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FAIR VALUE MEASUREMENTS OF FINANCIAL INSTRUMENTS | 6 Months Ended
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Jun. 30, 2012
FAIR VALUE MEASUREMENTS OF FINANCIAL INSTRUMENTS |
8. | FAIR VALUE MEASUREMENTS OF FINANCIAL INSTRUMENTS
The following tables summarize the valuation of the Partnership’s financial assets and liabilities by the fair value hierarchy as of June 30, 2012 and December 31, 2011, respectively:
|  | June 30, 2012 |
|  | Level I |  |  | Level II |  |  | Level III |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments of Consolidated Blackstone Funds (a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment Funds |  | $ | — |  |  | $ | 3,590 |  |  | $ | 713,287 |  |  | $ | 716,877 |
Equity Securities |  |  | 83,439 |  |  |  | 28,506 |  |  |  | 212,309 |  |  |  | 324,254 |
Partnership and LLC Interests |  |  | 183 |  |  |  | 490 |  |  |  | 547,915 |  |  |  | 548,588 |
Debt Instruments |  |  | — |  |  |  | 720,111 |  |  |  | 21,363 |  |  |  | 741,474 |
Assets of Consolidated CLO Vehicles |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate Loans |  |  | — |  |  |  | 10,426,445 |  |  |  | 1,000,762 |  |  |  | 11,427,207 |
Corporate Bonds |  |  | — |  |  |  | 191,512 |  |  |  | 37,229 |  |  |  | 228,741 |
Freestanding Derivatives — Foreign Currency Contracts |  |  | — |  |  |  | 38,247 |  |  |  | — |  |  |  | 38,247 |
Freestanding Derivatives — Interest Rate Contracts |  |  | — |  |  |  | 8,203 |  |  |  | — |  |  |  | 8,203 |
Other |  |  | 328 |  |  |  | 16,495 |  |  |  | 7,291 |  |  |  | 24,114 |
Total Investments of Consolidated Blackstone Funds |  |  | 83,950 |  |  |  | 11,433,599 |  |  |  | 2,540,156 |  |  |  | 14,057,705 |
Blackstone’s Treasury Cash Management Strategies |  |  | 281,089 |  |  |  | 457,597 |  |  |  | 200 |  |  |  | 738,886 |
Money Market Funds |  |  | 135,663 |  |  |  | — |  |  |  | — |  |  |  | 135,663 |
Freestanding Derivatives |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate Contracts |  |  | 609 |  |  |  | 51,400 |  |  |  | — |  |  |  | 52,009 |
Foreign Currency Contracts |  |  | — |  |  |  | 173 |  |  |  | — |  |  |  | 173 |
Loans and Receivables |  |  | — |  |  |  | — |  |  |  | 104,207 |  |  |  | 104,207 |
Other Investments |  |  | 2,977 |  |  |  | 6,352 |  |  |  | 21,162 |  |  |  | 30,491 |
|  | $ | 504,288 |  |  | $ | 11,949,121 |  |  | $ | 2,665,725 |  |  | $ | 15,119,134 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Liabilities of Consolidated CLO Vehicles (a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Senior Secured Notes |  | $ | — |  |  | $ | — |  |  | $ | 10,534,253 |  |  | $ | 10,534,253 |
Subordinated Notes |  |  | — |  |  |  | — |  |  |  | 701,648 |  |  |  | 701,648 |
Freestanding Derivatives — Foreign Currency Contracts |  |  | — |  |  |  | 31,133 |  |  |  | — |  |  |  | 31,133 |
Freestanding Derivatives — Interest Rate Contracts |  |  | — |  |  |  | 4,103 |  |  |  | — |  |  |  | 4,103 |
Freestanding Derivatives |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate Contracts |  |  | 235 |  |  |  | 2,330 |  |  |  | — |  |  |  | 2,565 |
Foreign Currency Contracts |  |  | — |  |  |  | 125 |  |  |  | — |  |  |  | 125 |
Credit Default Swaps |  |  | — |  |  |  | 110 |  |  |  | — |  |  |  | 110 |
Securities Sold, Not Yet Purchased |  |  | — |  |  |  | 88,153 |  |  |  | — |  |  |  | 88,153 |
|  | $ | 235 |  |  | $ | 125,954 |  |  | $ | 11,235,901 |  |  | $ | 11,362,090 |
|  | December 31, 2011 |
|  | Level I |  |  | Level II |  |  | Level III |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments of Consolidated Blackstone Funds (a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment Funds |  | $ | — |  |  | $ | 5,119 |  |  | $ | 723,951 |  |  | $ | 729,070 |
Equity Securities |  |  | 113,007 |  |  |  | 608 |  |  |  | 232,172 |  |  |  | 345,787 |
Partnership and LLC Interests |  |  | — |  |  |  | — |  |  |  | 492,911 |  |  |  | 492,911 |
Debt Instruments |  |  | — |  |  |  | 594,276 |  |  |  | 12,783 |  |  |  | 607,059 |
Assets of Consolidated CLO Vehicles |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate Loans |  |  | — |  |  |  | 7,259,204 |  |  |  | 635,944 |  |  |  | 7,895,148 |
Corporate Bonds |  |  | — |  |  |  | 150,653 |  |  |  | 3,000 |  |  |  | 153,653 |
Freestanding Derivatives — Foreign Currency Contracts |  |  | — |  |  |  | 22,016 |  |  |  | — |  |  |  | 22,016 |
Freestanding Derivatives — Interest Rate Contracts |  |  | — |  |  |  | 7,270 |  |  |  | — |  |  |  | 7,270 |
Other |  |  | 28,900 |  |  |  | 21,973 |  |  |  | 3,008 |  |  |  | 53,881 |
Total Investments of Consolidated Blackstone Funds |  |  | 141,907 |  |  |  | 8,061,119 |  |  |  | 2,103,769 |  |  |  | 10,306,795 |
Blackstone’s Treasury Cash Management Strategies |  |  | 176,297 |  |  |  | 509,362 |  |  |  | 200 |  |  |  | 685,859 |
Money Market Funds |  |  | 257,423 |  |  |  | — |  |  |  | — |  |  |  | 257,423 |
Freestanding Derivatives |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate Contracts |  |  | 159 |  |  |  | 609 |  |  |  | — |  |  |  | 768 |
Foreign Currency Contracts |  |  | — |  |  |  | 1,016 |  |  |  | — |  |  |  | 1,016 |
Derivative Instruments Used as Fair Value Hedges |  |  | — |  |  |  | 67,668 |  |  |  | — |  |  |  | 67,668 |
Loans and Receivables |  |  | — |  |  |  | — |  |  |  | 8,555 |  |  |  | 8,555 |
Other Investments |  |  | 8,066 |  |  |  | 360 |  |  |  | 19,964 |  |  |  | 28,390 |
|  | $ | 583,852 |  |  | $ | 8,640,134 |  |  | $ | 2,132,488 |  |  | $ | 11,356,474 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Liabilities of Consolidated CLO Vehicles (a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Senior Secured Notes |  | $ | — |  |  | $ | — |  |  | $ | 7,449,766 |  |  | $ | 7,449,766 |
Subordinated Notes |  |  | — |  |  |  | — |  |  |  | 630,236 |  |  |  | 630,236 |
Freestanding Derivatives — Foreign Currency Contracts |  |  | — |  |  |  | 7,687 |  |  |  | — |  |  |  | 7,687 |
Freestanding Derivatives — Interest Rate Contracts |  |  | — |  |  |  | 10,867 |  |  |  | — |  |  |  | 10,867 |
Freestanding Derivatives |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate Contracts |  |  | 1,105 |  |  |  | 186 |  |  |  | — |  |  |  | 1,291 |
Foreign Currency Contracts |  |  | — |  |  |  | 103 |  |  |  | — |  |  |  | 103 |
Securities Sold, Not Yet Purchased |  |  | — |  |  |  | 143,825 |  |  |  | — |  |  |  | 143,825 |
|  | $ | 1,105 |  |  | $ | 162,668 |  |  | $ | 8,080,002 |  |  | $ | 8,243,775 |
(a) | Pursuant to GAAP consolidation guidance, the Partnership is required to consolidate all VIEs in which it has been identified as the primary beneficiary, including its investments in CLO vehicles and other funds in which a consolidated entity of the Partnership, as the general partner of the fund, is presumed to have control. While the Partnership is required to consolidate certain funds, including CLO vehicles, for GAAP purposes, the Partnership has no ability to utilize the assets of these funds and there is no recourse to the Partnership for their liabilities since these are client assets and liabilities.
The following table summarizes the fair value transfers between Level I and Level II:
|  | Three Months Ended |  |  | Six Months Ended |
|  | June 30, 2012 |  |  | June 30, 2012 |
Transfers from Level I into Level II (a) |  | $ | 15,924 |  |  | $ | 45,440 |
Transfers from Level II into Level I (b) |  | $ | 529 |  |  | $ | 801 |
(a) | Transfers out of Level I represent those financial instruments for which restrictions exist and adjustments were made to an otherwise observable price to reflect fair value at the reporting date.
(b) | Transfers into Level I represent those financial instruments for which an unadjusted quoted price in an active market became available for the identical asset.
The following table summarizes the quantitative inputs and assumptions used for items categorized in Level III of the fair value hierarchy as of June 30, 2012. The disclosure below excludes financial instruments for which fair value is based on unobservable but non-quantitative inputs. Such items include financial instruments for which the determination of fair value is based on prices from prior transactions or third party pricing information without adjustment and financial instruments for which fair value is determined by net asset value.
|  | Fair Value at June 30, 2012 |  |  | Valuation Techniques |  | Unobservable Inputs |  | Ranges
Financial Assets |  |  |  |  |  |  |  |  |  |
Equity Securities |  | $ | 124,105 |  |  | Discounted Cash Flows |  | Discount Rate Revenue CAGR Exit Multiple |  | 8.1% - 25.0% 1.6% - 83.4% 5.8x - 17.0x
|  |  | 1,931 |  |  | Market Comparable Companies |  | Book Value Multiple EBITDA Multiple |  | 0.8x 6.5x - 8.3x
Partnership and LLC Interests |  |  | 533,520 |  |  | Discounted Cash Flows |  | Discount Rate Revenue CAGR Exit Multiple Exit Capitalization Rate |  | 3.1% - 22.5% -5.6% - 62.0% 4.5x - 14.8x 1.0% - 9.5%
Debt Instruments |  |  | 8,499 |  |  | Discounted Cash Flows |  | Discount Rate Exit Capitalization Rate Default Rate Recovery Rate Recovery Lag Pre-payment Rate Reinvestment Rate |  | 10.7% - 48.0% 7.5% 2.0% 70.0% 12 months 20.0% 3.2%
|  |  | 772 |  |  | Market Comparable Companies |  | EBITDA Multiple |  | 3.5x - 8.3x
Assets of Consolidated CLO Vehicles |  |  | 128,694 |  |  | Discounted Cash Flows |  | Discount Rate |  | 6.0% - 18.0%
|  |  | 86,555 |  |  | Market Comparable Companies |  | EBITDA Multiple Liquidity Discount |  | 2.0x - 10.6x 1.0% - 25.0%
Loans and Receivables |  |  | 104,207 |  |  | Discounted Cash Flows |  | Discount Rate |  | 6.8% - 23.3%
Financial Liabilities |  |  |  |  |  |  |  |  |  |
CLOs |  | $ | 11,235,901 |  |  | Discounted Cash Flows |  | Default Rate Recovery Rate Recovery Lag Pre-payment Rate Reinvestment Rate Discount Rate |  | 2.0% - 5.0% 30.0% - 70.0% 12 months 5.0% - 20.0% 3.2% 1.1% - 80.0%
CAGR |  | Compound annual growth rate.
EBITDA |  | Earnings before interest, taxes, depreciation and amortization.
Exit Multiple |  | Ranges include the last twelve months EBITDA, forward EBITDA and price/earnings exit multiples.
The significant unobservable inputs used in the fair value measurement of the assets and obligations of consolidated CLO vehicles are discount rates, default rates, recovery rates, recovery lag, pre-payment rates and reinvestment rates. Increases (decreases) in any of the discount rates, default rates, recovery lag and pre-payment rates in isolation would result in a lower (higher) fair value measurement. Increases (decreases) in any of the recovery rates and reinvestment rates in isolation would result in a higher (lower) fair value measurement. Generally, a change in the assumption used for default rates may be accompanied by a directionally similar change in the assumption used for recovery lag and a directionally opposite change in the assumption used for recovery rates and pre-payment rates. The significant unobservable inputs used in the fair value measurement of equity securities, partnership and LLC interests, debt instruments, assets of consolidated CLO vehicles and loans and receivables are discount rates, exit capitalization rates, exit multiples, book value multiples, EBITDA multiples, liquidity discount and revenue compound annual growth rates. Increases (decreases) in any of discount rates and exit capitalization rates in isolation can result in a lower (higher) fair value measurement. Increases (decreases) in any of exit multiples, book value mulitples and revenue compound annual growth rates in isolation can result in a higher (lower) fair value measurement. Since December 31, 2011, there have been no changes in valuation techniques within Level II and Level III that have had a material impact on the valuation of financial instruments. The following tables summarize the changes in financial assets and liabilities measured at fair value for which the Partnership has used Level III inputs to determine fair value and does not include gains or losses that were reported in Level III in prior years or for instruments that were transferred out of Level III prior to the end of the current reporting period. Total realized and unrealized gains and losses recorded for Level III investments are reported in Investment Income (Loss) and Net Gains from Fund Investment Activities in the Condensed Consolidated Statements of Operations.
|  | Level III Financial Assets at Fair Value Three Months Ended June 30, |
|  | 2012 |  |  | 2011 |
|  | Investments of Consolidated Funds |  |  | Loans and Receivables |  |  | Other Investments |  |  | Total |  |  | Investments of Consolidated Funds |  |  | Loans and Receivables |  |  | Other Investments |  |  | Total |
Balance, Beginning of Period |  | $ | 2,390,276 |  |  | $ | 105,004 |  |  | $ | 21,791 |  |  | $ | 2,517,071 |  |  | $ | 1,741,692 |  |  | $ | 14,034 |  |  | $ | 20,970 |  |  | $ | 1,776,696 |
Transfer In Due to Consolidation and Acquisition (a) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 9,570 |  |  |  | — |  |  |  | — |  |  |  | 9,570 |
Transfer Out Due to Deconsolidation |  |  | (1,599 | ) |  |  |  |  |  |  |  |  |  |  | (1,599 | ) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Transfer In to Level III (b) |  |  | 171,916 |  |  |  | — |  |  |  | — |  |  |  | 171,916 |  |  |  | 4,607 |  |  |  | — |  |  |  | — |  |  |  | 4,607 |
Transfer Out of Level III (b) |  |  | (59,315 | ) |  |  | — |  |  |  | — |  |  |  | (59,315 | ) |  |  | (112,780 | ) |  |  | — |  |  |  | — |  |  |  | (112,780 | )
Purchases |  |  | 232,684 |  |  |  | 39,657 |  |  |  | 100 |  |  |  | 272,441 |  |  |  | 308,430 |  |  |  | 119,861 |  |  |  | 117,200 |  |  |  | 545,491 |
Sales |  |  | (173,516 | ) |  |  | (41,872 | ) |  |  | (541 | ) |  |  | (215,929 | ) |  |  | (154,861 | ) |  |  | (7,719 | ) |  |  | (531 | ) |  |  | (163,111 | )
Settlements |  |  | — |  |  |  | (186 | ) |  |  | — |  |  |  | (186 | ) |  |  | 4,933 |  |  |  | (71 | ) |  |  | — |  |  |  | 4,862 |
Realized Gains (Losses), Net |  |  | (12,264 | ) |  |  | — |  |  |  | 541 |  |  |  | (11,723 | ) |  |  | (3,764 | ) |  |  | — |  |  |  | 531 |  |  |  | (3,233 | )
Changes in Unrealized Gains (Losses) Included in Earnings Related to Investments Still Held at the Reporting Date |  |  | (8,026 | ) |  |  | 1,604 |  |  |  | (529 | ) |  |  | (6,951 | ) |  |  | 40,026 |  |  |  | 1,003 |  |  |  | 543 |  |  |  | 41,572 |
Balance, End of Period |  | $ | 2,540,156 |  |  | $ | 104,207 |  |  | $ | 21,362 |  |  | $ | 2,665,725 |  |  | $ | 1,837,853 |  |  | $ | 127,108 |  |  | $ | 138,713 |  |  | $ | 2,103,674 |
|  | Level III Financial Assets at Fair Value Six Months Ended June 30, |
|  | 2012 |  |  | 2011 |
|  | Investments of Consolidated Funds |  |  | Loans and Receivables |  |  | Other Investments |  |  | Total |  |  | Investments of Consolidated Funds |  |  | Loans and Receivables |  |  | Other Investments |  |  | Total |
Balance, Beginning of Period |  | $ | 2,103,769 |  |  | $ | 8,555 |  |  | $ | 20,164 |  |  | $ | 2,132,488 |  |  | $ | 1,602,371 |  |  | $ | 131,290 |  |  | $ | 19,672 |  |  | $ | 1,753,333 |
Transfer In Due to Consolidation and Acquisition (a) |  |  | 122,565 |  |  |  | — |  |  |  | — |  |  |  | 122,565 |  |  |  | 9,570 |  |  |  | — |  |  |  | — |  |  |  | 9,570 |
Transfer Out Due to Deconsolidation |  |  | (1,599 | ) |  |  | — |  |  |  | — |  |  |  | (1,599 | ) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Transfer In to Level III (b) |  |  | 253,608 |  |  |  | — |  |  |  | — |  |  |  | 253,608 |  |  |  | 11,162 |  |  |  | — |  |  |  | — |  |  |  | 11,162 |
Transfer Out of Level III (b) |  |  | (103,280 | ) |  |  | — |  |  |  | — |  |  |  | (103,280 | ) |  |  | (134,243 | ) |  |  | — |  |  |  | — |  |  |  | (134,243 | )
Purchases |  |  | 320,312 |  |  |  | 142,908 |  |  |  | 100 |  |  |  | 463,320 |  |  |  | 436,529 |  |  |  | 126,090 |  |  |  | 117,200 |  |  |  | 679,819 |
Sales |  |  | (229,623 | ) |  |  | (49,251 | ) |  |  | (541 | ) |  |  | (279,415 | ) |  |  | (217,826 | ) |  |  | (129,900 | ) |  |  | (531 | ) |  |  | (348,257 | )
Settlements |  |  | — |  |  |  | (46 | ) |  |  | — |  |  |  | (46 | ) |  |  | — |  |  |  | (1,441 | ) |  |  | — |  |  |  | (1,441 | )
Realized Gains (Losses), Net |  |  | (9,093 | ) |  |  | — |  |  |  | 639 |  |  |  | (8,454 | ) |  |  | 4,087 |  |  |  | — |  |  |  | 531 |  |  |  | 4,618 |
Changes in Unrealized Gains (Losses) Included in Earnings Related to Investments Still Held at the Reporting Date |  |  | 83,497 |  |  |  | 2,041 |  |  |  | 1,000 |  |  |  | 86,538 |  |  |  | 126,203 |  |  |  | 1,069 |  |  |  | 1,841 |  |  |  | 129,113 |
Balance, End of Period |  | $ | 2,540,156 |  |  | $ | 104,207 |  |  | $ | 21,362 |  |  | $ | 2,665,725 |  |  | $ | 1,837,853 |  |  | $ | 127,108 |  |  | $ | 138,713 |  |  | $ | 2,103,674 |
|  | Level III Financial Liabilities at Fair Value Three Months Ended June 30, |
|  | 2012 |  |  | 2011 |
|  | Collateralized Loan Obligations Senior Notes |  |  | Collateralized Loan Obligations Subordinated Notes |  |  | Total |  |  | Collateralized Loan Obligations Senior Notes |  |  | Collateralized Loan Obligations Subordinated Notes |  |  | Total |
Balance, Beginning of Period |  | $ | 10,984,018 |  |  | $ | 857,772 |  |  | $ | 11,841,790 |  |  | $ | 6,023,892 |  |  | $ | 567,436 |  |  | $ | 6,591,328 |
Transfer In Due to Consolidation and Acquisition (a) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 1,829,899 |  |  |  | 95,567 |  |  |  | 1,925,466 |
Issuances |  |  | 227 |  |  |  | — |  |  |  | 227 |  |  |  | 204 |  |  |  | — |  |  |  | 204 |
Settlements |  |  | (140,736 | ) |  |  | (238 | ) |  |  | (140,974 | ) |  |  | (73,830 | ) |  |  | (228 | ) |  |  | (74,058 | )
Realized Gains (Losses), Net |  |  | (1 | ) |  |  | — |  |  |  | (1 | ) |  |  | 2,319 |  |  |  | — |  |  |  | 2,319 |
Changes in Unrealized Gains (Losses) Included in Earnings Related to Liabilities Still Held at the Reporting Date |  |  | (309,255 | ) |  |  | (155,886 | ) |  |  | (465,141 | ) |  |  | 77,043 |  |  |  | 43,874 |  |  |  | 120,917 |
Balance, End of Period |  | $ | 10,534,253 |  |  | $ | 701,648 |  |  | $ | 11,235,901 |  |  | $ | 7,859,527 |  |  | $ | 706,649 |  |  | $ | 8,566,176 |
|  | Level III Financial Liabilities at Fair Value Six Months Ended June 30, |
|  | 2012 |  |  | 2011 |
|  | Collateralized Loan Obligations Senior Notes |  |  | Collateralized Loan Obligations Subordinated Notes |  |  | Total |  |  | Collateralized Loan Obligations Senior Notes |  |  | Collateralized Loan Obligations Subordinated Notes |  |  | Total |
Balance, Beginning of Period |  | $ | 7,449,766 |  |  | $ | 630,236 |  |  | $ | 8,080,002 |  |  | $ | 5,877,957 |  |  | $ | 555,632 |  |  | $ | 6,433,589 |
Transfer In Due to Consolidation and Acquisition (a) |  |  | 3,419,084 |  |  |  | 149,225 |  |  |  | 3,568,309 |  |  |  | 1,829,899 |  |  |  | 95,567 |  |  |  | 1,925,466 |
Issuances |  |  | 4,620 |  |  |  | 838 |  |  |  | 5,458 |  |  |  | 404 |  |  |  | — |  |  |  | 404 |
Settlements |  |  | (272,609 | ) |  |  | (2,984 | ) |  |  | (275,593 | ) |  |  | (235,273 | ) |  |  | (12,481 | ) |  |  | (247,754 | )
Realized Gains (Losses), Net |  |  | 43 |  |  |  | — |  |  |  | 43 |  |  |  | 7,715 |  |  |  | — |  |  |  | 7,715 |
Changes in Unrealized Gains (Losses) Included in Earnings Related to Liabilities Still Held at the Reporting Date |  |  | (66,651 | ) |  |  | (75,667 | ) |  |  | (142,318 | ) |  |  | 378,825 |  |  |  | 67,931 |  |  |  | 446,756 |
Balance, End of Period |  | $ | 10,534,253 |  |  | $ | 701,648 |  |  | $ | 11,235,901 |  |  | $ | 7,859,527 |  |  | $ | 706,649 |  |  | $ | 8,566,176 |
(a) | Represents the transfer into Level III of financial assets and liabilities held by CLO vehicles as a result of the acquisition of management contracts on May 16, 2011 and the Harbourmaster acquisition on January 5, 2012.
(b) | Transfers in and out of Level III financial assets and liabilities were due to changes in the observability of inputs used in the valuation of such assets and liabilities.

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- 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. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 16 -URI http://asc.fasb.org/extlink&oid=7491637&loc=d3e13504-108611 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 107 -Paragraph 15C, 15D -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 44A, 44B -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 107 -Paragraph 15A -Subparagraph a-d -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 107 -Paragraph 3, 10, 14, 15 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=7491637&loc=d3e13433-108611 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 159 -Paragraph 17-22, 27, 28 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 21 -URI http://asc.fasb.org/extlink&oid=7491637&loc=d3e13537-108611 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 107 -Paragraph 15B -Subparagraph a, b -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 10: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 157 -Paragraph 32, 33, 34 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 11: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19207-110258 Reference 12: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 28 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14064-108612 Reference 13: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612 + Details
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