References to “we,” “us,” “our,” “our company,” or “the Company” refer to Greenlight Capital Re, Ltd. (“GLRE”) and its wholly-owned subsidiaries, Greenlight Reinsurance, Ltd, (“Greenlight Re”), Greenlight Reinsurance Ireland, Ltd. (“GRIL”) and Verdant Holding Company, Ltd. (“Verdant”), unless the context dictates otherwise. References to our “Ordinary Shares” refers collectively to our Class A Ordinary Shares and Class B Ordinary Shares.
Effective from January 1, 2016, we have broken out general and administrative expenses into “Underwriting expenses” and “Corporate expenses”. Underwriting expenses include those expenses directly related to underwriting activities which are not eligible to be capitalized, as well as an allocation of other general and administrative expenses. Corporate expenses include those costs associated with operating as a publicly listed entity as well as an allocation of other general and administrative expenses. As a result of this change in expense allocations, the prior period comparative balances for underwriting expenses and corporate expenses in the above table have been reclassified to conform to the current period presentation.
Our investment portfolio, including any derivatives, is valued at fair value and any unrealized gains or losses are reflected in net investment income (loss) in the consolidated statements of income. As of December 31, 2016, 88.3% (2015: 90.9%) of our investment portfolio (excluding restricted and unrestricted cash and cash equivalents) was comprised of investments valued based on quoted prices in actively traded markets (Level 1), 10.7% (2015: 8.0%) was comprised of securities valued based on observable inputs other than quoted prices (Level 2) and 0.7% (2015: 0.5%) was comprised of securities valued based on non-observable inputs (Level 3). As of December 31, 2016, 0.3% (2015: 0.6%) of our investment portfolio was comprised of private equity funds valued using the funds’ net asset values as a practical expedient. (Refer to Note 3 “Financial Instruments” in the consolidated financial statements for details of transfers into and out of Level 3 during the year ended December 31, 2016).
agreement. For further details on notes receivable, refer to Note 2 “Significant Accounting Policies” in the consolidated financial statements.
During the year ended December 31, 2016, the severity loss reserves increased by $4.9 million, or 13.3%. The severity IBNR decreased primarily due to the final settlement of sub-prime crisis losses of $4.5 million paid on an excess of loss contract. The severity case reserves increased by $9.0 million partially due to the 2016 Canadian wildfires and Hurricane Matthew losses and partially due to the movement of reserves from IBNR to case reserves based on reporting received from the cedents. The increase was partially offset by the reduction of previously recorded case reserves due to the final loss payment made on the 2010 Christchurch earthquake.
As of January 1, 2017, our estimated net PML exposure (net of retrocession and reinstatement premiums) at a 1-in-250 year return period for a single event and in aggregate was $97.1 million and $112.4 million, respectively. The following table provides the PML for single event loss exposure and aggregate loss exposure to natural peril losses for each of the peak zones as of January 1, 2017: