Fair Value Measurements

9 Months Ended

Sep. 30, 2020

7. FAIR VALUE MEASUREMENTS

The Fair Value Measurement Topic of the ASC establishes a framework for measuring fair value and disclosures about fair value measurements.

Fair Value Hierarchy:

The Fair Value Measurement Topic of the ASC specifies a fair value hierarchy based on whether the inputs to valuation techniques used to measure fair value are observable or unobservable. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect Company-based assumptions. The fair value hierarchy prioritizes model inputs into three broad levels as follows:


l	Level 1	Quoted prices for identical instruments in active markets. Assets and liabilities classified as Level 1 include US Treasury and other foreign government obligations traded in highly liquid and transparent markets, certain highly liquid pooled fund investments, exchange traded futures contracts, variable rate demand obligations and money market funds.

l	Level 2	Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets. Assets and liabilities classified as Level 2 generally include investments in fixed income securities representing municipal, asset-backed and corporate obligations, certain interest rate swap contracts and most long-term debt of variable interest entities consolidated under the Consolidation Topic of the ASC.

l	Level 3	Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. This hierarchy requires the use of observable market data when available. Assets and liabilities classified as Level 3 include credit derivative contracts, certain uncollateralized interest rate swap contracts, equity interests in Ambac sponsored special purpose entities and certain investments in fixed income securities. Additionally, Level 3 assets and liabilities generally include loan receivables, and certain long-term debt of variable interest entities consolidated under the Consolidation Topic of the ASC.

The Fair Value Measurement Topic of the ASC permits, as a practical expedient, the estimation of fair value of certain investments in funds using the net asset value per share of the investment or its equivalent (“NAV”). Investments in funds valued using NAV are not categorized as Level 1, 2 or 3 under the fair value hierarchy. The following table sets forth the carrying amount and fair value of Ambac’s financial assets and liabilities as of September 30, 2020 and December 31, 2019, including the level within the fair value hierarchy at which fair value measurements are categorized. As required by the Fair Value Measurement Topic of the ASC, financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.


	Carrying Amount		Total Fair Value		Fair Value Measurements Categorized as:
September 30, 2020:					Level 1		Level 2		Level 3
Financial assets:
Fixed income securities:
Municipal obligations	$	351	$	351	$	—	$	351	$	—
Corporate obligations	1,091		1,091		2		1,089		—
Foreign obligations	77		77		77		—		—
U.S. government obligations	122		122		122		—		—

Residential mortgage-backed securities	296		296		—		296		—

Collateralized debt obligations	73		73		—		73		—
Other asset-backed securities	300		300		—		225		75
Fixed income securities, pledged as collateral:

Short-term	152		152		152		—		—
Short term investments	586		586		509		77		—
Other investments (1)	502		488		62		—		35
Cash, cash equivalents and restricted cash	48		48		39		9		—
Derivative assets:

Interest rate swaps—asset position	95		95		—		9		86


Other assets - equity in sponsored VIE	2		2		—		—		2
Other assets-Loans	3		3		—		—		3
Variable interest entity assets:

Fixed income securities: Corporate obligations	3,029		3,029		—		—		3,029
Fixed income securities: Municipal obligations	131		131		—		131		—
Restricted cash	2		2		2		—		—
Loans	2,783		2,783		—		—		2,783

Derivative assets: Currency swaps-asset position	53		53		—		53		—
Total financial assets	$	9,696	$	9,682	$	965	$	2,312	$	6,013
Financial liabilities:

Long term debt, including accrued interest	$	3,236	$	3,056	$	—	$	2,679	$	377
Derivative liabilities:
Credit derivatives	1		1		—		—		1

Interest rate swaps—liability position	125		125		—		125		—


Liabilities for net financial guarantees written (2)	(744)		436		—		—		436
Variable interest entity liabilities:
Long-term debt (includes $4,002 at fair value)	4,169		4,179		—		4,026		153

Derivative liabilities: Interest rate swaps—liability position	1,771		1,771		—		1,771		—

Total financial liabilities	$	8,558	$	9,569	$	—	$	8,601	$	968


	Carrying Amount		Total Fair Value		Fair Value Measurements Categorized as:
December 31, 2019:					Level 1		Level 2		Level 3
Financial assets:
Fixed income securities:
Municipal obligations	$	215	$	215	$	—	$	215	$	—
Corporate obligations	1,430		1,430		—		1,430		—
Foreign obligations	44		44		44		—		—
U.S. government obligations	156		156		156		—		—

Residential mortgage-backed securities	248		248		—		248		—
Commercial mortgage-backed securities	50		50		—		50		—
Collateralized debt obligations	146		146		—		146		—
Other asset-backed securities	287		287		—		215		72
Fixed income securities, pledged as collateral:

Short-term	85		85		85		—		—
Short term investments	653		653		598		55		—
Other investments (1)	478		493		136		—		61
Cash and cash equivalents and restricted cash	79		79		70		9		—
Derivative assets:

Interest rate swaps—asset position	75		75		—		8		67


Other assets - equity in sponsored VIE	3		3		—		—		3
Other assets-loans	10		13		—		—		13
Variable interest entity assets:

Fixed income securities: Corporate obligations	2,957		2,957		—		—		2,957
Fixed income securities: Municipal obligations	164		164		—		164		—
Restricted cash	2		2		2		—		—
Loans	3,108		3,108		—		—		3,108

Derivative assets: Currency swaps—asset position	52		52		—		52		—
Total financial assets	$	10,242	$	10,260	$	1,091	$	2,593	$	6,281
Financial liabilities:
Long term debt, including accrued interest	$	3,262	$	3,274	$	—	$	2,829	$	445
Derivative liabilities:


Interest rate swaps—liability position	89		89		—		89		—


Liabilities for net financial guarantees written (2)	(863)		284		—		—		284
Variable interest entity liabilities:
Long-term debt (includes $4,351 at fair value)	4,554		4,567		—		4,408		159

Derivative liabilities: Interest rate swaps—liability position	1,657		1,657		—		1,657		—

Total financial liabilities	$	8,699	$	9,872	$	—	$	8,983	$	889

(1)Excluded from the fair value measurement categories in the table above are investment funds of $391 and $296 as of September 30, 2020 and December 31, 2019, respectively, which are measured using NAV as a practical expedient.

(2)The carrying value of net financial guarantees written includes the following balance sheet items: Premium receivables; Reinsurance recoverable on paid and unpaid losses; Deferred ceded premium; Subrogation recoverable; Insurance intangible asset; Unearned premiums; Loss and loss expense reserves; Ceded premiums payable, premiums taxes payable and other deferred fees recorded in Other liabilities.

Determination of Fair Value:

When available, Ambac uses quoted active market prices specific to the financial instrument to determine fair value, and classifies such items within Level 1. The determination of fair value for financial instruments categorized in Level 2 or 3 involves judgment due to the complexity of factors contributing to the valuation. Third-party sources from which we obtain independent market quotes also use assumptions, judgments and estimates in determining financial instrument values and different third parties may use different methodologies or provide different values for financial instruments. In addition, the use of internal valuation models may require assumptions about hypothetical or inactive markets. As a result of these factors, the actual trade value of a financial instrument in the market, or exit value of a financial instrument position by Ambac, may be significantly different from its recorded fair value.

Ambac’s financial instruments carried at fair value are mainly comprised of investments in fixed income securities, equity interests in pooled investment funds, derivative instruments, certain variable interest entity assets and liabilities and interests in Ambac sponsored special purpose entities. Valuation of financial instruments is performed by Ambac’s finance group using methods approved by senior financial management with consultation from risk management and portfolio managers as appropriate. Preliminary valuation results are discussed with portfolio managers quarterly to assess consistency with market transactions and trends as applicable. Market transactions such as trades or negotiated settlements of similar positions, if any, are reviewed to validate fair value model results. However, many of the financial instruments valued using significant unobservable inputs have very little or no observable market activity. Methods and significant inputs and assumptions used to determine fair values across portfolios are reviewed quarterly by senior financial management. Other valuation control procedures specific to particular portfolios are described further below.

Fixed Income Securities:

The fair values of fixed income investment securities are based primarily on market prices received from broker quotes or alternative pricing sources. Because many fixed income securities do not trade on a daily basis, pricing sources apply available market information through processes such as matrix pricing to calculate fair value. Such prices generally consider a variety of factors, including recent trades of the same and similar securities. In those cases, the items are classified within Level 2. For those fixed income investments where quotes were not available or cannot be reasonably corroborated, fair values are based on internal valuation models. Key inputs to the internal valuation models generally include maturity date, coupon and yield curves for asset-type and credit rating characteristics that closely match those characteristics of the specific investment securities being valued. Items valued using valuation models are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified in Level 3 even though there may be significant inputs that are readily observable. Longer (shorter) expected maturities or higher (lower) yields used in the valuation model will, in isolation, result in decreases (increases) in fair value. Generally, lower credit ratings or longer expected maturities will be

accompanied by higher yields used to value a security. At September 30, 2020, approximately 4%, 94% and 2% of the fixed income investment portfolio (excluding variable interest entity investments) was valued using broker quotes, alternative pricing sources and internal valuation models, respectively. At December 31, 2019, approximately 4%, 94% and 2% of the fixed income investment portfolio (excluding variable interest entity investments) was valued using broker quotes, alternative pricing sources and internal valuation models, respectively.

Ambac performs various review and validation procedures to quoted and modeled prices for fixed income securities, including price variance analyses, missing and static price reviews, overall valuation analysis by portfolio managers and finance managers and reviews associated with our ongoing impairment analysis. Unusual prices identified through these procedures will be evaluated further against alternative third party quotes (if available), internally modeled prices and/or other relevant data, and the pricing source values will be challenged as necessary. Price challenges generally result in the use of the pricing source’s quote as originally provided or as revised by the source following their internal diligence process. A price challenge may result in a determination by either the pricing source or Ambac management that the pricing source cannot provide a reasonable value for a security or cannot adequately support a quote, in which case Ambac would resort to using either other quotes or internal models. Results of price challenges are reviewed by portfolio managers and finance managers.

Information about the valuation inputs for fixed income securities classified as Level 3 is included below:

Other asset-backed securities: This security is a subordinated tranche of a re-securitization collateralized by Ambac-insured military housing bonds. The fair value classified as Level 3 was $75 and $72 at September 30, 2020 and December 31, 2019, respectively. Fair value was calculated using a discounted cash flow approach with expected future cash flows discounted using a yield consistent with the security type and rating. Significant inputs for the valuation at September 30, 2020 and December 31, 2019 include the following:


September 30, 2020:
a. Coupon rate:			5.98%
b. Average Life:			15.01 years
c. Yield:			11.00%

December 31, 2019:
a. Coupon rate:			5.97%
b. Average Life:			15.58 years
c. Yield:			11.75%

Other Investments:

Other investments primarily relate to investments in pooled investment funds. The fair value of pooled investment funds is determined using dealer quotes or alternative pricing sources when such investments have readily determinable fair values. When fair value is not readily determinable, pooled investment

funds are valued using NAV as a practical expedient as permitted under the Fair Value Measurement Topic of the ASC. Refer to Note 8. Investments for additional information about such investments in pooled funds that are reported at fair value using NAV as a practical expedient.

Other investments also includes Ambac's equity interest in a non-consolidated VIE created in connection with Ambac's monetization of Ambac Assurance junior surplus notes. This equity interest is carried under the equity method. Fair value for the non-consolidated VIE equity interest is internally calculated using a market approach and is classified as Level 3.

Derivative Instruments:

Ambac’s derivative instruments primarily comprise interest rate swaps, credit default swaps and exchange traded futures contracts. Fair value is determined based upon market quotes from independent sources, when available. When independent quotes are not available, fair value is determined using valuation models. These valuation models require market-driven inputs, including contractual terms, credit spreads and ratings on underlying referenced obligations, yield curves and tax-exempt interest ratios. The valuation of certain derivative contracts also require the use of data inputs and assumptions that are determined by management and are not readily observable in the market. Under the Fair Value Measurement Topic of the ASC, Ambac is required to consider its own credit risk when measuring the fair value of derivatives and other liabilities. Factors considered in estimating the amount of any Ambac credit valuation adjustment ("CVA") on such contracts include collateral posting provisions, right of set-off with the counterparty, the period of time remaining on the derivative and the pricing of recent terminations. The fair value of credit derivative liabilities was reduced by less than a million dollars at September 30, 2020 and December 31, 2019, respectively, as a result of incorporating an Ambac CVA into the valuation model for these contracts. Interest rate swap liabilities are collateralized and are not adjusted with an Ambac CVA at September 30, 2020 and December 31, 2019.

Interest rate swaps that are not centrally cleared are valued using vendor-developed models that incorporate interest rates and yield curves that are observable and regularly quoted. These models provide the net present value of the derivatives based on contractual terms and observable market data. Generally, the need for counterparty (or Ambac) CVAs on interest rate derivatives is mitigated by the existence of collateral posting agreements under which adequate collateral has been posted. Certain of these derivative contracts entered into with financial guarantee customers are not subject to collateral posting agreements. Counterparty credit risk related to such customer derivative assets is included in our determination of their fair value.

Ambac's credit derivatives ("CDS") are valued using an internal model that uses traditional financial guarantee CDS pricing to calculate the fair value of the derivative contract based on the reference obligation's current pricing, remaining life and credit rating and Ambac's own credit risk. The model calculates the difference between the present value of the projected fees receivable under the CDS and our estimate of the fees a financial guarantor of comparable credit quality would charge to provide the same protection at the balance sheet date. Unobservable

inputs used include Ambac's internal reference obligation credit ratings and expected life, estimates of fees that would be charged to assume the credit derivative obligation and Ambac's CVA. Ambac is party to only one remaining credit derivative with internal credit rating of AA at September 30, 2020. Ambac has not made any significant changes to its modeling techniques or related model inputs for the periods presented.

Financial Guarantees:

Fair value of net financial guarantees written represents our estimate of the cost to Ambac to completely transfer its insurance obligation to another market participant of comparable credit worthiness. In theory, this amount should be the same amount that another market participant of comparable credit worthiness would hypothetically charge in the market place, on a present value basis, to provide the same protection as of the balance sheet date. This fair value estimate of financial guarantees is presented on a net basis and includes direct and assumed contracts written, net of ceded reinsurance contracts.

Long-term Debt:

Long-term debt includes Ambac Assurance surplus notes and junior surplus notes, the Ambac Note and Tier 2 Notes issued in connection with the Rehabilitation Exit Transactions and the Ambac UK debt issued in connection with the Ballantyne commutation. The fair values of surplus notes, the Ambac Note and Tier 2 Notes are classified as Level 2. The fair value of junior surplus notes and Ambac UK debt are classified as Level 3.

Other Financial Assets and Liabilities:

Included in Other assets are Loans and Ambac’s equity interest in an Ambac sponsored VIE established to provide certain financial guarantee clients with funding for their debt obligations. The fair values of these financial assets are estimated based upon internal valuation models and are classified as Level 3.

Variable Interest Entity Assets and Liabilities:

The financial assets and liabilities of FG VIEs consolidated under the Consolidation Topic of the ASC consist primarily of fixed income securities and loans held by the VIEs, derivative instruments and notes issued by the VIEs which are reported as long-term debt. As described in Note 3. Variable Interest Entities, these FG VIEs are securitization entities which have liabilities and/or assets guaranteed by Ambac Assurance or Ambac UK.

The fair values of FG VIE long-term debt are based on price quotes received from independent market sources when available. Such quotes are considered Level 2 and generally consider a variety of factors, including recent trades of the same and similar securities. For those instruments where quotes were not available or cannot be reasonably corroborated, fair values are based on internal valuation models. Comparable to the sensitivities of investments in fixed income securities described above, longer (shorter) expected maturities or higher (lower) yields used in the valuation model will, in isolation, result in decreases (increases) in fair value liability measurement for FG VIE long-term debt.

FG VIE derivative asset and liability fair values are determined using vendor-developed valuation models, which incorporate

observable market data related to specific derivative contractual terms including interest rates, foreign exchange rates and yield curves.

The fair value of FG VIE fixed income securities and loan assets are based on Level 2 market price quotes received from independent market sources when available. Typically, FG VIE asset fair values are not readily available from market quotes and are estimated internally. Internal valuation of each FG VIE’s fixed income securities or loan assets are derived from the fair values of the notes issued by the respective VIE and the VIE’s derivatives, determined as described above, adjusted for the fair values of Ambac’s financial guarantees associated with the VIE. The fair value of financial guarantees consist of: (i) estimated future premium cash flows discounted at a rate consistent with that implicit in the fair value of the VIE’s liabilities and (ii) estimates of future claim payments discounted at a rate that includes Ambac’s own credit risk. Estimated future premium payments to be paid by the VIEs were discounted at a par-weighted average rate of 3.3% and 2.7% at September 30, 2020 and December 31, 2019, respectively. At September 30, 2020, the range of these discount rates was between 2.1% and 5.5%.

Additional Fair Value Information for Financial Assets and Liabilities Accounted for at Fair Value:

The following tables present the changes in the Level 3 fair value category for the periods presented in 2020 and 2019. Ambac classifies financial instruments in Level 3 of the fair value hierarchy when there is reliance on at least one significant unobservable input to the valuation model. In addition to these unobservable inputs, the valuation models for Level 3 financial instruments typically also rely on a number of inputs that are readily observable either directly or indirectly. Thus, the gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.


Level 3 - Financial Assets and Liabilities Accounted for at Fair Value
							VIE Assets and Liabilities
	Investments		Other Assets(1)		Derivatives		Investments		Loans		Long-term Debt		Total
Three Months Ended September 30, 2020:
Balance, beginning of period	$	66	$	2	$	86	$	2,907	$	2,787	$	—	$	5,848

Total gains/(losses) realized and unrealized:
Included in earnings	—		—		1		1		(43)		—		(40)
Included in other comprehensive income	9		—		—		121		116		—		246
Purchases	—		—		—		—		—		—		—
Issuances	—		—		—		—		—		—		—
Sales	—		—		—		—		—		—		—
Settlements	—		—		(2)		—		(78)		—		(80)



Balance, end of period	$	75	$	2	$	85	$	3,029	$	2,783	$	—	$	5,974
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	—	$	—	$	1	$	1	$	(43)	$	—	$	(41)
The amount of total gains/(losses) included in other comprehensive income attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	9	$	—	$	—	$	121	$	116	$	—	$	246

Three Months Ended September 30, 2019:
Balance, beginning of period	$	74	$	4	$	62	$	2,882	$	4,289	$	(231)	$	7,080

Total gains/(losses) realized and unrealized:
Included in earnings	1		—		12		206		127		—		345
Included in other comprehensive income	5		—		—		(92)		(133)		7		(213)
Purchases	—		—		—		—		—		—		—
Issuances	—		—		—		—		—		—		—
Sales	—		—		—		—		—		—		—
Settlements	—		—		(1)		—		(466)		—		(467)


Deconsolidation of VIEs	—		—		—		—		(851)		223		(627)
Balance, end of period	$	79	$	3	$	73	$	2,996	$	2,966	$	—	$	6,117
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	—	$	—	$	12	$	206	$	115	$	—	$	332

(1) Other assets carried at fair value and classified as Level 3 relate to an equity interest in an Ambac sponsored VIE.



Level 3 - Financial Assets and Liabilities Accounted for at Fair Value
							VIE Assets and Liabilities
	Investments		Other Assets		Derivatives		Investments		Loans		Long-term Debt		Total
Nine Months Ended September 30, 2020:
Balance, beginning of period	$	72	$	3	$	66	$	2,957	$	3,108	$	—	$	6,207

Total gains/(losses) realized and unrealized:
Included in earnings	1		(1)		24		160		(22)		—		161
Included in other comprehensive income	3		—		—		(71)		(85)		—		(152)
Purchases	—		—		—		—		—		—		—
Issuances	—		—		—		—		—		—		—
Sales	—		—		—		—		—		—		—
Settlements	(1)		—		(5)		(17)		(219)		—		(242)



Balance, end of period	$	75	$	2	$	85	$	3,029	$	2,783	$	—	$	5,974
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	—	$	(1)	$	23	$	160	$	(22)	$	—	$	160
The amount of total gains/(losses) included in other comprehensive income attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	3	$	—	$	—	$	(71)	$	(85)	$	—	$	(152)

Nine Months Ended September 30, 2019:
Balance, beginning of period	$	72	$	5	$	46	$	2,737	$	4,288	$	(217)	$	6,930

Total gains/(losses) realized and unrealized:
Included in earnings	1		(1)		30		382		301		(15)		698
Included in other comprehensive income	7		—		—		(106)		(151)		8		(241)
Purchases	—		—		—		—		—		—		—
Issuances	—		—		—		—		—		—		—
Sales	—		—		—		—		—		—		—
Settlements	(1)		—		(3)		(17)		(621)		—		(643)


Deconsolidation of VIEs	—		—		—		—		(851)		223		(627)
Balance, end of period	$	79	$	3	$	73	$	2,996	$	2,966	$	—	$	6,117
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	—	$	(1)	$	30	$	382	$	229	$	—	$	639

The tables below provide roll-forward information by class of derivatives measured using significant unobservable inputs.


Level 3 - Derivatives by Class
	Three Months Ended September 30, 2020						Three Months Ended September 30, 2019
	Interest Rate Swaps		Credit Derivatives		Total Derivatives		Interest Rate Swaps		Credit Derivatives		Total Derivatives
Balance, beginning of period	$	87	$	(1)	$	86	$	63	$	(1)	$	62

Total gains/(losses) realized and unrealized:
Included in earnings	1		—		1		11		1		12
Included in other comprehensive income	—		—		—		—		—		—
Purchases	—		—		—		—		—		—
Issuances	—		—		—		—		—		—
Sales	—		—		—		—		—		—
Settlements	(2)		—		(2)		(1)		—		(1)



Balance, end of period	$	86	$	(1)	$	85	$	73	$	—	$	73
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	1	$	—	$	1	$	11	$	—	$	12



Level 3 - Derivatives by Class
	Nine Months Ended September 30, 2020						Nine Months Ended September 30, 2019
	Interest Rate Swaps		Credit Derivatives		Total Derivatives		Interest Rate Swaps		Credit Derivatives		Total Derivatives
Balance, beginning of period	$	67	$	—	$	66	$	47	$	(1)	$	46

Total gains/(losses) realized and unrealized:
Included in earnings	24		(1)		24		29		1		30
Included in other comprehensive income	—		—		—		—		—		—
Purchases	—		—		—		—		—		—
Issuances	—		—		—		—		—		—
Sales	—		—		—		—		—		—
Settlements	(5)		—		(5)		(3)		—		(3)



Balance, end of period	$	86	$	(1)	$	85	$	73	$	—	$	73
The amount of total gains/(losses) included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at the reporting date	$	24	$	(1)	$	23	$	29	$	1	$	30

Invested assets and VIE long-term debt are transferred into Level 3 when internal valuation models that include significant unobservable inputs are used to estimate fair value. All such securities that have internally modeled fair values have been

classified as Level 3. Derivative instruments are transferred into Level 3 when the use of unobservable inputs becomes significant to the overall valuation. There were no transfers of financial instruments into or out of Level 3 in the periods disclosed.

Gains and losses (realized and unrealized) relating to Level 3 assets and liabilities included in earnings for the affected periods are reported as follows:


	Net Investment Income		Net Gains (Losses) on Derivative Contracts		Income (Loss) on Variable Interest Entities		Other Income or (Loss)
Three Months Ended September 30, 2020:
Total gains or losses included in earnings for the period	$	—	$	1	$	(41)	$	—
Changes in unrealized gains or losses included in earnings relating to the assets and liabilities still held at the reporting date	—		1		(41)		—

Three Months Ended September 30, 2019:
Total gains or losses included in earnings for the period	$	1	$	12	$	333	$	—
Changes in unrealized gains or losses included in earnings relating to the assets and liabilities still held at the reporting date	—		12		321		—

Nine Months Ended September 30, 2020:
Total gains or losses included in earnings for the period	$	1	$	24	$	137	$	(1)
Changes in unrealized gains or losses included in earnings relating to the assets and liabilities still held at the reporting date	—		23		137		(1)

Nine Months Ended September 30, 2019:
Total gains or losses included in earnings for the period	1		30		668		(1)
Changes in unrealized gains or losses included in earnings relating to the assets and liabilities still held at the reporting date	—		30		611		(1)

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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