Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2012

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 December 31, 2012 and 2011.



	December 31, 2012										December 31, 2011
	Carrying Value		Fair Value		Level 1		Level 2		Level 3		Carrying Value		Fair Value
	(in millions)
Financial assets:
Short-term financial assets	$	15,074	$	15,074	$	1,359	$	13,279	$	436	$	27,534	$	27,534
Federal funds sold and securities purchased under resale agreements	3,149		3,149		—		3,149		—		3,109		3,104
Non-derivative trading assets	25,491		25,491		2,484		20,061		2,946		30,028		30,028
Derivatives	11,986		11,986		30		11,785		171		9,826		9,826
Securities	69,336		69,547		43,421		26,126		—		55,316		55,579
Commercial loans, net of allowance for credit losses	43,833		45,153		—		—		45,153		33,207		33,535
Commercial loans designated under fair value option and held for sale	465		465		—		465		—		377		377
Commercial loans held for sale	16		16		—		16		—		588		588
Consumer loans, net of allowance for credit losses	18,778		15,173		—		—		15,173		17,917		14,301
Consumer loans held for sale:
Residential mortgages	472		485		—		—		485		2,058		2,071
Credit cards	—		—		—		—		—		416		416
Other consumer	65		65		—		—		65		231		231
Financial liabilities:
Short-term financial liabilities	$	15,421	$	15,421	$	—	$	15,421	$	—	$	18,497	$	18,497
Deposits:
Without fixed maturities	104,414		104,414		—		104,414		—		123,720		122,710
Fixed maturities	4,565		4,574		—		4,574		—		6,210		6,232
Deposits designated under fair value option	8,692		8,692		—		6,056		2,636		9,799		9,799
Non-derivative trading liabilities	5,974		5,974		207		5,767		—		7,342		7,342
Derivatives	15,202		15,202		21		15,054		127		8,440		8,440
Long-term debt	14,465		15,163		—		15,163		—		11,666		11,653
Long-term debt designated under fair value option	7,280		7,280		—		6,851		429		5,043		5,043

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 December 31, 2012 and 2011, and indicates the fair value hierarchy of the valuation techniques utilized to determine such fair value.



	Fair Value Measurements on a Recurring Basis as of December 31, 2012
	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	$	2,484	$	369	$	—	$	2,853	$	—		$	2,853
Collateralized debt obligations	—		—		466		466		—			466
Asset-backed securities:
Residential mortgages	—		221		—		221		—			221
Corporate and other domestic debt securities	—		1,035		1,861		2,896		—			2,896
Debt Securities issued by foreign entities:
Corporate	—		468		299		767		—			767
Government	—		5,609		311		5,920		—			5,920
Equity securities	—		27		9		36		—			36
Precious metals trading	—		12,332		—		12,332		—			12,332
Derivatives⁽²⁾:
Interest rate contracts	98		71,717		8		71,823		—			71,823
Foreign exchange contracts	4		13,831		16		13,851		—			13,851
Equity contracts	—		1,593		166		1,759		—			1,759
Precious metals contracts	135		649		7		791		—			791
Credit contracts	—		5,961		1,168		7,129		—			7,129
Other contracts	—		—		—		—		—			—
Derivatives netting	—		—		—		—		(83,367		)	(83,367		)
Total derivatives	237		93,751		1,365		95,353		(83,367		)	11,986
Securities available-for-sale:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	43,379		17,316		—		60,695		—			60,695
Obligations of U.S. states and political subdivisions	—		912		—		912		—			912
Asset-backed securities:
Residential mortgages	—		1		—		1		—			1
Commercial mortgages	—		214		—		214		—			214
Home equity	—		258		—		258		—			258
Student loans	—		—		—		—		—			—
Other	—		84		—		84		—			84
Corporate and other domestic debt securities	—		26		—		26		—			26
Debt Securities issued by foreign entities:
Corporate	—		831		—		831		—			831
Government-backed	42		4,480		—		4,522		—			4,522
Equity securities	—		173		—		173		—			173
Loans⁽³⁾	—		465		—		465		—			465
Mortgage servicing rights⁽⁴⁾	—		—		168		168		—			168
Total assets	$	46,142	$	138,572	$	4,479	$	189,193	$	(83,367	)	$	105,826
Liabilities:
Deposits in domestic offices⁽⁵⁾	$	—	$	6,056	$	2,636	$	8,692	$	—		$	8,692
Trading liabilities, excluding derivatives	207		5,767		—		5,974		—			5,974
Derivatives⁽²⁾:
Interest rate contracts	90		71,567		1		71,658		—			71,658
Foreign exchange contracts	25		13,582		11		13,618		—			13,618
Equity contracts	—		1,244		173		1,417		—			1,417
Precious metals contracts	19		712		7		738		—			738
Credit contracts	—		6,754		597		7,351		—			7,351
Derivatives netting	—		—		—		—		(79,580		)	(79,580		)
Total derivatives	134		93,859		789		94,782		(79,580		)	15,202
Long-term debt⁽⁶⁾	—		6,851		429		7,280		—			7,280
Total liabilities	$	341	$	112,533	$	3,854	$	116,728	$	(79,580	)	$	37,148



	Fair Value Measurements on a Recurring Basis as of December 31, 2011
	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	$	259	$	38	$	—	$	297	$	—		$	297
Collateralized debt obligations	—		52		703		755		—			755
Asset-backed securities:
Residential mortgages	—		274		—		274		—			274
Home equity	—		1		—		1		—			1
Student loans	—		2		—		2		—			2
Corporate and other domestic debt securities	—		226		1,679		1,905		—			1,905
Debt Securities issued by foreign entities:
Corporate	—		1,958		253		2,211		—			2,211
Government	—		7,461		—		7,461		—			7,461
Equity securities	—		27		13		40		—			40
Precious metals trading	—		17,082		—		17,082		—			17,082
Derivatives⁽²⁾:
Interest rate contracts	135		61,565		9		61,709		—			61,709
Foreign exchange contracts	4		15,440		221		15,665		—			15,665
Equity contracts	—		1,047		169		1,216		—			1,216
Precious metals contracts	171		1,641		30		1,842		—			1,842
Credit contracts	—		12,297		2,093		14,390		—			14,390
Other contracts	—		—		—		—		—			—
Derivatives netting	—		—		—		—		(84,996		)	(84,996		)
Total derivatives	310		91,990		2,522		94,822		(84,996		)	9,826
Securities available-for-sale:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	22,467		22,142		—		44,609		—			44,609
Obligations of U.S. states and political subdivisions	—		600		—		600		—			600
Asset-backed securities:
Residential mortgages	—		5		—		5		—			5
Commercial mortgages	—		451		—		451		—			451
Home equity	—		270		—		270		—			270
Student loans	—		12		—		12		—			12
Other	—		80		—		80		—			80
Corporate and other domestic debt securities	—		544		—		544		—			544
Debt Securities issued by foreign entities:
Corporate	—		1,235		—		1,235		—			1,235
Government-backed	40		5,295		—		5,335		—			5,335
Equity securities	—		140		—		140		—			140
Loans⁽³⁾	—		367		11		378		—			378
Mortgage servicing rights⁽⁴⁾	—		—		220		220		—			220
Total assets	$	23,076	$	150,252	$	5,401	$	178,729	$	(84,996	)	$	93,733
Liabilities:
Deposits in domestic offices⁽⁵⁾	$	—	$	6,932	$	2,867	$	9,799	$	—		$	9,799
Trading liabilities, excluding derivatives	321		7,021		—		7,342		—			7,342
Derivatives⁽²⁾:
Interest rate contracts	66		62,702		—		62,768		—			62,768
Foreign exchange contracts	13		15,191		222		15,426		—			15,426
Equity contracts	—		999		252		1,251		—			1,251
Precious metals contracts	32		1,186		30		1,248		—			1,248
Credit contracts	—		13,553		740		14,293		—			14,293
Derivatives netting	—		—		—		—		(86,546		)	(86,546		)
Total derivatives	111		93,631		1,244		94,986		(86,546		)	8,440
Long-term debt⁽⁶⁾	—		4,957		86		5,043		—			5,043
Total liabilities	$	432	$	112,541	$	4,197	$	117,170	$	(86,546	)	$	30,624


⁽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 $10.5 billion and $8.8 billion and trading derivative liabilities of $13.8 billion and $6.8 billion as of December 31, 2012 and 2011, respectively, as well as derivatives held for hedging and commitments accounted for as derivatives.


⁽³⁾	Includes leveraged acquisition finance and other commercial loans held for sale or risk-managed on a fair value basis for which we have elected to apply the fair value option. See Note 10, “Loans Held for Sale,” for further information.


⁽⁴⁾	See Note 12, “Intangible Assets,” for additional information.


⁽⁵⁾	Represents structured deposits risk-managed on a fair value basis for which we have elected to apply the fair value option.


⁽⁶⁾	Includes structured notes and own debt issuances which we have elected to measure on a fair value basis.

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 year ended December 31, 2012 and 2011. 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, 2012			Total Gains and (Losses) Included in⁽¹⁾						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Dec. 31 2012			Current Period Unrealized Gains (Losses)
	Jan 1, 2012			Trading Revenue (Loss)			Other Revenue			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Dec. 31 2012			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	703		$	130		$	—		$	70	$	—		$	(477	)	$	40		$	—	$	466		$	51
Corporate and other domestic debt securities	1,679			46			—			426		—			(290		)	—			—		1,861			27
Corporate debt securities issued by foreign entities	253			46			—			—		—			—			—			—		299			46
Government debt securities issued by foreign entities	—			65			—			388		—			(142		)	—			—		311			61
Equity securities	13			(1		)	—			—		—			(3		)	—			—		9			(1		)
Derivatives⁽²⁾:
Interest rate contracts	9			—			(2		)	—		—			—			—			—		7			(2		)
Foreign exchange contracts	(1		)	(34		)	—			—		(6		)	15			(2		)	33		5			5
Equity contracts	(83		)	116			—			—		—			(41		)	(1		)	2		(7		)	45
Credit contracts	1,353			(698		)	—			—		—			(72		)	(12		)	—		571			(926		)
Loans⁽³⁾	11			—			1			—		—			(12		)	—			—		—			—
Mortgage servicing rights⁽⁴⁾	220			—			(76		)	—		24			—			—			—		168			(76		)
Total assets	$	4,157		$	(330	)	$	(77	)	$	884	$	18		$	(1,022	)	$	25		$	35	$	3,690		$	(770	)
Liabilities:
Deposits in domestic offices	$	(2,867	)	$	(123	)	$	—		$	—	$	(806	)	$	346		$	(34	)	$	848	(2,636		)	$	(77	)
Long-term debt	(86		)	(13		)	—			—		(424		)	38			(7		)	63		(429		)	(15		)
Total liabilities	$	(2,953	)	$	(136	)	$	—		$	—	$	(1,230	)	$	384		$	(41	)	$	911	$	(3,065	)	$	(92	)



	Jan 1, 2011			Total Gains and (Losses) Included in⁽¹⁾						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Dec. 31 2011			Current Period Unrealized Gains (Losses)
	Jan 1, 2011			Trading Revenue (Loss)			Other Revenue			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Dec. 31 2011			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	793		$	(9	)	$	—		$	103	$	—		$	(184	)	$	—		$	—	$	703		$	(30	)
Corporate and other domestic debt securities	833			(20		)	—			871		—			(5		)	—			—		1,679			(22		)
Corporate debt securities issued by foreign entities	243			10			—			—		—			—			—			—		253			10
Equity securities	17			(1		)	—			—		—			(3		)	—			—		13			(1		)
Derivatives⁽²⁾:
Interest rate contracts	(1		)	—			11			—		—			(1		)	—			—		9			11
Foreign exchange contracts	(4		)	5			—			—		—			—			(2		)	—		(1		)	5
Equity contracts	12			(20		)	—			—		—			(196		)	33			88		(83		)	(60		)
Credit contracts	1,202			275			—			—		—			(186		)	—			62		1,353			374
Loans⁽³⁾	11			—			—			—		—			—			—			—		11			—
Mortgage servicing rights⁽⁴⁾	394			—			(213		)	—		39			—			—			—		220			(213		)
Total assets	$	3,500		$	240		$	(202	)	$	974	$	39		$	(575	)	$	31		$	150	$	4,157		$	74
Liabilities:
Deposits in domestic offices	$	(3,612	)	$	(172	)	$	—		$	—	$	(2,124	)	$	434		$	(135	)	$	2,742	(2,867		)	$	(18	)
Long-term debt	(301		)	96			—			—		(626		)	194			(3		)	554		(86		)	7
Total liabilities	$	(3,913	)	$	(76	)	$	—		$	—	$	(2,750	)	$	628		$	(138	)	$	3,296	$	(2,953	)	$	(11	)


⁽¹⁾	Includes realized and unrealized gains and losses.


⁽²⁾	Level 3 net derivatives included derivative assets of 1,365 million and derivative liabilities of $789 million as of December 31, 2012 and derivative assets of $2.5 billion and derivative liabilities of $1.2 billion as of December 31, 2011.


⁽³⁾	Includes Level 3 corporate lending activities risk-managed on a fair value basis for which we have elected the fair value option.


⁽⁴⁾	See Note 12, “Intangible Assets,” 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 December 31, 2012.



Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Collateralized debt obligations	466		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	-% - 6%
				Conditional default rates	4% - 14%
				Loss severity rates	50% - 100%
Corporate and other domestic debt securities	1,861		Discounted cash flows	Spread volatility on collateral assets	1.5% - 4.0%
				Correlation between insurance claim shortfall and collateral value	80%
Corporate and government debt securities issued by foreign entities	610		Discounted cash flows	Correlations of default among a portfolio of credit names of embedded credit derivatives	28.56% - 28.57%
Equity securities (investments in hedge funds)	9		Net asset value of hedge funds	Range of fair value adjustments to reflect restrictions on timing and amount of redemption and realization risks	30% - 100%
Interest rate derivative contracts	7		Market comparable adjusted for probability to fund	Probability to fund for rate lock commitments	8% - 100%
Foreign exchange derivative contracts⁽¹⁾	5		Option pricing model	Implied volatility of currency pairs	1.6% - 20.9%
Equity derivative contracts⁽¹⁾	(7	)	Option pricing model	Equity / Equity Index volatility	6% - 104%
				Equity / Equity and Equity / Index correlation	56% - 64%
Credit derivative contracts	571		Option pricing model	Correlation of defaults of a portfolio of reference credit names	32.04% - 45.31%
				Industry by industry correlation of defaults	44% - 67%
Mortgage servicing rights	168		Option adjusted discounted cash flows	Constant prepayment rates	8.5% - 44.8%
				Option adjusted spread	8.07% - 19.07%
				Estimated annualized costs to service	$98 - $263 per account
Deposits in domestic offices (structured deposits) ⁽¹⁾⁽²⁾	(2,636	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	1.6% - 20.9%
				Equity / Equity Index volatility	6% - 104%
				Equity / Equity and Equity / Index correlation	56% - 64%
Long-term debt (structured notes) ⁽¹⁾⁽²⁾	(429	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	1.6% - 20.9%
				Equity / Equity Index volatility	6% - 104%
				Equity / Equity and Equity / Index correlation	56% - 64%


⁽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 currency 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 December 31, 2012 and 2011. The gains (losses) in 2012 and 2011 are also included.



	Non-Recurring Fair Value Measurements as of December 31, 2012								Total Gains (Losses) For Year Ended Dec. 31 2012
	Level 1		Level 2		Level 3		Total		Total Gains (Losses) For Year Ended Dec. 31 2012
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	10	$	67	$	77	$	(6	)
Impaired loans⁽²⁾	—		—		155		155		(31		)
Real estate owned⁽³⁾	24		—		—		24		3
Total assets at fair value on a non-recurring basis	$	24	$	10	$	222	$	256	$	(34	)



	Non-Recurring Fair Value Measurements as of December 31, 2011								Total Gains (Losses) For Year Ended Dec. 31 2011
	Level 1		Level 2		Level 3		Total		Total Gains (Losses) For Year Ended Dec. 31 2011
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	10	$	198	$	208	$	(18	)
Impaired loans⁽²⁾	—		—		402		402		(80		)
Real estate owned⁽³⁾	—		22		—		22		(4		)
Impairment of certain previously capitalized software development costs⁽⁴⁾	—		—		—		—		(110		)
Building held for use	—		—		—		—		(5		)
Total assets at fair value on a non-recurring basis	$	—	$	32	$	600	$	632	$	(217	)

⁽¹⁾

As of December 31, 2012 and 2011, 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 impaired commercial loans. 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 commercial loans are classified as a Level 3 fair value measurement within the fair value hierarchy.


⁽³⁾	Real estate owned are 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.

⁽⁴⁾

Over the past few years, we have been building several new retail banking platforms as part of an initiative to build common platforms across HSBC. During 2011, we decided to cancel certain projects that were developing software for these new platforms and pursue alternative information technology platforms. Also during 2011, HSBC completed a comprehensive strategic review of all platforms under development which resulted in additional projects being canceled. As a result, we collectively recorded $110 million of impairment charges in 2011 relating to the impairment of certain previously capitalized software development costs which we determined were no longer realizable. The impairment charges were recorded in other expenses in our consolidated statement of income and is included in the results of our segments principally in RBWM and CMB.

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

The following table presents quantitative information about non-recurring fair value measurements of assets and liabilities classified with Level 3 of the fair value hierarchy as of December 31, 2012.



Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Residential mortgage loans held for sale	$	67	Valuation of third party appraisal on underlying collateral	Loss severity rates	-% - 100%
Impaired loans	155		Valuation of third party appraisal on underlying collateral	Loss severity rates	.6% - 78.9%

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

Additional information relating to asset-backed securities and collateralized debt obligations is presented in the following tables:

Trading asset-backed securities and related collateral:



		Prime				Alt-A				Subprime
Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Level 2		Level 3		Level 2		Level 3		Total
		(in millions)
AAA -A	Residential mortgages	$	—	$	—	$	88	$	—	$	72	$	—	$	160
	Student loans	—		—		—		—		58		—		58
CCC-Unrated	Residential mortgages	—		—		—		—		3		—		3
		$	—	$	—	$	88	$	—	$	133	$	—	$	221

Trading collateralized debt obligations and related collateral:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3
		(in millions)
BBB -B	Corporate loans	$	—	$	311
	Other	—		155
	Total BBB -B	—		466
		$	—	$	466

Available-for-sale securities backed by collateral:



		Commercial Mortgages				Prime				Alt-A				Subprime
Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Level 2		Level 3		Level 2		Level 3		Level 2		Level 3		Total
		(in millions)
AAA -A	Residential mortgages	$	214	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	214
	Home equity	—		—		—		—		110		—		—		—		110
	Other	—		—		—		—		84		—		—		—		84
	Total AAA -A	214		—		—		—		194		—		—		—		408
BBB -B	Home equity	—		—		—		—		82		—		—		—		82
CCC -Unrated	Residential mortgages	—		—		—		—		1		—		—		—		1
	Home equity	—		—		—		—		66		—		—		—		66
	Total CCC -Unrated	—		—		—		—		67		—		—		—		67
		$	214	$	—	$	—	$	—	$	343	$	—	$	—	$	—	$	557


⁽¹⁾	We utilize Standard & Poor's ("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.

•

Other domestic debt and foreign debt securities (corporate and government) - A significant portion of the domestic and foreign securities are classified as Level 3 measurements. For non-callable corporate securities, a credit spread scale is created for each issuer. These spreads are then added to the equivalent maturity U.S. Treasury yield to determine current pricing. Credit spreads are obtained from the new market, secondary trading levels and dealer quotes. For securities with early redemption features, an option adjusted spread (“OAS”) model is incorporated to adjust the spreads determined above. Additionally, we survey the broker/dealer community to obtain relevant trade data including benchmark quotes and updated spreads.


•	Equity securities – Except for those legacy investments in hedge funds, since most of our securities are transacted in active markets, fair value measurements are determined based on quoted prices for the identical security. For mutual fund investments, we receive monthly statements from the investment manager with the estimated fair value.

- Definition

Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

+ 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.

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