Fair Value Disclosures (Tables)

3 Months Ended

Mar. 31, 2016

Schedule Of Assets And Liabilities Measured On Recurring Basis At Fair Value

The following is a summary of our financial instruments and trading liabilities that are accounted for at fair value on a recurring basis, excluding Investments at fair value based on net asset value ("NAV") of $32.8 million and $36.7 million, respectively, by level within the fair value hierarchy at March 31, 2016 and December 31, 2015 (in thousands):



	March 31, 2016
	Level 1 (1)		Level 2 (1)		Level 3		Counterparty and Cash Collateral Netting (2)			Total
Assets:
Trading assets, at fair value:
Corporate equity securities	$	2,432,334	$	140,168	$	30,540	$	—		$	2,603,042
Corporate debt securities	—		2,516,929		25,634		—			2,542,563
Collateralized debt obligations	—		61,290		67,348		—			128,638
U.S. government and federal agency securities	1,018,909		310,273		—		—			1,329,182
Municipal securities	—		609,169		—		—			609,169
Sovereign obligations	1,490,358		799,541		119		—			2,290,018
Residential mortgage-backed securities	—		2,243,865		68,019		—			2,311,884
Commercial mortgage-backed securities	—		816,047		21,994		—			838,041
Other asset-backed securities	—		263,877		33,124		—			297,001
Loans and other receivables	—		820,132		155,442		—			975,574
Derivatives	938		6,173,287		22,975		(5,850,803		)	346,397
Investments at fair value	—		54		275,389		—			275,443
Investment in FXCM	—		—		564,800		—			564,800
Total trading assets, excluding Investments at fair value based on NAV	$	4,942,539	$	14,754,632	$	1,265,384	$	(5,850,803	)	$	15,111,752

Available for sale securities:
Corporate equity securities	$	72,000	$	—	$	—	$	—		$	72,000
Corporate debt securities	—		4,539		—		—			4,539
U.S. government securities	302,428		—		—		—			302,428
Residential mortgage-backed securities	—		9,866		—		—			9,866
Commercial mortgage-backed securities	—		2,126		—		—			2,126
Other asset-backed securities	—		7,897		—		—			7,897
Total available for sale securities	$	374,428	$	24,428	$	—	$	—		$	398,856
Cash and cash equivalents	$	2,604,066	$	—	$	—	$	—		$	2,604,066
Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations (3)	$	679,812	$	—	$	—	$	—		$	679,812

Liabilities:
Trading liabilities:
Corporate equity securities	$	1,637,749	$	75,166	$	38	$	—		$	1,712,953
Corporate debt securities	—		1,877,856		—		—			1,877,856
U.S. government and federal agency securities	1,299,982		—		—		—			1,299,982
Sovereign obligations	1,131,337		710,989		—		—			1,842,326
Residential mortgage-backed securities	—		20,585		—		—			20,585
Loans	—		432,782		7,744		—			440,526
Derivatives	302		6,192,855		34,732		(5,879,190		)	348,699
Total trading liabilities	$	4,069,370	$	9,310,233	$	42,514	$	(5,879,190	)	$	7,542,927
Other secured financings	$	—	$	—	$	538	$	—		$	538
Debt-structured notes	$	—	$	37,118	$	—	$	—		$	37,118



	December 31, 2015
	Level 1 (1)		Level 2 (1)		Level 3		Counterparty and Cash Collateral Netting (2)			Total
Assets:
Trading assets, at fair value:
Corporate equity securities	$	2,803,243	$	133,732	$	40,906	$	—		$	2,977,881
Corporate debt securities	—		2,867,165		25,876		—			2,893,041
Collateralized debt obligations	—		89,144		85,092		—			174,236
U.S. government and federal agency securities	2,555,018		90,633		—		—			2,645,651
Municipal securities	—		487,141		—		—			487,141
Sovereign obligations	1,251,366		1,407,955		120		—			2,659,441
Residential mortgage-backed securities	—		2,731,070		70,263		—			2,801,333
Commercial mortgage-backed securities	—		1,014,913		14,326		—			1,029,239
Other asset-backed securities	—		118,629		42,925		—			161,554
Loans and other receivables	—		1,123,044		189,289		—			1,312,333
Derivatives	2,253		4,406,207		19,785		(4,165,446		)	262,799
Investments at fair value	—		26,224		199,794		—			226,018
Investment in FXCM	—		—		625,689		—			625,689
Total trading assets, excluding Investments at fair value based on NAV	$	6,611,880	$	14,495,857	$	1,314,065	$	(4,165,446	)	$	18,256,356

Available for sale securities:
Corporate equity securities	$	73,579	$	—	$	—	$	—		$	73,579
Corporate debt securities	—		4,744		—		—			4,744
U.S. government securities	63,945		—		—		—			63,945
Residential mortgage-backed securities	—		23,240		—		—			23,240
Commercial mortgage-backed securities	—		2,374		—		—			2,374
Other asset-backed securities	—		39,473		—		—			39,473
Total available for sale securities	$	137,524	$	69,831	$	—	$	—		$	207,355
Cash and cash equivalents	$	3,638,648	$	—	$	—	$	—		$	3,638,648
Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations	$	751,084	$	—	$	—	$	—		$	751,084

Liabilities:
Trading liabilities:
Corporate equity securities	$	1,428,048	$	36,518	$	38	$	—		$	1,464,604
Corporate debt securities	—		1,556,941		—		—			1,556,941
Collateralized debt obligations	1,488,121		—		—		—			1,488,121
U.S. government and federal agency securities	837,614		505,382		—		—			1,342,996
Sovereign obligations	—		117		—		—			117
Loans	—		758,939		10,469		—			769,408
Derivatives	364		4,456,334		19,543		(4,257,998		)	218,243
Total trading liabilities	$	3,754,147	$	7,314,231	$	30,050	$	(4,257,998	)	$	6,840,430
Other secured financings	$	—	$	—	$	544	$	—		$	544


(1)	There were no material transfers between Level 1 and Level 2 during the three months ended March 31, 2016 and during the year ended December 31, 2015.


(2)	Represents counterparty and cash collateral netting across the levels of the fair value hierarchy for positions with the same counterparty.


(3)	Cash and securities segregated and on deposit for regulatory purposes or deposited with clearing and depository organizations includes U.S. treasury securities with a fair value of $99.9 million at March 31, 2016.

Investments Measured At Fair Value Based On Net Asset Value

The following tables present information about our investments in entities that have the characteristics of an investment company and are measured based on NAV (in thousands).



	Fair Value (1)		Unfunded Commitments		Redemption Frequency (if currently eligible)
March 31, 2016
Equity Long/Short Hedge Funds (2)	$	424,516	$	—	(2)
Fixed Income and High Yield Hedge Funds (3)	1,321		—		—
Fund of Funds (4)	279		—		—
Equity Funds (5)	39,496		20,512		—
Multi-strategy Fund (7)	114,040		—		—
Total	$	579,652	$	20,512


December 31, 2015
Equity Long/Short Hedge Funds (2)	$	482,570	$	—	(2)
Fixed Income and High Yield Hedge Funds (3)	1,703		—		—
Fund of Funds (4)	287		94		—
Equity Funds (5)	42,111		20,791		—
Convertible Bond Funds (6)	326		—		At Will
Multi-strategy Fund (7)	113,458		—		—
Total	$	640,455	$	20,885


(1)	Where fair value is calculated based on NAV, fair value has been derived from each of the funds' capital statements.

(2)

This category includes investments in hedge funds that invest, long and short, in primarily equity securities in domestic and international markets in both the public and private sectors. At March 31, 2016 and December 31, 2015, investments with a fair value of $97.5 million and $107.1 million are redeemable with 30 to 90 days prior written notice, and includes an investment in a private asset management fund managed by us with a fair value of $54.4 million and $52.4 million at March 31, 2016 and December 31, 2015, respectively. At March 31, 2016 and December 31, 2015, this category also includes investments in Folger Hill feeder funds that invest solely in a Folger Hill master fund that makes long/short equity investments, with broad industry and geographic diversification. Investment in these funds is subject to a lock-up until August 15, 2019, subject to certain release events and other withdrawal rights. Following this date, investments can be redeemed as of any calendar quarter-end with no less than 45 calendar days’ notice, subject to certain limitations. At March 31, 2016 and December 31, 2015, our investments in these funds had an aggregate fair value of $327.0 million and $375.5 million, respectively.

(3)

Includes investments in funds that invest in loans secured by a first trust deed on property, domestic and international public high yield debt, private high yield investments, senior bank loans, public leveraged equities, distressed debt, and private equity investments. There are no redemption provisions. At March 31, 2016 and December 31, 2015, the underlying assets of 7% and 8%, respectively, of these funds are being liquidated and we are unable to estimate when the underlying assets will be fully liquidated.

(4)

Includes investments in fund of funds that invest in various private equity funds. At March 31, 2016 and December 31, 2015, approximately 69% and 95%, respectively, of the fair value of investments in this category is managed by us and has no redemption provisions; instead distributions are received through the liquidation of the underlying assets of the fund of funds, which are estimated to start liquidating in the next nine months. For the remaining investments, we have requested redemption; however, we are unable to estimate when these funds will be received.

(5)

At March 31, 2016 and December 31, 2015, approximately 99% and 100%, respectively, of the fair value of investments in this category include investments in equity funds that invest in the equity of various U.S. and foreign private companies in the energy, technology, internet service and telecommunication service industries. These investments cannot be redeemed; instead distributions are received through the liquidation of the underlying assets of the funds which are expected to liquidate in one to eight years.


(6)	Investment in the Jefferies Umbrella Fund, an open-ended investment company managed by Jefferies that invested primarily in convertible bonds. The remaining investments were in liquidation at December 31, 2015 and the underlying assets were fully liquidated during the three months ended March 31, 2016.

(7)

Investment in private asset management fund managed by us that employs a variety of investment strategies and can invest in U.S. and non-U.S. equity and equity related securities, futures, exchange traded funds, fixed income securities, preferred securities, options, forward contracts and swaps. Withdrawals during any calendar quarter are limited to 25% of the fund’s net asset value. This restriction can be waived by us, in our sole discretion.

Summary Of Changes In Fair Value Of Financial Assets And Liabilities Classified As Level 3

The following is a summary of changes in fair value of our financial assets and liabilities that have been categorized within Level 3 of the fair value hierarchy for the three months ended March 31, 2015 (in thousands):



Three Months Ended March 31, 2015
	Balance, December 31, 2014			Total gains (losses) (realized and unrealized) (1)			Purchases			Sales			Settlements			Issuances		Net transfers into (out of) Level 3			Balance, March 31, 2015		Changes in unrealized gains (losses) relating to instruments still held at March 31, 2015 (1)
Assets:
Trading assets:
Corporate equity securities	$	20,964		$	63		$	—		$	(168	)	$	—		$	—	$	(2,649	)	$	18,210	$	243
Corporate debt securities	22,766			(311		)	469			(533		)	—			—		2,404			24,795		43
Collateralized debt obligations	124,650			(17,642		)	—			(13,519		)	(1,296		)	—		4,644			96,837		(17,506		)
Sovereign obligations	—			13			—			(1		)	—			—		321			333		12
Residential mortgage-backed securities	82,557			(2,863		)	2,100			(1,375		)	(23		)	—		(443		)	79,953		783
Commercial mortgage-backed securities	26,655			(531		)	—			(382		)	(6,864		)	—		5,751			24,629		(1,369		)
Other asset-backed securities	2,294			(167		)	26			(1		)	—			—		4,994			7,146		(167		)
Loans and other receivables	97,258			(5,033		)	40,019			(16,122		)	(15,448		)	—		10,736			111,410		(3,262		)
Investments at fair value	77,047			566			5,010			(184		)	(277		)	—		69,203			151,365		572
Investment in FXCM	—			686,627			279,000			—			(18,627		)	—		—			947,000		686,627
Liabilities:
Trading liabilities:
Corporate equity securities	$	38		$	—		$	—		$	—		$	—		$	—	$	—		$	38	$	—
Corporate debt securities	223			(115		)	(6,683		)	6,698			—			—		(123		)	—		—
Net derivatives (2)	(4,638		)	6,938			—			—			(58		)	1,072		—			3,314		(8,771		)
Loans	14,450			(39		)	(2,877		)	825			—			—		(3,032		)	9,327		39
Other secured financings	30,825			—			—			—			(2,218		)	36,995		—			65,602		—


(1)	Realized and unrealized gains (losses) are reported in Principal transactions in the Consolidated Statements of Operations.


(2)	Net derivatives represent Trading assets - Derivatives and Trading liabilities - Derivatives.



Three Months Ended March 31, 2016
	Balance, December 31, 2015			Total gains (losses) (realized and unrealized) (1)			Purchases			Sales			Settlements			Issuances		Net transfers into (out of) Level 3			Balance at March 31, 2016		Changes in unrealized gains (losses) relating to instruments still held at March 31, 2016(1)
Assets:
Trading assets:
Corporate equity securities	$	40,906		$	3,071		$	2,087		$	—		$	—		$	—	$	(15,524	)	$	30,540	$	3,560
Corporate debt securities	25,876			(2,602		)	15,337			(15,129		)	(111		)	—		2,263			25,634		(2,540		)
Collateralized debt obligations	85,092			(16,573		)	1,021			(20,178		)	(463		)	—		18,449			67,348		(17,003		)
Sovereign obligations	120			(1		)	—			—			—			—		—			119		(1		)
Residential mortgage-backed securities	70,263			(4,548		)	62,844			(64,926		)	(114		)	—		4,500			68,019		(3,358		)
Commercial mortgage-backed securities	14,326			(971		)	2,962			—			(878		)	—		6,555			21,994		(1,387		)
Other asset-backed securities	42,925			1,662			15,425			(2,100		)	(1		)	—		(24,787		)	33,124		1,679
Loans and other receivables	189,289			(5,772		)	181,264			(114,667		)	(95,354		)	—		682			155,442		(9,113		)
Investments at fair value	199,794			48,618			1,187			—			(273		)	—		26,063			275,389		48,618
Investment in FXCM	625,689			(53,203		)	—			—			(7,686		)	—		—			564,800		(53,203		)

Liabilities:
Trading liabilities:
Corporate equity securities	$	38		$	—		$	—		$	—		$	—		$	—	$	—		$	38	$	—
Net derivatives (2)	(242		)	10,304			—			—			2,558			554		(1,417		)	11,757		(8,135		)
Loans	10,469			(345		)	(2,240		)	1,033			(1,077		)	—		(96		)	7,744		345
Other secured financings	544			(6		)	—			—			—			—		—			538		—


(1)	Realized and unrealized gains (losses) are reported in Principal transactions in the Consolidated Statements of Operations.


(2)	Net derivatives represent Trading assets - Derivatives and Trading liabilities - Derivatives.

Quantitative Information About Significant Unobservable Inputs Used In Level 3 Fair Value Measurements



March 31, 2016
Financial Instruments Owned	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input/Range	Weighted Average
Corporate equity securities	$	27,079
Non-exchange traded securities			Market approach	EBITDA (a) multiple	15.2	—
				Underlying stock price	$1.00 to $102	$	15.2

Corporate debt securities	$	21,487	Convertible bond model	Discount rate/yield	13%	—
				Volatility	40%	—
			Comparable pricing	Comparable bond price	$39	—

Collateralized debt obligations	$	38,604	Discounted cash flows	Constant prepayment rate	10% to 20%	19		%
				Constant default rate	2% to 10%	3		%
				Loss severity	25% to 70%	31		%
				Yield	5% to 20%	13		%

Residential mortgage-backed securities	$	68,019	Discounted cash flows	Constant prepayment rate	0% to 50%	12		%
				Constant default rate	1% to 9%	1		%
				Loss severity	25% to 70%	30		%
				Yield	2% to 11%	6		%

Commercial mortgage-backed securities	$	21,994	Discounted cash flows	Yield	8% to 29%	14		%
				Cumulative loss rate	2% to 69%	16		%

Other asset-backed securities	$	27,298	Discounted cash flows	Constant prepayment rate	0% to 20%	15		%
				Constant default rate	0% to 15%	11		%
				Loss severity	0% to 100%	83		%
				Yield	4% to 24%	19		%

Loans and other receivables	$	120,475	Comparable pricing	Comparable loan price	$100	—
			Market approach	Discount rate/yield	2% to 51%	21		%
				Transaction level	$81	—
			Scenario analysis	Estimated recovery percentage	6% to 100%	76		%

Derivatives	$	22,975
Commodity forwards			Market approach	Discount rate/yield	60%	—
				Transaction level	$6,500,000	—
Unfunded commitment			Comparable pricing	Comparable loan price	$100	—
Credit default swaps			Market approach	Credit spread	292 bps	—
Interest rate swaps			Market approach	Credit spread	667 bps to 800 bps	718 bps
Total return swaps			Comparable pricing	Comparable loan price	$90	—

Investments at fair value
Private equity securities	$	35,455	Market approach	EBITDA (a) multiple	8.4	—
				Transaction level	$0 to $74	$	55.0
				Enterprise value	$5,200,000	—
				Discount rate	15% to 30%	23		%

Investment in FXCM
Term loan	$	218,300	Discounted cash flows	Term based on the pay off	0 months to 1.25 years	0.9 years
Rights	346,500		Option pricing model	Volatility	100%	—
	$	564,800

Trading Liabilities	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input/Range	Weighted Average
Derivatives	$	34,732
Equity options			Option model	Volatility	45%	—
			Default rate	Default probability	0%	—
Unfunded commitments			Comparable pricing	Comparable loan price	$100	—
			Market approach	Discount rate/yield	3% to 35%	26		%
Variable funding note swaps			Discounted cash flows	Constant prepayment rate	20%	—
				Constant default rate	2%	—
				Loss severity	25%	—
				Yield	14%	—
Foreign exchange forwards			Market approach	Credit spread	500 bps	—
Total return swaps			Comparable pricing	Comparable loan price	$90	—

Loans	$	7,744	Comparable pricing	Comparable loan price	$100	—



December 31, 2015
Financial Instruments Owned	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input/Range	Weighted Average
Corporate equity securities	$	20,285
Non-exchange traded securities			Market approach	EBITDA (a) multiple	4.4	—
				Transaction level	$1	—
				Underlying stock price	$5 to $102	$19.0
Corporate debt securities	$	20,257	Convertible bond model	Discount rate/yield	86%	—
			Market approach	Transaction level	$59	—
Collateralized debt obligations	$	49,923	Discounted cash flows	Constant prepayment rate	5% to 20%	13	%
				Constant default rate	2% to 8%	2	%
				Loss severity	25% to 90%	52	%
				Yield	6% to 13%	10	%
Residential mortgage-backed securities	$	70,263	Discounted cash flows	Constant prepayment rate	0% to 50%	13	%
				Constant default rate	1% to 9%	3	%
				Loss severity	25% to 70%	39	%
				Yield	1% to 9%	6	%
Commercial mortgage-backed securities	$	14,326	Discounted cash flows	Yield	7% to 30%	16	%
				Cumulative loss rate	2% to 63%	23	%
Other asset-backed securities	$	21,463	Discounted cash flows	Constant prepayment rate	6% to 8%	7	%
				Constant default rate	3% to 5%	4	%
				Loss severity	55% to 75%	62	%
				Yield	7% to 22%	18	%
			Over-collateralization	Over-collateralization percentage	117% to 125%	118	%
Loans and other receivables	$	161,470	Comparable pricing	Comparable loan price	$99 to $100	$99.7
			Market approach	Yield	2% to 17%	12	%
				EBITDA (a) multiple	10.0	—
			Scenario analysis	Estimated recovery percentage	6% to 100%	83	%
Derivatives	$	19,785
Commodity forwards			Market approach	Discount rate/yield	47%	—
				Transaction level	$9,500,000	—
Unfunded commitment			Comparable pricing	Comparable loan price	$100	—
			Market approach	Credit spread	298 bps	—
Total return swap			Comparable pricing	Comparable loan price	$91.7 to $92.4	$92.1
Investments at fair value
Private equity securities	$	29,940	Market approach	Transaction level	$64	—
				Enterprise value	$5,200,000	—
				Discount rate	15% to 30%	23	%
Investment in FXCM
Term loan	$	203,700	Discounted cash flows	Term based on the pay off	0 months to 1.0 year	0.4 years
Rights	422,000		Option pricing model	Volatility	110%	—
	$	625,700

Trading Liabilities	Fair Value (in thousands)		Valuation Technique	Significant Unobservable Input(s)	Input/Range	Weighted Average
Derivatives	$	19,543
Equity options			Option model	Volatility	45%	—
			Default rate	Default probability	0%	—
Unfunded commitments			Comparable pricing	Comparable loan price	$79 to $100	$82.6
			Market approach	Discount rate/yield	3% to 10%	10	%
			Discounted cash flows	Constant prepayment rate	20%	—
				Constant default rate	2%	—
				Loss severity	25%	—
				Yield	11%	—
Total return swap			Comparable pricing	Comparable loan price	$91.7 to $92.4	$92.1
Loans	$	10,469	Comparable pricing	Comparable loan price	$100	—


(a)	Earnings before interest, taxes, depreciation and amortization (“EBITDA”).

Summary Of Gains (Losses) Due To Changes In Instrument Specific Credit Risk For Loans and Other Receivables And Loan Commitments Measured At Fair Value Under Fair Value Option

The following is a summary of gains (losses) due to changes in instrument specific credit risk on loans, other receivables and debt instruments and gains (losses) due to other changes in fair value on long-term debt measured at fair value under the fair value option for the three months ended March 31, 2016 and 2015 (in thousands):



	For the Three Months Ended March 31,
	For the Three Months Ended March 31,
	2016			2015
Financial Instruments Owned:
Loans and other receivables	$	(15,462	)	$	5,389

Financial Instruments Sold:
Loans	$	48		$	(1,022	)
Loan commitments	$	(3,746	)	$	(7,166	)

Long-term Debt:
Changes in instrument specific credit risk (1)	$	(302	)	$	—
Other changes in fair value (2)	$	6,816		$	—

(1) Changes in instrument-specific credit risk related to structured notes are included in the Consolidated Statements of Comprehensive Income (Loss).

(2) Other changes in fair value include $6.9 million included within Principal transactions revenues and $42,000 included within Interest expense on the Consolidated Statements of Operations.

Summary Of Amount By Which Contractual Principal Exceeds Fair Value For Loans And Other Receivables Measured At Fair Value Under Fair Value Option

The following is a summary of the amount by which contractual principal exceeds fair value for loans and other receivables and long-term debt measured at fair value under the fair value option (in thousands):



	March 31, 2016		December 31, 2015

Financial Instruments Owned:
Loans and other receivables (1)	$	494,444	$	408,369
Loans and other receivables greater than 90 days past due (1)	$	29,555	$	29,720
Loans and other receivables on nonaccrual status (1) (2)	$	154,319	$	54,652
Long-term Debt	$	6,420	$	—


(1)	Interest income is recognized separately from other changes in fair value and is included within Interest income in the Consolidated Statements of Operations.


(2)	Amounts include all loans and other receivables greater than 90 days past due.

- 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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