XML 96 R27.htm IDEA: XBRL DOCUMENT

Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2014

Quantitative Information Regarding The Significant Unobservable Inputs For Certain Assets And Liabilities Measured At Fair Value On A Recurring Basis

		Fair Value
		as of				Range
		March 31,				(Weighted
In millions		2014		Valuation Techniques	Unobservable Input	Average)
Assets of consolidated VIEs:
	Loans receivable at fair value	$	1,557	Market prices adjusted for financial	Impact of financial guarantee	0% - 14% (3%)
				guarantees provided to VIE obligations
	Loan repurchase commitments		364	Discounted cash flow	Recovery rates⁽¹⁾
					Breach rates⁽¹⁾

Liabilities of consolidated VIEs:
	Variable interest entity notes		812	Market prices of VIE assets	Impact of financial guarantee	0% - 31% (14%)
				adjusted for financial guarantees provided

Credit derivative liabilities, net:
	CMBS		282	BET Model	Recovery rates	25% - 90% (74%)
					Nonperformance risk	5% - 23% (20%)
					Weighted average life (in years)	0.9 - 3.3 (2.9)
					CMBS spreads	0% - 32% (10%)
	Multi-sector CDO		12	Direct Price Model	Nonperformance risk	55% - 55% (55%)
	Other		15	BET Model and Dual Default	Recovery rates	42% - 45% (45%)
					Nonperformance risk	10% - 51% (37%)
					Weighted average life (in years)	0.2 - 8.5 (2.2)
Other derivative liabilities			31	Discounted cash flow	Cash flows	$0 - $83 ($42)⁽²⁾

____________
(1) - Recovery rates and breach rates include estimates about potential variations in the outcome of litigation with a counterparty.
(2) - Midpoint of cash flows are used for the weighted average.

		Fair Value
		as of				Range
		December 31,				(Weighted
In millions		2013		Valuation Techniques	Unobservable Input	Average)
Assets of consolidated VIEs:
	Loans receivable at fair value	$	1,612	Market prices adjusted for financial	Impact of financial guarantee	0% - 17% (3%)
				guarantees provided to VIE obligations
	Loan repurchase commitments		359	Discounted cash flow	Recovery rates⁽¹⁾
					Breach rates⁽¹⁾

Liabilities of consolidated VIEs:
	Variable interest entity notes		940	Market prices of VIE assets	Impact of financial guarantee	0% - 25% (12%)
				adjusted for financial guarantees provided

Credit derivative liabilities, net:
	CMBS		1,050	BET Model	Recovery rates	25% - 90% (60%)
					Nonperformance risk	8% - 57% (25%)
					Weighted average life (in years)	1.1 - 28.0 (3.3)
					CMBS spreads	1% - 29% (13%)
	Multi-sector CDO		12	Direct Price Model	Nonperformance risk	57% - 57% (57%)
	Other		85	BET Model and Dual Default	Recovery rates	42% - 90% (45%)
					Nonperformance risk	13% - 54% (25%)
					Weighted average life (in years)	0.2 - 8.7 (2.3)
	____________
	(1) - Recovery rates and breach rates include estimates about potential variations in the outcome of litigation with a counterparty.

Company's Assets And Liabilities Measured At Fair Value On Recurring Basis

				Fair Value Measurements at Reporting Date Using
				Quoted Prices in		Significant
				Active Markets		Other		Significant			Counterparty
				for Identical		Observable		Unobservable			and Cash		Balance as of
				Assets		Inputs		Inputs			Collateral		March 31,
In millions				(Level 1)		(Level 2)		(Level 3)			Netting		2014
Assets:
Fixed-maturity investments:
	U.S. Treasury and government agency			$	462	$	109	$	0		$	0	$	571
	State and municipal bonds				0		1,821		62	⁽¹⁾		0		1,883
	Foreign governments				187		78		7	⁽¹⁾		0		272
	Corporate obligations				0		1,972		30	⁽¹⁾		0		2,002
	Mortgage-backed securities:
		Residential mortgage-backed agency			0		1,125		29	⁽¹⁾		0		1,154
		Residential mortgage-backed non-agency			0		85		0			0		85
		Commercial mortgage-backed			0		27		14	⁽¹⁾		0		41
	Asset-backed securities:
		Collateralized debt obligations			0		39		115	⁽¹⁾		0		154
		Other asset-backed			0		140		85	⁽¹⁾		0		225
			Total fixed-maturity investments		649		5,396		342			0		6,387
Money market securities					579		0		0			0		579
Perpetual debt and equity securities					29		11		15	⁽¹⁾		0		55
Cash and cash equivalents					679		0		0			0		679
Derivative assets:
	Non-insured derivative assets:
		Interest rate derivatives			0		58		0			(54)		4
			Total derivative assets		0		58		0			(54)		4

				Fair Value Measurements at Reporting Date Using
				Quoted Prices in		Significant
				Active Markets		Other		Significant			Counterparty
				for Identical		Observable		Unobservable			and Cash		Balance as of
				Assets		Inputs		Inputs			Collateral		March 31,
In millions				(Level 1)		(Level 2)		(Level 3)			Netting		2014
Assets of consolidated VIEs:
	Corporate obligations				0		24		64	⁽¹⁾		0		88
	Mortgage-backed securities:
		Residential mortgage-backed non-agency			0		208		5	⁽¹⁾		0		213
		Commercial mortgage-backed			0		94		3	⁽¹⁾		0		97
	Asset-backed securities:
		Collateralized debt obligations			0		14		14	⁽¹⁾		0		28
		Other asset-backed			0		36		42	⁽¹⁾		0		78
	Money market securities				35		0		0			0		35
	Cash				54		0		0			0		54
	Loans receivable				0		0		1,557			0		1,557
	Loan repurchase commitments				0		0		364			0		364
Total assets				$	2,025	$	5,841	$	2,406		$	(54)	$	10,218
Liabilities:
Medium-term notes				$	0	$	0	$	215	⁽¹⁾	$	0	$	215
Derivative liabilities:
	Insured derivatives:
		Credit derivatives			0		4		309			0		313
	Non-insured derivatives:
		Interest rate derivatives			0		190		0			(153)		37
		Other			0		0		31			0		31
Other liabilities:
	Warrants				0		76		0			0		76
Liabilities of consolidated VIEs:
	Variable interest entity notes				0		1,382		812			0		2,194
	Derivative liabilities:
		Currency derivatives			0		0		5	⁽¹⁾		0		5
Total liabilities				$	0	$	1,652	$	1,372		$	(153)	$	2,871
____________
(1) - Unobservable inputs are either not developed by the Company or do not significantly impact the overall fair values of the aggregate financial assets and liabilities.

				Fair Value Measurements at Reporting Date Using
				Quoted Prices in		Significant
				Active Markets		Other		Significant			Counterparty
				for Identical		Observable		Unobservable			and Cash		Balance as of
				Assets		Inputs		Inputs			Collateral		December 31,
In millions				(Level 1)		(Level 2)		(Level 3)			Netting		2013
Assets:
Fixed-maturity investments:
	U.S. Treasury and government agency			$	397	$	156	$	0		$	0	$	553
	State and municipal bonds				0		1,765		19	⁽¹⁾		0		1,784
	Foreign governments				112		65		12	⁽¹⁾		0		189
	Corporate obligations				0		1,776		48	⁽¹⁾		0		1,824
	Mortgage-backed securities:
		Residential mortgage-backed agency			0		1,173		0			0		1,173
		Residential mortgage-backed non-agency			0		86		6	⁽¹⁾		0		92
		Commercial mortgage-backed			0		25		14	⁽¹⁾		0		39
	Asset-backed securities:
		Collateralized debt obligations			0		72		82	⁽¹⁾		0		154
		Other asset-backed			0		130		58	⁽¹⁾		0		188
			Total fixed-maturity investments		509		5,248		239			0		5,996
Money market securities					783		0		0			0		783
Perpetual debt and equity securities					27		13		11	⁽¹⁾		0		51
Cash and cash equivalents					1,161		0		0			0		1,161
Derivative assets:
	Non-insured derivative assets:
		Interest rate derivatives			0		46		0			(42)		4
			Total derivative assets		0		46		0			(42)		4

				Fair Value Measurements at Reporting Date Using
				Quoted Prices in		Significant
				Active Markets		Other		Significant			Counterparty
				for Identical		Observable		Unobservable			and Cash		Balance as of
				Assets		Inputs		Inputs			Collateral		December 31,
In millions				(Level 1)		(Level 2)		(Level 3)			Netting		2013
Assets of consolidated VIEs:
	Corporate obligations				0		41		48	⁽¹⁾		0		89
	Mortgage-backed securities:
		Residential mortgage-backed non-agency			0		255		4	⁽¹⁾		0		259
		Commercial mortgage-backed			0		102		3	⁽¹⁾		0		105
	Asset-backed securities:
		Collateralized debt obligations			0		14		22	⁽¹⁾		0		36
		Other asset-backed			0		44		54	⁽¹⁾		0		98
	Money market securities				136		0		0			0		136
	Cash				97		0		0			0		97
	Loans receivable				0		0		1,612			0		1,612
	Loan repurchase commitments				0		0		359			0		359
Total assets				$	2,713	$	5,763	$	2,352		$	(42)	$	10,786
Liabilities:
Medium-term notes				$	0	$	0	$	203	⁽¹⁾	$	0	$	203
Derivative liabilities:
	Insured derivatives:
		Credit derivatives			0		5		1,147			0		1,152
	Non-insured derivatives:
		Interest rate derivatives			0		165		0			(165)		0
Other liabilities:
	Warrants				0		59		0			0		59
Liabilities of consolidated VIEs:
	Variable interest entity notes				0		1,416		940			0		2,356
	Derivative liabilities:
		Currency derivatives			0		0		11	⁽¹⁾		0		11
Total liabilities				$	0	$	1,645	$	2,301		$	(165)	$	3,781
____________
(1) - Unobservable inputs are either not developed by the Company or do not significantly impact the overall fair values of the aggregate financial assets and liabilities.

Fair Value Hierarchy Table Presents The Company's Assets And Liabilities Not Recorded At Fair Value On The Company's Consolidated Balance Sheet

		Fair Value Measurements at Reporting Date Using
		Quoted Prices in		Significant		Significant		Fair Value		Carry Value
		Active Markets for		Other Observable		Unobservable		Balance as of		Balance as of
		Identical Assets		Inputs		Inputs		March 31,		March 31,
In millions		(Level 1)		(Level 2)		(Level 3)		2014		2014
Assets:
	Other investments	$	0	$	0	$	4	$	4	$	4
	Accrued investment income⁽¹⁾		0		49		0		49		49
	Receivable for investments sold⁽¹⁾		0		30		0		30		30
Assets of consolidated VIEs:
	Investments held-to-maturity		0		0		2,695		2,695		2,793
Total assets		$	0	$	79	$	2,699	$	2,778	$	2,876
Liabilities:
	Investment agreements	$	0	$	0	$	821	$	821	$	689
	Medium-term notes		0		0		952		952		1,203
	Long-term debt		0		1,530		0		1,530		1,731
	Payable for investments purchased⁽²⁾		0		62		0		62		62
Liabilities of consolidated VIEs:
	Variable interest entity notes		0		0		2,719		2,719		2,818
Total liabilities		$	0	$	1,592	$	4,492	$	6,084	$	6,503
Financial Guarantees:
	Gross	$	0	$	0	$	3,739	$	3,739	$	2,268
	Ceded		0		0		95		95		74
__________
(1) - Reported within "Other assets" on MBIA's consolidated balance sheets.
(2) - Reported within "Other liabilities" on MBIA's consolidated balance sheets.

		Fair Value Measurements at Reporting Date Using
		Quoted Prices in		Significant		Significant		Fair Value		Carry Value
		Active Markets for		Other Observable		Unobservable		Balance as of		Balance as of
		Identical Assets		Inputs		Inputs		December 31,		December 31,
In millions		(Level 1)		(Level 2)		(Level 3)		2013		2013
Assets:
	Other investments	$	0	$	0	$	4	$	4	$	5
	Accrued investment income⁽¹⁾		0		52		0		52		52
	Receivable for investments sold⁽¹⁾		0		22		0		22		22
	Net cash collateral pledged⁽¹⁾		24		0		0		24		24
Assets of consolidated VIEs:
	Investments held-to-maturity		0		0		2,651		2,651		2,801
Total assets		$	24	$	74	$	2,655	$	2,753	$	2,904
Liabilities:
	Investment agreements	$	0	$	0	$	814	$	814	$	700
	Medium-term notes		0		0		927		927		1,224
	Long-term debt		0		1,412		0		1,412		1,702
	Payable for investments purchased⁽²⁾		0		31		0		31		31
Liabilities of consolidated VIEs:
	Variable interest entity notes		0		0		2,751		2,751		2,930
Total liabilities		$	0	$	1,443	$	4,492	$	5,935	$	6,587
Financial Guarantees:
	Gross	$	0	$	0	$	2,843	$	2,843	$	2,388
	Ceded		0		0		71		71		76
__________
(1) - Reported within "Other assets" on MBIA's consolidated balance sheets.
(2) - Reported within "Other liabilities" on MBIA's consolidated balance sheets.

Changes In Level 3 Assets Measured At Fair Value On A Recurring Basis

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended March 31, 2014
																									Change in
																									Unrealized
																									Gains
																									(Losses) for
																									the Period
																									Included in
					Unrealized																				Earnings
					Gains /		Unrealized		Foreign																for Assets
					(Losses)		Gains /		Exchange																still held
	Balance,		Realized		Included		(Losses)		Recognized										Transfers		Transfers				as of
	Beginning		Gains /		in		Included		in OCI or										into		out of		Ending		March 31,
In millions	of Period		(Losses)		Earnings		in OCI		Earnings		Purchases		Issuances		Settlements		Sales		Level 3⁽¹⁾		Level 3⁽¹⁾		Balance		2014
Assets:
Foreign governments	$	12	$	0	$	0	$	0	$	0	$	0	$	0	$	(5)	$	0	$	0	$	0	$	7	$	0
Corporate obligations		48		(1)		1		(1)		0		0		0		(1)		(19)		3		0		30		0
Residential mortgage-
backed agency		0		0		0		0		0		0		0		0		0		29		0		29		0
Residential mortgage-
backed non-agency		6		0		0		(1)		0		0		0		0		0		0		(5)		0		0
Commercial
mortgage-backed		14		0		0		0		0		0		0		(1)		0		1		0		14		0
Collateralized debt
obligations		82		0		0		3		0		5		0		(2)		0		33		(6)		115		0
Other asset-backed		58		0		0		5		0		0		0		(2)		0		24		0		85		0
State and municipal
bonds		19		0		0		0		0		0		0		(1)		0		44		0		62		0
Perpetual debt and equity securities		11		0		0		0		0		0		0		0		0		4		0		15		0
Assets of
consolidated VIEs:
Corporate obligations		48		0		0		0		0		0		0		(1)		0		17		0		64		1
Residential mortgage-
backed non-agency		4		0		0		0		0		0		0		0		0		1		0		5		0
Commercial
mortgage-backed		3		0		0		0		0		0		0		0		0		0		0		3		0
Collateralized debt
obligations		22		0		(3)		0		0		0		0		(2)		0		0		(3)		14		(1)
Other asset-backed		54		0		(12)		0		0		0		0		(4)		0		4		0		42		0
Loans receivable		1,612		0		(1)		0		0		0		0		(54)		0		0		0		1,557		(1)
Loan repurchase
commitments		359		0		5		0		0		0		0		0		0		0		0		364		5
Total assets	$	2,352	$	(1)	$	(10)	$	6	$	0	$	5	$	0	$	(73)	$	(19)	$	160	$	(14)	$	2,406	$	4

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended March 31, 2013
																									Change in
																									Unrealized
																									Gains
																									(Losses) for
																									the Period
																									Included in
					Unrealized																				Earnings for
					Gains /		Unrealized		Foreign																Assets
					(Losses)		Gains /		Exchange																still held
	Balance,		Realized		Included		(Losses)		Recognized										Transfers		Transfers				as of
	Beginning		Gains /		in		Included		in OCI or										into		out of		Ending		March 31,
In millions	of Period		(Losses)		Earnings		in OCI		Earnings		Purchases		Issuances		Settlements		Sales		Level 3⁽¹⁾		Level 3⁽¹⁾		Balance		2013
Assets:
Foreign governments	$	3	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	8	$	(3)	$	8	$	0
Corporate obligations		76		2		4		1		(2)		0		0		(1)		(23)		0		0		57		4
Residential mortgage-
Residential mortgage-
backed non-agency		4		0		0		0		0		0		0		(3)		0		0		0		1		0
Commercial
mortgage-backed		28		0		0		4		0		0		0		0		(19)		1		(1)		13		0
Collateralized debt
obligations		31		(1)		0		3		0		0		0		(4)		0		9		(1)		37		0
Other asset-backed		26		0		0		1		0		0		0		(2)		0		42		0		67		0
State and municipal
bonds		103		2		0		0		0		0		0		(1)		(13)		0		(68)		23		0
Perpetual debt and equity securities		14		0		0		0		(1)		0		0		0		0		0		(3)		10		0
Assets of
consolidated VIEs:
Corporate obligations		78		0		(2)		0		0		0		0		0		0		3		0		79		0
Residential mortgage-
backed non-agency		6		0		6		0		0		0		0		(6)		0		1		(1)		6		1
Commercial
mortgage-backed		7		0		1		0		0		0		0		0		0		20		0		28		1
Collateralized debt
obligations		125		0		(8)		0		0		0		0		0		0		1		(1)		117		(4)
Other asset-backed		64		0		(14)		0		0		0		0		(3)		0		0		0		47		(9)
Loans receivable		1,881		0		8		0		0		0		0		(70)		0		0		0		1,819		8
Loan repurchase
commitments		1,086		0		90		0		0		0		0		0		0		0		0		1,176		90
Total assets	$	3,532	$	3	$	85	$	9	$	(3)	$	0	$	0	$	(90)	$	(55)	$	85	$	(78)	$	3,488	$	91

Changes In Level 3 Liabilities Measured At Fair Value On A Recurring Basis

																									Change in
																									Unrealized
																									(Gains)
																									Losses for
																									the Period
																									Included in
					Unrealized																				Earnings for
					(Gains) /		Unrealized		Foreign																Liabilities
					Losses		(Gains) /		Exchange																still held
	Balance,		Realized		Included		Losses		Recognized										Transfers		Transfers				as of
	Beginning		(Gains) /		in		Included		in OCI or										into		out of		Ending		March 31,
In millions	of Period		Losses		Earnings		in OCI		Earnings		Purchases		Issuances		Settlements		Sales		Level 3⁽¹⁾		Level 3⁽¹⁾		Balance		2014
Liabilities:
Medium-term notes	$	203	$	0	$	12	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	215	$	12
Credit derivatives, net		1,147		339		(838)		0		0		0		0		(339)		0		0		0		309		(30)
Interest rate
Currency
Other
derivatives		0		30		1		0		0		0		0		0		0		0		0		31		1
Liabilities of
consolidated VIEs:
VIE notes		940		0		18		0		0		0		0		(105)		(41)		0		0		812		16
Currency
derivatives, net		11		0		(6)		0		0		0		0		0		0		0		0		5		(6)
Total liabilities	$	2,301	$	369	$	(813)	$	0	$	0	$	0	$	0	$	(444)	$	(41)	$	0	$	0	$	1,372	$	(7)
_______________
(1) - Transferred in and out at the end of the period.

																									Change in
																									Unrealized
																									(Gains)
																									Losses for
																									the Period
																									Included in
					Unrealized																				Earnings for
					(Gains) /		Unrealized		Foreign																Liabilities
					Losses		(Gains) /		Exchange																still held
	Balance,		Realized		Included		Losses		Recognized										Transfers		Transfers				as of
	Beginning		(Gains) /		in		Included		in OCI or										into		out of		Ending		March 31,
In millions	of Period		Losses		Earnings		in OCI		Earnings		Purchases		Issuances		Settlements		Sales		Level 3⁽¹⁾		Level 3⁽¹⁾		Balance		2013
Liabilities:
Medium-term notes	$	165	$	0	$	21	$	0	$	(5)	$	0	$	0	$	0	$	0	$	0	$	0	$	181	$	16
Credit derivatives, net		2,921		1		73		0		0		0		0		(1)		0		0		0		2,994		131
Interest rate
derivatives, net		(1)		0		1		0		(1)		0		0		0		0		0		0		(1)		0
Currency
derivatives, net		1		0		1		0		(1)		0		0		0		0		0		0		1		0
Liabilities of
consolidated VIEs:
VIE notes		1,932		0		122		0		0		0		0		(153)		0		0		0		1,901		122
Currency derivatives,
net		21		0		(1)		0		3		0		0		0		0		0		0		23		2
Total liabilities	$	5,039	$	1	$	217	$	0	$	(4)	$	0	$	0	$	(154)	$	0	$	0	$	0	$	5,099	$	271
_______________
(1) - Transferred in and out at the end of the period.

Gains And Losses (Realized And Unrealized) Included In Earnings Pertaining To Level 3 Assets And Liabilities


		Three Months Ended March 31, 2014				Three Months Ended March 31, 2013
				Change in				Change in
				Unrealized				Unrealized
				Gains (Losses)				Gains (Losses)
				for the				for the
				Period Included				Period Included
				in Earnings				in Earnings
				for Assets				for Assets
				and				and
		Total Gains		Liabilities still		Total Gains		Liabilities still
		(Losses)		held as of		(Losses)		held as of
		Included		March 31,		Included		March 31,
In millions		in Earnings		2014		in Earnings		2013
Revenues:
	Unrealized gains (losses) on
	insured derivatives	$	838	$	30	$	(73)	$	(131)
	Realized gains (losses) and other
	settlements on insured derivatives		(369)		0		(1)		0
	Net gains (losses) on financial instruments
	at fair value and foreign exchange		(13)		(13)		(16)		(12)
	Net investment losses related to
	Revenues of consolidated VIEs:
	Net gains (losses) on financial instruments
	at fair value and foreign exchange		(23)		(6)		(40)		(37)
Total		$	433	$	11	$	(130)	$	(180)

Changes In Fair Value Included In The Company's Consolidated Statements Of Operations


		Three Months Ended March 31,
In millions		2014			2013
Investments carried at fair value		$	1	⁽¹⁾	$	4	⁽¹⁾
Fixed-maturity securities held at fair value- VIE			(38)	⁽²⁾		18	⁽²⁾
Loans receivable at fair value:
	Residential mortgage loans		(56)	⁽²⁾		(74)	⁽²⁾
	Other loans		0	⁽²⁾		13	⁽²⁾
Loan repurchase commitments			5	⁽²⁾		90	⁽²⁾
Medium-term notes			(12)	⁽¹⁾		(16)	⁽¹⁾
Variable interest entity notes			121	⁽²⁾		81	⁽²⁾
_____________
(1) - Reported within "Net gains (losses) of financial instruments at fair value and foreign exchange" on MBIA's consolidated statements of operations.
(2) - Reported within "Net gains (losses) of financial instruments at fair value and foreign exchange-VIE" on MBIA's consolidated statements of operations.

Difference Between Aggregate Fair Value And The Aggregate Remaining Contractual Principal Balance Outstanding

		As of March 31, 2014							As of December 31, 2013
		Contractual						Contractual
		Outstanding		Fair				Outstanding		Fair
In millions		Principal		Value		Difference		Principal		Value		Difference
Loans receivable at fair value:
	Residential mortgage loans	$	1,772	$	1,514	$	258	$	1,846	$	1,562	$	284
	Residential mortgage loans (90 days or more past due)		237		43		194		231		50		181
Total loans receivable at fair value		$	2,009	$	1,557	$	452	$	2,077	$	1,612	$	465

Variable interest entity notes		$	2,859	$	2,194	$	665	$	3,787	$	2,356	$	1,431

Medium-term notes		$	275	$	215	$	60	$	276	$	203	$	73

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References+ Details

- 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.

+ References+ Details

- Definition

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes 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 liability.

+ References+ Details

- 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.

+ References+ Details