Fair Value Measurements Level 3 (Tables)

3 Months Ended

Mar. 31, 2015

Assets and (liabilities) carried at fair value by hierarchy level



	March 31, 2015
	Total			Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Assets accounted for at fair value on a recurring basis
Fixed maturities, AFS
Asset-backed-securities ("ABS")	$	3,004		$	—	$	2,843		$	161
Collateralized debt obligations ("CDOs")	2,982			—		2,398			584
Commercial mortgage-backed securities ("CMBS")	4,652			—		4,384			268
Corporate	27,119			—		26,007			1,112
Foreign government/government agencies	1,365			—		1,317			48
Municipal	12,842			—		12,778			64
Residential mortgage-backed securities ("RMBS")	4,078			—		2,615			1,463
U.S. Treasuries	4,513			444		4,069			—
Total fixed maturities	60,555			444		56,411			3,700
Fixed maturities, FVO	520			—		435			85
Equity securities, trading [1]	11			11		—			—
Equity securities, AFS	1,148			910		136			102
Derivative assets
Credit derivatives	9			—		13			(4		)
Commodity derivatives	7			—		7			—
Equity derivatives	2			—		—			2
Foreign exchange derivatives	9			—		9			—
Interest rate derivatives	130			—		119			11
Guaranteed minimum withdrawal benefit ("GMWB") hedging instruments	142			—		47			95
Macro hedge program	135			—		—			135
Other derivative contracts	11			—		—			11
Total derivative assets [2]	445			—		195			250
Short-term investments	3,651			313		3,338			—
Limited partnerships and other alternative investments [3]	742			—		552			190
Reinsurance recoverable for GMWB	65			—		—			65
Modified coinsurance reinsurance contracts	22			—		22			—
Separate account assets [4]	131,087			89,871		40,614			602
Total assets accounted for at fair value on a recurring basis	$	198,246		$	91,549	$	101,703		$	4,994
Liabilities accounted for at fair value on a recurring basis
Other policyholder funds and benefits payable
GMWB	$	(176	)	$	—	$	—		$	(176	)
Equity linked notes	(26		)	—		—			(26		)
Total other policyholder funds and benefits payable	(202		)	—		—			(202		)
Derivative liabilities
Credit derivatives	(6		)	—		1			(7		)
Commodity derivatives	3			—		3			—
Equity derivatives	32			—		26			6
Foreign exchange derivatives	(469		)	—		(469		)	—
Interest rate derivatives	(531		)	—		(502		)	(29		)
GMWB hedging instruments	39			—		(25		)	64
Macro hedge program	52			—		—			52
Total derivative liabilities [5]	(880		)	—		(966		)	86
Consumer notes [6]	(3		)	—		—			(3		)
Total liabilities accounted for at fair value on a recurring basis	$	(1,085	)	$	—	$	(966	)	$	(119	)



	December 31, 2014
	Total			Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Assets accounted for at fair value on a recurring basis
Fixed maturities, AFS
ABS	$	2,472		$	—	$	2,350		$	122
CDOs	2,841			—		2,218			623
CMBS	4,415			—		4,131			284
Corporate	27,359			—		26,319			1,040
Foreign government/government agencies	1,636			—		1,577			59
Municipal	12,871			—		12,805			66
RMBS	3,918			—		2,637			1,281
U.S. Treasuries	3,872			106		3,766			—
Total fixed maturities	59,384			106		55,803			3,475
Fixed maturities, FVO	488			—		396			92
Equity securities, trading [1]	11			11		—			—
Equity securities, AFS	1,047			786		163			98
Derivative assets
Credit derivatives	8			—		10			(2		)
Equity derivatives	3			—		—			3
Interest rate derivatives	129			—		113			16
GMWB hedging instruments	119			—		5			114
Macro hedge program	93			—		—			93
Other derivative contracts	12			—		—			12
Total derivative assets [2]	364			—		128			236
Short-term investments	4,883			349		4,534			—
Limited partnerships and other alternative investments [3]	770			—		581			189
Reinsurance recoverable for GMWB	56			—		—			56
Modified coinsurance reinsurance contracts	34			—		34			—
Separate account assets [4]	132,211			91,537		40,096			578
Total assets accounted for at fair value on a recurring basis	$	199,248		$	92,789	$	101,735		$	4,724
Liabilities accounted for at fair value on a recurring basis
Other policyholder funds and benefits payable
GMWB	$	(139	)	$	—	$	—		$	(139	)
Equity linked notes	(26		)	—		—			(26		)
Total other policyholder funds and benefits payable	(165		)	—		—			(165		)
Derivative liabilities
Credit derivatives	(16		)	—		(9		)	(7		)
Equity derivatives	28			—		25			3
Foreign exchange derivatives	(445		)	—		(445		)	—
Interest rate derivatives	(597		)	—		(574		)	(23		)
GMWB hedging instruments	55			—		(1		)	56
Macro hedge program	48			—		—			48
Total derivative liabilities [5]	(927		)	—		(1,004		)	77
Consumer notes [6]	(3		)	—		—			(3		)
Total liabilities accounted for at fair value on a recurring basis	$	(1,095	)	$	—	$	(1,004	)	$	(91	)


[1]	Included in other investments on the Condensed Consolidated Balance Sheets.

[2]

Includes over-the-counter ("OTC") and OTC-cleared derivative instruments in a net positive fair value position after consideration of the accrued interest and impact of collateral posting requirements which may be imposed by agreements, clearing house rules and applicable law. As of March 31, 2015 and December 31, 2014, $389 and $413, respectively, of cash collateral liability was netted against the derivative asset value in the Condensed Consolidated Balance Sheets and is excluded from the preceding table. See the following footnote 4 for derivative liabilities.


[3]	Represents hedge funds where investment company accounting has been applied to a wholly-owned fund of funds measured at fair value.


[4]	Approximately $4.7 billion and $2.5 billion of investment sales receivable, as of March 31, 2015 and December 31, 2014, respectively, are excluded from this disclosure requirement because they are trade receivables in the ordinary course of business where the carrying amount approximates fair value.

[5]

Includes OTC and OTC-cleared derivative instruments in a net negative fair market value position (derivative liability) after consideration of the accrued interest and impact of collateral posting requirements which may be imposed by agreements, clearing house rules and applicable law. In the following Level 3 roll-forward table in this Note 4, the derivative assets and liabilities are referred to as “freestanding derivatives” and are presented on a net basis.


[6]	Represents embedded derivatives associated with non-funding agreement-backed consumer equity linked notes.

Information about significant unobservable inputs used in Level 3 assets measured at fair value

The following tables present information about significant unobservable inputs used in Level 3 assets measured at fair value. The tables exclude securities such as ABS and CRE CDOs for which fair values are predominately based on broker quotations.



Securities	Unobservable Inputs
	As of March 31, 2015
Assets accounted for at fair value on a recurring basis	Fair Value		Predominant Valuation Method	Significant Unobservable Input	Minimum		Maximum		Weighted Average [1]		Impact of Increase in Input on Fair Value [2]
CMBS	$	268	Discounted cash flows	Spread (encompasses prepayment, default risk and loss severity)	43	bps	2,474	bps	267	bps	Decrease
Corporate [3]	640		Discounted cash flows	Spread	120	bps	1,652	bps	327	bps	Decrease
Municipal [3]	33		Discounted cash flows	Spread	214	bps	214	bps	214	bps	Decrease
RMBS	1,463		Discounted cash flows	Spread	24	bps	1,693	bps	155	bps	Decrease
				Constant prepayment rate	—	%	8.0	%	3.0	%	Decrease [4]
				Constant default rate	1.0	%	14.0	%	7.0	%	Decrease
				Loss severity	—	%	100.0	%	79.0	%	Decrease
	As of December 31, 2014
CMBS	$	284	Discounted cash flows	Spread (encompasses prepayment, default risk and loss severity)	46	bps	2,475	bps	284	bps	Decrease
Corporate [3]	568		Discounted cash flows	Spread	123	bps	765	bps	279	bps	Decrease
Municipal [3]	32		Discounted cash flows	Spread	212	bps	212	bps	212	bps	Decrease
RMBS	1,281		Discounted cash flows	Spread	23	bps	1,904	bps	142	bps	Decrease
				Constant prepayment rate	—	%	7.0	%	2.0	%	Decrease [4]
				Constant default rate	1.0	%	14.0	%	7.0	%	Decrease
				Loss severity	—	%	100.0	%	78.0	%	Decrease


[1]	The weighted average is determined based on the fair value of the securities.


[2]	Conversely, the impact of a decrease in input would have the opposite impact to the fair value as that presented in the preceding table.


[3]	Level 3 corporate and municipal securities excludes those for which the Company bases fair value on broker quotations as noted in the following discussion.


[4]	Decrease for above market rate coupons and increase for below market rate coupons.



Freestanding Derivatives	Unobservable Inputs
	As of March 31, 2015
	Fair Value		Predominant Valuation Method	Significant Unobservable Input	Minimum		Maximum		Impact of Increase in Input on Fair Value [1]
Interest rate derivative
Interest rate swaps	(30	)	Discounted cash flows	Swap curve beyond 30 years	2	%	2	%	Decrease
Interest rate swaptions	12		Option model	Interest rate volatility	1	%	1	%	Increase
GMWB hedging instruments
Equity options	15		Option model	Equity volatility	23	%	38	%	Increase
Customized swaps	144		Discounted cash flows	Equity volatility	10	%	40	%	Increase
Macro hedge program
Equity options	187		Option model	Equity volatility	16	%	30	%	Increase
	As of December 31, 2014
Interest rate derivative
Interest rate swaps	(29	)	Discounted cash flows	Swap curve beyond 30 years	3	%	3	%	Decrease
Interest rate swaptions	22		Option model	Interest rate volatility	1	%	1	%	Increase
GMWB hedging instruments
Equity options	46		Option model	Equity volatility	22	%	34	%	Increase
Customized swaps	124		Discounted cash flows	Equity volatility	10	%	40	%	Increase
Macro hedge program
Equity options	141		Option model	Equity volatility	27	%	28	%	Increase

Information about significant unobservable inputs used in Level 3 derivative instruments measured at fair value



Freestanding Derivatives	Unobservable Inputs
	As of March 31, 2015
	Fair Value		Predominant Valuation Method	Significant Unobservable Input	Minimum		Maximum		Impact of Increase in Input on Fair Value [1]
Interest rate derivative
Interest rate swaps	(30	)	Discounted cash flows	Swap curve beyond 30 years	2	%	2	%	Decrease
Interest rate swaptions	12		Option model	Interest rate volatility	1	%	1	%	Increase
GMWB hedging instruments
Equity options	15		Option model	Equity volatility	23	%	38	%	Increase
Customized swaps	144		Discounted cash flows	Equity volatility	10	%	40	%	Increase
Macro hedge program
Equity options	187		Option model	Equity volatility	16	%	30	%	Increase
	As of December 31, 2014
Interest rate derivative
Interest rate swaps	(29	)	Discounted cash flows	Swap curve beyond 30 years	3	%	3	%	Decrease
Interest rate swaptions	22		Option model	Interest rate volatility	1	%	1	%	Increase
GMWB hedging instruments
Equity options	46		Option model	Equity volatility	22	%	34	%	Increase
Customized swaps	124		Discounted cash flows	Equity volatility	10	%	40	%	Increase
Macro hedge program
Equity options	141		Option model	Equity volatility	27	%	28	%	Increase


[1]	Conversely, the impact of a decrease in input would have the opposite impact to the fair value as that presented in the table. Changes are based on long positions, unless otherwise noted. Changes in fair value will be inversely impacted for short positions.

Information about significant unobservable inputs used in Level 3 living benefits measured at fair value



Significant Unobservable Input	Unobservable Inputs (Minimum)	Unobservable Inputs (Maximum)	Impact of Increase in Input on Fair Value Measurement [1]
Withdrawal Utilization [2]	20%	100%	Increase
Withdrawal Rates [3]	—%	8%	Increase
Lapse Rates [4]	—%	75%	Decrease
Reset Elections [5]	20%	75%	Increase
Equity Volatility [6]	10%	40%	Increase


[1]	Conversely, the impact of a decrease in input would have the opposite impact to the fair value as that presented in the table.


[2]	Range represents assumed cumulative percentages of policyholders taking withdrawals.


[3]	Range represents assumed cumulative annual amount withdrawn by policyholders.


[4]	Range represents assumed annual percentages of full surrender of the underlying variable annuity contracts across all policy durations for in force business.


[5]	Range represents assumed cumulative percentages of policyholders that would elect to reset their guaranteed benefit base.


[6]	Range represents implied market volatilities for equity indices based on multiple pricing sources.

Roll-forward of Financial Instruments Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3)

For the three months ended March 31, 2015



	Fixed Maturities, AFS
Assets	ABS			CDOs			CMBS			Corporate			Foreign govt./govt. agencies			Municipal			RMBS			Total Fixed Maturities, AFS			Fixed Maturities, FVO
Fair value as of January 1, 2015	$	122		$	623		$	284		$	1,040		$	59		$	66		$	1,281		$	3,475		$	92
Total realized/unrealized gains (losses)
Included in net income [1] [2] [6]	—			(2		)	(1		)	(4		)	—			—			(1		)	(8		)	(5		)
Included in OCI [3]	—			19			(3		)	(28		)	1			(2		)	(1		)	(14		)	—
Purchases	43			—			21			5			5			—			310			384			12
Settlements	(1		)	(9		)	(13		)	1			(1		)	—			(46		)	(69		)	—
Sales	—			—			—			(7		)	(16		)	—			(31		)	(54		)	(4		)
Transfers into Level 3 [4]	1			—			5			139			—			—			4			149			—
Transfers out of Level 3 [4]	(4		)	(47		)	(25		)	(34		)	—			—			(53		)	(163		)	(10		)
Fair value as of March 31, 2015	$	161		$	584		$	268		$	1,112		$	48		$	64		$	1,463		$	3,700		$	85
Changes in unrealized gains (losses) included in net income related to financial instruments still held at March 31, 2015 [2] [7]	$	—		$	(1	)	$	(1	)	$	(2	)	$	—		$	—		$	(1	)	$	(5	)	$	(1	)



				Freestanding Derivatives [5]
Assets (Liabilities)	Equity Securities, AFS			Credit			Equity			Interest Rate			GMWB Hedging			Macro Hedge Program			Other Contracts			Total Free- Standing Derivatives [5]
Fair value as of January 1, 2015	$	98		$	(9	)	$	6		$	(7	)	$	170		$	141		$	12		$	313
Total realized/unrealized gains (losses)
Included in net income [1], [2], [6]	1			5			17			(11		)	9			(1		)	(1		)	18
Included in OCI [3]	(3		)	—			—			—			—			—			—			—
Purchases	8			(7		)	—			—			—			47			—			40
Settlements	—			—			(15		)	—			(20		)	—			—			(35		)
Sales	(2		)	—			—			—			—			—			—			—
Transfers into Level 3 [4]	—			—			—			—			—			—			—			—
Transfers out of Level 3 [4]	—			—			—			—			—			—			—			—
Fair value as of March 31, 2015	$	102		$	(11	)	$	8		$	(18	)	$	159		$	187		$	11		$	336
Changes in unrealized gains (losses) included in net income related to financial instruments still held at March 31, 2015 [2] [7]	$	1		$	5		$	3		$	(19	)	$	16		$	3		$	(1	)	$	7



Assets	Limited Partnerships and Other Alternative Investments		Reinsurance Recoverable for GMWB		Separate Accounts
Fair value as of January 1, 2015	$	189	$	56	$	578
Total realized/unrealized gains (losses)
Included in net income [1] [2] [6]	1		4		—
Purchases	—		—		38
Settlements	—		5		(5		)
Sales	—		—		(6		)
Transfers into Level 3 [4]	—		—		1
Transfers out of Level 3 [4]	—		—		(4		)
Fair value as of March 31, 2015	$	190	$	65	$	602
Changes in unrealized gains (losses) included in net income related to financial instruments still held at March 31, 2015 [2] [7]	$	1	$	4	$	—



	Other Policyholder Funds and Benefits Payable
Liabilities	Guaranteed Withdrawal Benefits			Equity Linked Notes			Total Other Policyholder Funds and Benefits Payable			Consumer Notes
Fair value as of January 1, 2015	$	(139	)	$	(26	)	$	(165	)	$	(3	)
Total realized/unrealized gains (losses)
Included in net income [1] [2] [6]	(19		)	—			(19		)	—
Settlements	(18		)	—			(18		)	—
Fair value as of March 31, 2015	$	(176	)	$	(26	)	$	(202	)	$	(3	)
Changes in unrealized gains (losses) included in net income related to financial instruments still held at March 31, 2015 [2] [7]	$	(19	)	$	—		$	(19	)	$	—

For the three months ended March 31, 2014



	Fixed Maturities, AFS
Assets	ABS			CDOs			CMBS			Corporate			Foreign govt./govt. agencies			Municipal			RMBS			Total Fixed Maturities, AFS			Fixed Maturities, FVO
Fair value as of January 1, 2014	$	147		$	664		$	663		$	1,274		$	65		$	69		$	1,272		$	4,154		$	193
Total realized/unrealized gains (losses)
Included in net income [1] [2] [6]	—			—			23			(14		)	(2		)	—			(1		)	6			10
Included in OCI [3]	2			—			(22		)	24			5			3			14			26			—
Purchases	—			—			65			37			—			12			147			261			5
Settlements	(1		)	(14		)	(33		)	1			(1		)	—			(46		)	(94		)	—
Sales	—			—			(87		)	(78		)	(13		)	—			(42		)	(220		)	(2		)
Transfers into Level 3 [4]	—			72			—			67			—			—			—			139			1
Transfers out of Level 3 [4]	(92		)	(10		)	(17		)	(68		)	—			(6		)	(16		)	(209		)	(1		)
Fair value as of March 31, 2014	$	56		$	712		$	592		$	1,243		$	54		$	78		$	1,328		$	4,063		$	206
Changes in unrealized gains (losses) included in net income related to financial instruments still held at March 31, 2014 [2] [7]	$	—		$	—		$	8		$	(17	)	$	(2	)	$	—		$	—		$	(11	)	$	10



				Freestanding Derivatives [5]
Assets (Liabilities)	Equity Securities, AFS			Credit			Equity			Interest Rate			GMWB Hedging			Macro Hedge Program			Intl. Program Hedging			Other Contracts			Total Free- Standing Derivatives [5]
Fair value as of January 1, 2014	$	77		$	2		$	3		$	18		$	146		$	139		$	(29	)	$	17		$	296
Total realized/unrealized gains (losses)
Included in net income [1], [2], [6]	(2		)	(2		)	(1		)	(14		)	(34		)	(10		)	15			(1		)	(47		)
Included in OCI [3]	4			—			—			—			—			—			—			—			—
Purchases	—			—			—			—			4			4			9			—			17
Settlements	—			—			—			—			7			—			—			—			7
Transfers out of Level 3 [4]	—			—			—			24			—			—			—			—			24
Fair value as of March 31, 2014	$	79		$	—		$	2		$	28		$	123		$	133		$	(5	)	$	16		$	297
Changes in unrealized gains (losses) included in net income related to financial instruments still held at March 31, 2014 [2] [7]	$	(2	)	$	(1	)	$	—		$	(16	)	$	(50	)	$	(10	)	$	17		$	—		$	(60	)



Assets	Limited Partnerships and Other Alternative Investments			Reinsurance Recoverable for GMWB			Separate Accounts
Fair value as of January 1, 2014	$	108		$	29		$	737
Total realized/unrealized gains (losses)
Included in net income [1] [2] [6]	3			(4		)	5
Purchases	30			—			130
Settlements	—			5			(1		)
Sales	(24		)	—			(86		)
Transfers into Level 3 [4]	—			—			3
Transfers out of Level 3 [4]	(10		)	—			(26		)
Fair value as of March 31, 2014	$	107		$	30		$	762
Changes in unrealized gains (losses) included in net income related to financial instruments still held at March 31, 2014 [2] [7]	$	3		$	(4	)	$	5



	Other Policyholder Funds and Benefits Payable
Liabilities	Guaranteed Withdrawal Benefits			International Guaranteed Living Benefits			International Other Living Benefits			Equity Linked Notes			Total Other Policyholder Funds and Benefits Payable			Consumer Notes
Fair value as of January 1, 2014	$	(36	)	$	3		$	3		$	(18	)	$	(48	)	$	(2	)
Total realized/unrealized gains (losses)
Included in net income [1] [2] [6]	36			—			(1		)	(1		)	34			—
Settlements	(24		)	(1		)	—			—			(25		)	—
Fair value as of March 31, 2014	$	(24	)	$	2		$	2		$	(19	)	$	(39	)	$	(2	)
Changes in unrealized gains (losses) included in net income related to financial instruments still held at March 31, 2014 [2] [7]	$	36		$	—		$	(1	)	$	(1	)	$	34		$	—


[1]	The Company classifies gains and losses on GMWB reinsurance derivatives and GMWB embedded derivatives as unrealized gains (losses) for purposes of disclosure in this table because it is impracticable to track on a contract-by-contract basis the realized gains (losses) for these derivatives and embedded derivatives.


[2]	All amounts in these rows are reported in net realized capital gains (losses). The realized/unrealized gains (losses) included in net income for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on net income for the Company. All amounts are before income taxes and amortization of DAC.


[3]	All amounts are before income taxes and amortization of DAC.


[4]	Transfers in and/or (out) of Level 3 are primarily attributable to the availability of market observable information and the re-evaluation of the observability of pricing inputs.


[5]	Derivative instruments are reported in this table on a net basis for asset (liability) positions and reported in the Condensed Consolidated Balance Sheets in other investments and other liabilities.


[6]	Includes both market and non-market impacts in deriving realized and unrealized gains (losses).


[7]	Amounts presented are for Level 3 only and therefore may not agree to other disclosures included herein.

Fair value of assets and liabilities accounted for using the fair value option



	Three Months Ended March 31,
	2015		2014
Assets
Fixed maturities, FVO
Corporate	$	—	$	2
CRE CDOs	1		8
Foreign government	—		1
RMBS	1		1
Total fixed maturities, FVO	$	2	$	12
Equity, FVO	2		—
Total realized capital gains (losses)	$	4	$	12

Fair value of assets and liabilities accounted for using the fair value option



	As of
	March 31, 2015		December 31, 2014
Assets
Fixed maturities, FVO
ABS	$	15	$	15
CRE CDOs	72		69
CMBS	21		22
Corporate	135		133
Foreign government	29		30
U.S government	5		2
Municipals	1		2
RMBS	242		215
Total fixed maturities, FVO	$	520	$	488
Equity, FVO [1]	$	402	$	348

Financial Instruments Not Carried at Fair Value



		March 31, 2015				December 31, 2014
	Fair Value Hierarchy Level	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Assets
Policy loans	Level 3	$	1,452	$	1,452	$	1,431	$	1,431
Mortgage loans	Level 3	5,697		5,963		5,556		5,840
Liabilities
Other policyholder funds and benefits payable [1]	Level 3	$	7,009	$	7,238	$	7,304	$	7,522
Senior notes [2]	Level 2	4,721		5,606		5,009		5,837
Junior subordinated debentures [2]	Level 2	1,100		1,308		1,100		1,291
Consumer notes [3] [4]	Level 3	66		66		68		68
Assumed investment contracts [4]	Level 3	770		848		763		851


[1]	Excludes guarantees on variable annuities, group accident and health and universal life insurance contracts, including corporate owned life insurance.


[2]	Included in long-term debt in the Condensed Consolidated Balance Sheets, except for current maturities, which are included in short-term debt.


[3]	Excludes amounts carried at fair value and included in preceding disclosures.

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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- 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.

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- 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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