		$	—	$	(1,377	)	$	481
Notes and loan receivables and notes securitization	44,817			1,104			6,411		(1,229		)	—		51,103			2,623
Annuities and residuals	13,243			231			—		(1,319		)	—		12,155			231
Private equities	59,872			497			5,184		(911		)	—		64,642			497
Other invested assets	$	116,074		$	2,313		$	11,595	$	(3,459	)	$	—	$	126,523		$	3,832
Funds held – directly managed
U.S. states, territories and municipalities	$	132		$	—		$	—	$	—		$	—	$	132		$	—
Other invested assets	13,398			(1,390		)	—		—			—		12,008			(1,390		)
Funds held – directly managed	$	13,530		$	(1,390	)	$	—	$	—		$	—	$	12,140		$	(1,390	)
Total	$	769,384		$	683		$	304,357	$	(46,661	)	$	—	$	1,027,763		$	2,232


(1)	There were no issuances or sales during the three months ended March 31, 2015.

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 March 31, 2016 and December 31, 2015 were as follows (fair value in thousands of U.S. dollars):



March 31, 2016	Fair value			Valuation techniques	Unobservable inputs	Range (Weighted average)
Fixed maturities
U.S. states, territories and municipalities	$	140,573		Discounted cash flow	Credit spreads	1.8% -10.5% (6.0%)
Asset-backed securities	374,489			Discounted cash flow	Credit spreads	4.1% – 11.1% (7.8%)
Equities
Finance	15,172			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	-8.5% (-8.5%)
Finance	6,237			Profitability analysis	Projected return on equity	11.0% (11.0%)
Technology	6,984			Weighted market comparables	Revenue multiple	1.1 (1.1)
				Weighted market comparables	Adjusted earnings multiple	6.7 (6.7)
Communications	2,037			Weighted market comparables	Adjusted earnings multiple	9.4 (9.4)
				Weighted market comparables	Comparable return	2.6% (2.6%)
Other invested assets
Total return swaps, net	(46		)	Discounted cash flow	Credit spreads	3.2% – 29.8% (16.7%)
Insurance-linked securities – longevity swaps	9,491			Discounted cash flow	Credit spreads	2.9% (2.9%)
Notes and loan receivables	134,108			Discounted cash flow	Credit spreads	4.4% - 29.1% (5.5%)
Notes and loan receivables	10,426			Discounted cash flow	Credit spreads	17.5% (17.5%)
Notes and loan receivables				Discounted cash flow	Gross revenue/fair value	1.0 – 1.5 (1.5)
Notes securitization	31,436			Discounted cash flow	Credit spreads	3.0% – 7.2% (6.9%)
Annuities and residuals	9,116			Discounted cash flow	Credit spreads	5.4% – 11.2% (10.1%)
					Prepayment speed	0% – 15.0% (1.4%)
					Constant default rate	0.3% – 17.5% (3.4%)
Private equity – direct	7,978			Discounted cash flow and weighted market comparables	Net income multiple	8.4 (8.4)
					Tangible book value multiple	1.9 (1.9)
					Recoverability of intangible assets	0% (0%)
Private equity funds	31,495			Reported market value	Net asset value, as reported	100.0% (100.0%)
				Reported market value	Market adjustments	-5.6% – 6.4% (0.3%)
Private equity – other	32,426			Discounted cash flow	Effective yield	5.8% (5.8%)
Funds held – directly managed
Other invested assets	10,292			Reported market value	Net asset value, as reported	100.0% (100.0%)
				Reported market value	Market adjustments	-18.5% – 0% (-17.0%)



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%)
				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%)

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 ended March 31, 2016 and 2015 were as follows (in thousands of U.S. dollars):



	For the three months ended
	March 31, 2016			March 31, 2015
Fixed maturities and short-term investments	$	211,916		$	76,971
Equities	(27,483		)	(7,016		)
Other invested assets	2,225			1,833
Funds held – directly managed	4,951			2,540
Total	$	191,609		$	74,328

Carrying values and fair values of financial instrument liabilities

The carrying values and fair values of the Senior Notes and CENts at March 31, 2016 and December 31, 2015 were as follows (in thousands of U.S. dollars):



	March 31, 2016				December 31, 2015
	Carrying Value		Fair Value		Carrying Value		Fair Value
Debt related to Senior Notes ⁽¹⁾	$	750,000	$	842,521	$	750,000	$	829,755
Debt related to CENts ⁽²⁾	63,384		64,394		63,384		63,265


(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 March 31, 2016 and December 31, 2015.


(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 March 31, 2016 and December 31, 2015.

- 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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