Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2015

Carrying Value and Estimated Fair Value of Financial Instruments

The following table summarizes the carrying value and estimated fair value of our financial instruments at March 31, 2015 and December 31, 2014:



March 31, 2015	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets	$	33,260	$	33,260	$	972	$	32,249	$	39
Federal funds sold and securities purchased under resale agreements	6,965		6,965		—		6,965		—
Non-derivative trading assets	15,938		15,938		2,912		9,925		3,101
Derivatives	8,403		8,403		8		8,350		45
Securities	47,111		47,446		25,141		22,305		—
Commercial loans, net of allowance for credit losses	61,113		62,494		—		—		62,494
Commercial loans designated under fair value option and held for sale	255		255		—		255		—
Commercial loans held for sale	36		36		—		36		—
Consumer loans, net of allowance for credit losses	19,642		18,143		—		—		18,143
Consumer loans held for sale:
Residential mortgages	24		25		—		20		5
Other consumer	90		90		—		—		90
Financial liabilities:
Short-term financial liabilities	$	15,710	$	15,710	$	—	$	15,671	$	39
Deposits:
Without fixed maturities	109,625		109,625		—		109,625		—
Fixed maturities	2,521		2,524		—		2,524		—
Deposits designated under fair value option	6,948		6,948		—		5,022		1,926
Non-derivative trading liabilities	646		646		477		169		—
Derivatives	11,846		11,846		19		11,798		29
Long-term debt	20,387		21,259		—		21,259		—
Long-term debt designated under fair value option	9,033		9,033		—		8,391		642



December 31, 2014	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets	$	31,746	$	31,746	$	891	$	30,807	$	48
Federal funds sold and securities purchased under resale agreements	1,413		1,413		—		1,413		—
Non-derivative trading assets	15,490		15,490		2,675		9,722		3,093
Derivatives	7,258		7,258		10		7,200		48
Securities	43,609		43,835		22,048		21,787		—
Commercial loans, net of allowance for credit losses	57,595		58,891		—		—		58,891
Commercial loans designated under fair value option and held for sale	384		384		—		384		—
Commercial loans held for sale	144		144		—		144		—
Consumer loans, net of allowance for credit losses	19,466		17,896		—		—		17,896
Consumer loans held for sale:
Residential mortgages	18		19		—		14		5
Other consumer	66		66		—		—		66
Financial liabilities:
Short-term financial liabilities	$	12,861	$	12,861	$	—	$	12,813	$	48
Deposits:
Without fixed maturities	105,962		105,962		—		105,962		—
Fixed maturities	2,810		2,813		—		2,813		—
Deposits designated under fair value option	7,346		7,346		—		5,378		1,968
Non-derivative trading liabilities	705		705		653		52		—
Derivatives	8,413		8,413		8		8,376		29
Long-term debt	18,733		19,524		—		19,524		—
Long-term debt designated under fair value option	8,791		8,791		—		8,144		647

Assets and Liabilities Recorded at Fair Value on a Recurring Basis

The following table presents information about our assets and liabilities measured at fair value on a recurring basis as of March 31, 2015 and December 31, 2014, and indicates the fair value hierarchy of the valuation techniques utilized to determine such fair value:



	Fair Value Measurements on a Recurring Basis
March 31, 2015	Level 1		Level 2		Level 3		Gross Balance		Netting⁽¹⁾			Net Balance
	(in millions)
Assets:
Trading Securities, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	$	2,912	$	107	$	—	$	3,019	$	—		$	3,019
Obligations of U.S. States and political subdivisions	—		586		—		586		—			586
Collateralized debt obligations	—		—		253		253		—			253
Asset-backed securities:
Residential mortgages	—		139		—		139		—			139
Student Loans	—		88		—		88		—			88
Corporate and other domestic debt securities	—		—		2,848		2,848		—			2,848
Debt Securities issued by foreign entities:
Corporate	—		183		—		183		—			183
Government-backed	—		5,494		—		5,494		—			5,494
Equity securities	—		18		—		18		—			18
Precious metals trading	—		3,310		—		3,310		—			3,310
Derivatives⁽²⁾:
Interest rate contracts	32		51,719		21		51,772		—			51,772
Foreign exchange contracts	22		27,735		19		27,776		—			27,776
Equity contracts	—		2,245		165		2,410		—			2,410
Precious metals contracts	33		794		—		827		—			827
Credit contracts	—		4,025		258		4,283		—			4,283
Derivatives netting	—		—		—		—		(78,665		)	(78,665		)
Total derivatives	87		86,518		463		87,068		(78,665		)	8,403
Securities available-for-sale:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	25,141		2,721		—		27,862		—			27,862
Obligations of U.S. states and political subdivisions	—		748		—		748		—			748
Asset-backed securities:
Commercial mortgages	—		29		—		29		—			29
Home equity	—		85		—		85		—			85
Other	—		94		—		94		—			94
Debt Securities issued by foreign entities:
Corporate	—		360		—		360		—			360
Government-backed	—		3,753		—		3,753		—			3,753
Equity securities	—		165		—		165		—			165
Loans⁽³⁾	—		255		—		255		—			255
Mortgage servicing rights⁽⁴⁾	—		—		141		141		—			141
Total assets	$	28,140	$	104,653	$	3,705	$	136,498	$	(78,665	)	$	57,833
Liabilities:
Deposits in domestic offices⁽⁵⁾	$	—	$	5,022	$	1,926	$	6,948	$	—		$	6,948
Trading liabilities, excluding derivatives	477		169		—		646		—			646
Derivatives⁽²⁾:
Interest rate contracts	58		52,183		1		52,242		—			52,242
Foreign exchange contracts	47		26,315		19		26,381		—			26,381
Equity contracts	—		1,603		122		1,725		—			1,725
Precious metals contracts	31		645		—		676		—			676
Credit contracts	—		3,932		66		3,998		—			3,998
Derivatives netting	—		—		—		—		(73,176		)	(73,176		)
Total derivatives	136		84,678		208		85,022		(73,176		)	11,846
Long-term debt⁽⁵⁾	—		8,391		642		9,033		—			9,033
Total liabilities	$	613	$	98,260	$	2,776	$	101,649	$	(73,176	)	$	28,473



	Fair Value Measurements on a Recurring Basis
December 31, 2014	Level 1		Level 2		Level 3		Gross Balance		Netting⁽¹⁾			Net Balance
	(in millions)
Assets:
Trading Securities, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	$	2,675	$	48	$	—	$	2,723	$	—		$	2,723
Obligations of U. S. States and political subdivisions	—		591		—		591		—			591
Collateralized debt obligations	—		—		253		253		—			253
Asset-backed securities:
Residential mortgages	—		142		—		142		—			142
Student loans	—		86		—		86		—			86
Corporate and other domestic debt securities	—		1		2,840		2,841		—			2,841
Debt Securities issued by foreign entities:
Corporate	—		184		—		184		—			184
Government-backed	—		6,656		—		6,656		—			6,656
Equity securities	—		22		—		22		—			22
Precious metals trading	—		1,992		—		1,992		—			1,992
Derivatives⁽²⁾:
Interest rate contracts	46		46,012		1		46,059		—			46,059
Foreign exchange contracts	—		22,241		23		22,264		—			22,264
Equity contracts	—		2,212		180		2,392		—			2,392
Precious metals contracts	59		1,013		—		1,072		—			1,072
Credit contracts	—		3,899		296		4,195		—			4,195
Derivatives netting	—		—		—		—		(68,724		)	(68,724		)
Total derivatives	105		75,377		500		75,982		(68,724		)	7,258
Securities available-for-sale:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	22,048		3,117		—		25,165		—			25,165
Obligations of U.S. states and political subdivisions	—		667		—		667		—			667
Asset-backed securities:
Commercial mortgages	—		43		—		43		—			43
Home equity	—		89		—		89		—			89
Other	—		94		—		94		—			94
Debt Securities issued by foreign entities:
Corporate	—		517		—		517		—			517
Government-backed	—		3,398		—		3,398		—			3,398
Equity securities	—		167		—		167		—			167
Loans⁽³⁾	—		384		—		384		—			384
Mortgage servicing rights⁽⁴⁾	—		—		159		159		—			159
Total assets	$	24,828	$	93,575	$	3,752	$	122,155	$	(68,724	)	$	53,431
Liabilities:
Deposits in domestic offices⁽⁵⁾	$	—	$	5,378	$	1,968	$	7,346	$	—		$	7,346
Trading liabilities, excluding derivatives	653		52		—		705		—			705
Derivatives⁽²⁾:
Interest rate contracts	43		46,683		1		46,727		—			46,727
Foreign exchange contracts	13		20,847		23		20,883		—			20,883
Equity contracts	—		1,661		138		1,799		—			1,799
Precious metals contracts	18		596		—		614		—			614
Credit contracts	—		3,941		86		4,027		—			4,027
Derivatives netting	—		—		—		—		(65,637		)	(65,637		)
Total derivatives	74		73,728		248		74,050		(65,637		)	8,413
Long-term debt⁽⁵⁾	—		8,144		647		8,791		—			8,791
Total liabilities	$	727	$	87,302	$	2,863	$	90,892	$	(65,637	)	$	25,255


⁽¹⁾	Represents counterparty and cash collateral netting which allow the offsetting of amounts relating to certain contracts if certain conditions are met.


⁽²⁾	Includes trading derivative assets of $6,506 million and $5,602 million and trading derivative liabilities of $10,642 million and $7,459 million as of March 31, 2015 and December 31, 2014, respectively, as well as derivatives held for hedging and commitments accounted for as derivatives.


⁽³⁾	Includes certain commercial loans held for sale which we have elected to apply the fair value option. See Note 6, "Loans Held for Sale," for further information.


⁽⁴⁾	See Note 7, "Intangible Assets," for additional information.


⁽⁵⁾	See Note 10, "Fair Value Option," for additional information.

Changes in Fair Value of Level 3 Assets and Liabilities

The following table summarizes additional information about changes in the fair value of Level 3 assets and liabilities during the three months ended March 31, 2015 and 2014. As a risk management practice, we may risk manage the Level 3 assets and liabilities, in whole or in part, using securities and derivative positions that are classified as Level 1 or Level 2 measurements within the fair value hierarchy. Since those Level 1 and Level 2 risk management positions are not included in the table below, the information provided does not reflect the effect of such risk management activities related to the Level 3 assets and liabilities.



	Jan. 1, 2015			Total Gains and (Losses) Included in⁽¹⁾						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3		Transfers Out of Level 3			Mar. 31, 2015			Current Period Unrealized Gains (Losses)
	Jan. 1, 2015			Trading Revenue (Loss)			Other Revenue			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3		Transfers Out of Level 3			Mar. 31, 2015			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	253		$	9		$	—		$	—	$	—		$	(8	)	$	—	$	—		$	254		$	7
Corporate and other domestic debt securities	2,840			—			—			8		—			—			—		—			2,848			—
Derivatives, net⁽²⁾:
Interest rate contracts	—			19			1			—		—			—			—		—			20			20
Foreign exchange contracts	—			—			—			—		—			—			—		—			—			—
Equity contracts	42			23			—			—		—			(21		)	—		(1		)	43			14
Credit contracts	210			(12		)	—			—		—			(6		)	—		—			192			(40		)
Mortgage servicing rights⁽³⁾	159			—			(14		)	—		—			(4		)	—		—			141			(14		)
Total assets	$	3,504		$	39		$	(13	)	$	8	$	—		$	(39	)	$	—	$	(1	)	$	3,498		$	(13	)
Liabilities:
Deposits in domestic offices⁽⁴⁾	$	(1,968	)	$	—		$	(19	)	$	—	$	(89	)	$	49		$	—	$	101		$	(1,926	)	$	(13	)
Long-term debt⁽⁴⁾	(647		)	—			(7		)	—		(87		)	79			—		20			(642		)	(6		)
Total liabilities	$	(2,615	)	$	—		$	(26	)	$	—	$	(176	)	$	128		$	—	$	121		$	(2,568	)	$	(19	)



	Jan. 1, 2014			Total Gains and (Losses) Included in⁽¹⁾						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Mar. 31, 2014			Current Period Unrealized Gains (Losses)
	Jan. 1, 2014			Trading Revenue (Loss)			Other Revenue			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Mar. 31, 2014			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	254		$	7		$	—		$	—	$	—		$	(3	)	$	—		$	—	$	258		$	7
Corporate and other domestic debt securities	2,260			(5		)	—			553		—			—			—			—		2,808			(6		)
Government debt securities issued by foreign entities	121			2			—			—		—			(6		)	—			—		117			(4		)
Derivatives, net⁽²⁾:
Interest rate contracts	1			—			—			—		—			—			—			—		1			—
Foreign exchange contracts	95			1			—			—		—			(6		)	—			6		96			1
Equity contracts	3			19			—			—		—			(7		)	4			5		24			12
Precious metals contracts	(2		)	2			—			—		—			—			—			—		—			—
Credit contracts	191			(13		)	—			—		—			3			—			—		181			(28		)
Mortgage servicing rights⁽³⁾	227			—			(12		)	—		—			(10		)	—			—		205			(12		)
Total assets	$	3,150		$	13		$	(12	)	$	553	$	—		$	(29	)	$	4		$	11	$	3,690		$	(30	)
Liabilities:
Deposits in domestic offices⁽⁴⁾	$	(2,334	)	$	(124	)	$	—		$	—	$	(25	)	$	167		$	(68	)	$	140	$	(2,244	)	$	(23	)
Long-term debt⁽⁴⁾	(900		)	93			—			—		(43		)	47			—			71		(732		)	(2		)
Total liabilities	$	(3,234	)	$	(31	)	$	—		$	—	$	(68	)	$	214		$	(68	)	$	211	$	(2,976	)	$	(25	)


⁽¹⁾	Includes realized and unrealized gains and losses.


⁽²⁾	Level 3 net derivatives included derivative assets of $463 million and derivative liabilities of $208 million as of March 31, 2015 and derivative assets of $694 million and derivative liabilities of $392 million as of March 31, 2014.


⁽³⁾	See Note 7, "Intangible Assets," for additional information.


⁽⁴⁾	See Note 10, "Fair Value Option," for additional information.

Quantitative Information about Recurring Fair Value Measurement of Assets and Liabilities Classified as Level 3

The following table presents quantitative information about the unobservable inputs used to determine the recurring fair value measurement of assets and liabilities classified as Level 3 fair value measurements as of March 31, 2015 and December 31, 2014:



March 31, 2015
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Collateralized debt obligations	254		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	1% - 6%
				Conditional default rates	6% - 7%
				Loss severity rates	90% - 91%
Corporate and other domestic debt securities	2,848		Discounted cash flows	Spread volatility on collateral assets	1% - 4%
				Correlation between insurance claim shortfall and collateral value	80%
Interest rate derivative contracts	20		Market comparable adjusted for probability to fund	Probability to fund for rate lock commitments	6% - 99%
Foreign exchange derivative contracts⁽¹⁾	—		Option pricing model	Implied volatility of currency pairs	17% - 22%
Equity derivative contracts⁽¹⁾	43		Option pricing model	Equity / Equity Index volatility	13% - 65%
				Equity / Equity and Equity / Index correlation	47% - 59%
Credit derivative contracts	192		Option pricing model	Correlation of defaults of a portfolio of reference credit names	49% - 52%
				Issuer by issuer correlation of defaults	82% - 83%
Mortgage servicing rights	141		Option adjusted discounted cash flows	Constant prepayment rates	11% - 51%
				Option adjusted spread	8% - 14%
				Estimated annualized costs to service	$91 - $333 per account
Deposits in domestic offices (structured deposits)⁽¹⁾⁽²⁾	(1,926	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	17% - 22%
				Equity / Equity Index volatility	13% - 65%
				Equity / Equity and Equity / Index correlation	47% - 59%
Long-term debt (structured notes)⁽¹⁾⁽²⁾	(642	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	17% - 22%
				Equity / Equity Index volatility	13% - 65%
				Equity / Equity and Equity / Index correlation	47% - 59%



December 31, 2014
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Collateralized debt obligations	253		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	1% - 6%
				Conditional default rates	6% - 7%
				Loss severity rates	90% - 91%
Corporate and other domestic debt securities	2,840		Discounted cash flows	Spread volatility on collateral assets	2% - 4%
				Correlation between insurance claim shortfall and collateral value	80%
Interest rate derivative contracts	—		Market comparable adjusted for probability to fund	Probability to fund for rate lock commitments	6% - 98%
Foreign exchange derivative contracts⁽¹⁾	—		Option pricing model	Implied volatility of currency pairs	10% - 17%
Equity derivative contracts⁽¹⁾	42		Option pricing model	Equity / Equity Index volatility	11% - 60%
				Equity / Equity and Equity / Index correlation	47% - 73%
Credit derivative contracts	210		Option pricing model	Correlation of defaults of a portfolio of reference credit names	52% - 57%
				Issuer by issuer correlation of defaults	82% - 83%
Mortgage servicing rights	159		Option adjusted discounted cash flows	Constant prepayment rates	10% - 49%
				Option adjusted spread	8% - 19%
				Estimated annualized costs to service	$91 - $333 per account
Deposits in domestic offices (structured deposits)⁽¹⁾⁽²⁾	(1,968	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	10% - 17%
				Equity / Equity Index volatility	11% - 60%
				Equity / Equity and Equity / Index correlation	47% - 73%
Long-term debt (structured notes)⁽¹⁾⁽²⁾	(647	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	10% - 17%
				Equity / Equity Index volatility	11% - 60%
				Equity / Equity and Equity / Index correlation	47% - 73%


⁽¹⁾	We are the client-facing entity and we enter into identical but opposite derivatives to transfer the resultant risks to our affiliates. With the exception of counterparty credit risks, we are market neutral. The corresponding intra-group derivatives are presented as equity derivatives and foreign exchange derivatives in the table.


⁽²⁾	Structured deposits and structured notes contain embedded derivative features whose fair value measurements contain significant Level 3 inputs.

Fair Value Hierarchy Level within Which Fair Value of Financial and Non-Financial Assets has been Recorded

The following table presents the fair value hierarchy level within which the fair value of the financial and non-financial assets has been recorded as of March 31, 2015 and December 31, 2014. The gains (losses) during the three months ended March 31, 2015 and 2014 are also included.



	Non-Recurring Fair Value Measurements as of March 31, 2015								Total Gains (Losses) For the Three Months Ended March 31, 2015
	Level 1		Level 2		Level 3		Total
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	1	$	5	$	6	$	—
Consumer loans⁽²⁾	—		37		—		37		(10		)
Commercial loans held for sale⁽³⁾	—		35		—		35		(8		)
Impaired commercial loans⁽⁴⁾	—		—		48		48		—
Real estate owned⁽⁵⁾	—		22		—		22		1
Total assets at fair value on a non-recurring basis	$	—	$	95	$	53	$	148	$	(17	)



	Non-Recurring Fair Value Measurements as of December 31, 2014								Total Gains (Losses) For the Three Months Ended March 31, 2014
	Level 1		Level 2		Level 3		Total
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	—	$	5	$	5	$	3
Consumer loans⁽²⁾	—		164		—		164		(15		)
Commercial loans held for sale⁽³⁾	—		77		—		77		—
Impaired commercial loans⁽⁴⁾	—		—		53		53		(6		)
Real estate owned⁽⁵⁾	—		19		—		19		1
Total assets at fair value on a non-recurring basis	$	—	$	260	$	58	$	318	$	(17	)

⁽¹⁾

As of March 31, 2015 and December 31, 2014, the fair value of the loans held for sale was below cost. Certain residential mortgage loans held for sale have been classified as a Level 3 fair value measurement within the fair value hierarchy as the underlying real estate properties which determine fair value are illiquid assets as a result of market conditions and significant inputs in estimating fair value were unobservable. Additionally, the fair value of these properties is affected by, among other things, the location, the payment history and the completeness of the loan documentation.


⁽²⁾	Represents residential mortgage loans held for investment whose carrying amount was reduced during the periods presented based on the fair value of the underlying collateral.


⁽³⁾	As of March 31, 2015 and December 31, 2014, the fair value of the loans held for sale was below cost.

⁽⁴⁾

Certain commercial loans have undergone troubled debt restructurings and are considered impaired. As a matter of practical expedient, we measure the credit impairment of a collateral-dependent loan based on the fair value of the collateral asset. The collateral often involves real estate properties that are illiquid due to market conditions. As a result, these loans are classified as a Level 3 fair value measurement within the fair value hierarchy.


⁽⁵⁾	Real estate owned is required to be reported on the balance sheet net of transactions costs. The real estate owned amounts in the table above reflect the fair value unadjusted for transaction costs.

Quantitative Information about Non Recurring Fair Value Measurement of Assets and Liabilities

The following tables present quantitative information about non-recurring fair value measurements of assets and liabilities classified with Level 3 of the fair value hierarchy as of March 31, 2015 and December 31, 2014:



As of March 31, 2015
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Residential mortgage loans held for sale	$	5	Valuation of third party appraisal on underlying collateral	Loss severity rates	0% - 100%
Impaired commercial loans	48		Valuation of third party appraisal on underlying collateral	Loss severity rates	17% - 40%



As of December 31, 2014
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Residential mortgage loans held for sale	$	5	Valuation of third party appraisal on underlying collateral	Loss severity rates	0% - 100%
Impaired commercial loans	53		Valuation of third party appraisal on underlying collateral	Loss severity rates	8% - 47%

Additional Information Relating to Asset-Backed Securities and Collateralized Debt Obligations

The following tables provide additional information relating to asset-backed securities as well as certain collateralized debt obligations held as of March 31, 2015:

Trading asset-backed securities:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Total
		(in millions)
AAA -A	Residential mortgages - Alt A	$	80	$	—	$	80
	Residential mortgages - Subprime	53		—		53
	Student loans	88		—		88
	Total AAA -A	221		—		221
BBB -B	Collateralized debt obligations	—		253		253
CCC-Unrated	Residential mortgages - Subprime	6		—		6
		$	227	$	253	$	480

Available-for-sale securities backed by collateral:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Total
		(in millions)
AAA -A	Commercial mortgages	$	29	$	—	$	29
	Home equity - Alt A	85		—		85
	Other	94		—		94
	Total AAA -A	$	208	$	—	$	208


⁽¹⁾	We utilize S&P as the primary source of credit ratings in the tables above. If S&P ratings are not available, ratings by Moody's and Fitch are used in that order. Ratings for collateralized debt obligations represent the ratings associated with the underlying collateral.

- 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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