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Fair Value of Financial Instruments | 6 Months Ended
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Jun. 30, 2020
Fair Value Disclosures [Abstract] |
Fair Value of Financial Instruments | The Company is required to disclose estimated fair values for certain financial and nonfinancial assets and liabilities. Fair values of the Company’s insurance contracts other than annuity contracts (which are investment contracts) are not required to be disclosed. However, the estimated fair values of liabilities under all insurance contracts are taken into consideration in the Company’s overall management of interest rate risk through the matching of investment maturities with amounts due under insurance contracts. Information regarding the three-level hierarchy presented below and the valuation methodologies utilized by the Company to estimate fair values at each reporting date is included in Part II - Item 8, Note 4 of the Consolidated Financial Statements in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019. Financial Instruments Measured and Carried at Fair Value on a Recurring Basis The following table presents the Company's fair value hierarchy for those assets and liabilities measured and carried at fair value on a recurring basis. During the six months ended June 30, 2020 and 2019, there were no transfers between Level 1 and Level 2. At June 30, 2020, Level 3 invested assets comprised 6.3% of the Company’s total investment portfolio at fair value.
($ in thousands) |  |  |  | Fair Value Measurements at
|  | Carrying |  | Fair |  | Reporting Date Using
|  | Amount |  | Value |  | Level 1 |  | Level 2 |  | Level 3
June 30, 2020 |  |  |  |  |  |  |  |  |  |
Financial Assets |  |  |  |  |  |  |  |  |  |
Investments |  |  |  |  |  |  |  |  |  |
Fixed maturity securities |  |  |  |  |  |  |  |  |  |
U.S. Government and federally sponsored agency obligations: |  |  |  |  |  |  |  |  |  |
Mortgage-backed securities |  | $ | 718,974 |  |  | $ | 718,974 |  |  | $ | — |  |  | $ | 694,513 |  |  | $ | 24,461 |
Other, including U.S. Treasury securities |  | 374,881 |  |  | 374,881 |  |  | 18,520 |  |  | 356,361 |  |  | — |
Municipal bonds |  | 1,805,550 |  |  | 1,805,550 |  |  | — |  |  | 1,732,379 |  |  | 73,171 |
Foreign government bonds |  | 43,550 |  |  | 43,550 |  |  | — |  |  | 43,550 |  |  | — |
Corporate bonds |  | 1,862,440 |  |  | 1,862,440 |  |  | 12,773 |  |  | 1,723,375 |  |  | 126,292 |
Other asset-backed securities |  | 1,216,588 |  |  | 1,216,588 |  |  | — |  |  | 1,040,903 |  |  | 175,685 |
Total fixed maturity securities |  | 6,021,983 |  |  | 6,021,983 |  |  | 31,293 |  |  | 5,591,081 |  |  | 399,609 |
Equity securities |  | 90,338 |  |  | 90,338 |  |  | 35,269 |  |  | 54,954 |  |  | 115 |
Short-term investments |  | 182,670 |  |  | 182,670 |  |  | 179,651 |  |  | 3,019 |  |  | — |
Other investments |  | 23,604 |  |  | 23,604 |  |  | — |  |  | 23,604 |  |  | — |
Totals |  | $ | 6,318,595 |  |  | $ | 6,318,595 |  |  | $ | 246,213 |  |  | $ | 5,672,658 |  |  | $ | 399,724 |
Separate Account (variable annuity) assets (1) |  | $ | 2,316,900 |  |  | $ | 2,316,900 |  |  | $ | 2,316,900 |  |  | $ | — |  |  | $ | — |
Financial Liabilities |  |  |  |  |  |  |  |  |  |
Investment contract and policy reserves, embedded derivatives |  | $ | 1,113 |  |  | $ | 1,113 |  |  | $ | — |  |  | $ | 1,113 |  |  | $ | — |
Other policyholder funds, embedded derivatives |  | $ | 93,619 |  |  | $ | 93,619 |  |  | $ | — |  |  | $ | — |  |  | $ | 93,619 |
December 31, 2019 |  |  |  |  |  |  |  |  |  |
Financial Assets |  |  |  |  |  |  |  |  |  |
Investments |  |  |  |  |  |  |  |  |  |
Fixed maturity securities |  |  |  |  |  |  |  |  |  |
U.S. Government and federally sponsored agency obligations: |  |  |  |  |  |  |  |  |  |
Mortgage-backed securities |  | $ | 724,319 |  |  | $ | 724,319 |  |  | $ | — |  |  | $ | 711,004 |  |  | $ | 13,315 |
Other, including U.S. Treasury securities |  | 458,868 |  |  | 458,868 |  |  | 17,699 |  |  | 441,169 |  |  | — |
Municipal bonds |  | 1,686,203 |  |  | 1,686,203 |  |  | — |  |  | 1,641,912 |  |  | 44,291 |
Foreign government bonds |  | 45,370 |  |  | 45,370 |  |  | — |  |  | 45,370 |  |  | — |
Corporate bonds |  | 1,581,424 |  |  | 1,581,424 |  |  | 14,470 |  |  | 1,463,002 |  |  | 103,952 |
Other asset-backed securities |  | 1,295,492 |  |  | 1,295,492 |  |  | — |  |  | 1,161,979 |  |  | 133,513 |
Total fixed maturity securities |  | 5,791,676 |  |  | 5,791,676 |  |  | 32,169 |  |  | 5,464,436 |  |  | 295,071 |
Equity securities |  | 101,864 |  |  | 101,864 |  |  | 49,834 |  |  | 51,923 |  |  | 107 |
Short-term investments |  | 172,667 |  |  | 172,667 |  |  | 172,667 |  |  | — |  |  | — |
Other investments |  | 25,997 |  |  | 25,997 |  |  | — |  |  | 25,997 |  |  | — |
Totals |  | $ | 6,092,204 |  |  | $ | 6,092,204 |  |  | $ | 254,670 |  |  | $ | 5,542,356 |  |  | $ | 295,178 |
Separate Account (variable annuity) assets (1) |  | $ | 2,490,469 |  |  | $ | 2,490,469 |  |  | $ | 2,490,469 |  |  | $ | — |  |  | $ | — |
Financial Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment contract and policy reserves, embedded derivatives |  | $ | 1,314 |  |  | $ | 1,314 |  |  | $ | — |  |  | $ | 1,314 |  |  | $ | — |
Other policyholder funds, embedded derivatives |  | $ | 93,733 |  |  | $ | 93,733 |  |  | $ | — |  |  | $ | — |  |  | $ | 93,733 |
(1) Separate Account (variable annuity) liabilities are equal to the estimated fair value of the Separate Account (variable annuity) assets. Changes in Level 3 Fair Value Measurements The reconciliation for all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) was as follows:
($ in thousands) |  | Financial Assets |  | Financial Liabilities(1)
|  | Municipal Bonds |  | Corporate Bonds |  | Other Mortgage- Backed Securities(2) |  | Total Fixed Maturity Securities |  | Equity Securities |  | Total |  |
Beginning balance, April 1, 2020 |  | $ | 104,892 |  |  | $ | 111,693 |  |  | $ | 140,527 |  |  | $ | 357,112 |  |  | $ | 83 |  |  | $ | 357,195 |  |  | $ | 87,506 |
Transfers into Level 3 (3) |  | 10,726 |  |  | 13,970 |  |  | 64,239 |  |  | 88,935 |  |  | — |  |  | 88,935 |  |  | — |
Transfers out of Level 3 (3) |  | (45,917 | ) |  | (4,166 | ) |  | (3,438 | ) |  | (53,521 | ) |  | — |  |  | (53,521 | ) |  | — |
Total gains or losses |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment gains (losses) included in net income related to financial assets |  | — |  |  | — |  |  | — |  |  | — |  |  | 32 |  |  | 32 |  |  | — |
Net realized (gains) losses included in net income related to financial liabilities |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 5,966 |
Net unrealized investment gains (losses) included in OCI |  | 3,838 |  |  | 5,308 |  |  | 3,261 |  |  | 12,407 |  |  | — |  |  | 12,407 |  |  | — |
Purchases |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 2,513 |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Paydowns, maturities and distributions |  | (368 | ) |  | (513 | ) |  | (4,443 | ) |  | (5,324 | ) |  | — |  |  | (5,324 | ) |  | (2,366 | )
Ending balance, June 30, 2020 |  | $ | 73,171 |  |  | $ | 126,292 |  |  | $ | 200,146 |  |  | $ | 399,609 |  |  | $ | 115 |  |  | $ | 399,724 |  |  | $ | 93,619 |
Beginning balance, January 1, 2020 |  | $ | 44,291 |  |  | $ | 103,952 |  |  | $ | 146,828 |  |  | $ | 295,071 |  |  | $ | 107 |  |  | $ | 295,178 |  |  | $ | 93,733 |
Transfers into Level 3 (3) |  | 74,477 |  |  | 32,803 |  |  | 86,714 |  |  | 193,994 |  |  | — |  |  | 193,994 |  |  | — |
Transfers out of Level 3 (3) |  | (45,917 | ) |  | (14,188 | ) |  | (6,385 | ) |  | (66,490 | ) |  | — |  |  | (66,490 | ) |  | — |
Total gains or losses |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment gains (losses) included in net income related to financial assets |  | — |  |  | — |  |  | — |  |  | — |  |  | 8 |  |  | 8 |  |  | — |
Net realized (gains) losses included in net income related to financial liabilities |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 924 |
Net unrealized investment gains (losses) included in OCI |  | 812 |  |  | (173 | ) |  | (21,101 | ) |  | (20,462 | ) |  | — |  |  | (20,462 | ) |  | — |
Purchases |  | — |  |  | 6,875 |  |  | 1,890 |  |  | 8,765 |  |  | — |  |  | 8,765 |  |  | — |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 3,867 |
Sales |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Paydowns, maturities and distributions |  | (492 | ) |  | (2,977 | ) |  | (7,800 | ) |  | (11,269 | ) |  | — |  |  | (11,269 | ) |  | (4,905 | )
Ending balance, June 30, 2020 |  | $ | 73,171 |  |  | $ | 126,292 |  |  | $ | 200,146 |  |  | $ | 399,609 |  |  | $ | 115 |  |  | $ | 399,724 |  |  | $ | 93,619 |
(1) | Represents embedded derivatives, all related to the Company's fixed indexed annuity products, reported in Other policyholder funds in the Company's Consolidated Balance Sheets.
(2) | Includes U.S. Government and federally sponsored agency obligations for mortgage-backed securities and other mortgage-backed securities.
(3) | Transfers into and out of Level 3 during the three and six months ended June 30, 2020 were attributable to changes in the availability of observable market information for individual fixed maturity securities. The Company's policy is to recognize transfers into and transfers out of the levels as having occurred at the end of the reporting period in which the transfers were determined.
($ in thousands) |  | Financial Assets |  | Financial Liabilities(1)
|  | Municipal Bonds |  | Corporate Bonds |  | Other Mortgage- Backed Securities (2) |  | Total Fixed Maturity Securities |  | Equity Securities |  | Total |  |
Beginning balance, April 1, 2019 |  | $ | 47,756 |  |  | $ | 82,482 |  |  | $ | 135,790 |  |  | $ | 266,028 |  |  | $ | 5 |  |  | $ | 266,033 |  |  | $ | 84,629 |
Transfers into Level 3 (3) |  | — |  |  | 2,808 |  |  | — |  |  | 2,808 |  |  | 64 |  |  | 2,872 |  |  | — |
Transfers out of Level 3 (3) |  | — |  |  | (4,876 | ) |  | — |  |  | (4,876 | ) |  | — |  |  | (4,876 | ) |  | — |
Total gains or losses |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment gains (losses) included in net income related to financial assets |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Net realized (gains) losses included in net income related to financial liabilities |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 371 |
Net unrealized investment gains (losses) included in OCI |  | (537 | ) |  | 1,961 |  |  | 2,807 |  |  | 4,231 |  |  | — |  |  | 4,231 |  |  | — |
Purchases |  | — |  |  | 1,566 |  |  | — |  |  | 1,566 |  |  | — |  |  | 1,566 |  |  | — |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 2,431 |
Sales |  | — |  |  | — |  |  | (607 | ) |  | (607 | ) |  | — |  |  | (607 | ) |  | — |
Settlements |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Paydowns, maturities and distributions |  | (235 | ) |  | (4,719 | ) |  | (9,552 | ) |  | (14,506 | ) |  | — |  |  | (14,506 | ) |  | (1,470 | )
Ending balance, June 30, 2019 |  | $ | 46,984 |  |  | $ | 79,222 |  |  | $ | 128,438 |  |  | $ | 254,644 |  |  | $ | 69 |  |  | $ | 254,713 |  |  | $ | 85,961 |
Beginning balance, January 1, 2019 |  | $ | 47,531 |  |  | $ | 80,742 |  |  | $ | 120,211 |  |  | $ | 248,484 |  |  | $ | 5 |  |  | $ | 248,489 |  |  | $ | 78,700 |
Transfers into Level 3 (3) |  | — |  |  | 5,882 |  |  | 21,934 |  |  | 27,816 |  |  | 64 |  |  | 27,880 |  |  | — |
Transfers out of Level 3 (3) |  | — |  |  | (4,876 | ) |  | — |  |  | (4,876 | ) |  | — |  |  | (4,876 | ) |  | — |
Total gains or losses |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment gains (losses) included in net income related to financial assets |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Net realized (gains) losses included in net income related to financial liabilities |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 4,705 |
Net unrealized investment gains (losses) included in OCI |  | (193 | ) |  | 4,510 |  |  | 2,655 |  |  | 6,972 |  |  | — |  |  | 6,972 |  |  | — |
Purchases |  | — |  |  | 1,566 |  |  | — |  |  | 1,566 |  |  | — |  |  | 1,566 |  |  | — |
Issuances |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 5,449 |
Sales |  | — |  |  | — |  |  | (607 | ) |  | (607 | ) |  | — |  |  | (607 | ) |  | — |
Settlements |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Paydowns, maturities and distributions |  | (354 | ) |  | (8,602 | ) |  | (15,755 | ) |  | (24,711 | ) |  | — |  |  | (24,711 | ) |  | (2,893 | )
Ending balance, June 30, 2019 |  | $ | 46,984 |  |  | $ | 79,222 |  |  | $ | 128,438 |  |  | $ | 254,644 |  |  | $ | 69 |  |  | $ | 254,713 |  |  | $ | 85,961 |
(1) | Represents embedded derivatives, all related to the Company's fixed indexed annuity products, reported in Other policyholder funds in the Company's Consolidated Balance Sheets.
(2) | Includes U.S. Government and federally sponsored agency obligations for mortgage-backed securities and other mortgage-backed securities.
(3) | Transfers into and out of Level 3 during the three and six months ended June 30, 2019 were attributable to changes in the availability of observable market information for individual fixed maturity securities. The Company's policy is to recognize transfers into and transfers out of the levels as having occurred at the end of the reporting period in which the transfers were determined.
For the six months ended June 30, 2020 and June 30, 2019, the Company had no net losses on Level 3 securities. For the three and six months ended June 30, 2020, net investment losses of $6.0 million and $0.9 million were included in earnings that were attributable to the changes in the fair value of Level 3 liabilities (embedded derivatives) still held; for the three and six months ended June 30, 2019, the respective net investment losses were $0.4 million and $4.7 million. Quantitative Information about Level 3 Fair Value Measurements The following table provides quantitative information about the significant unobservable inputs for recurring fair value measurements categorized within Level 3.
($ in thousands)
Financial Assets |  | Fair Value at June 30, 2020 |  | Valuation Technique(s) |  | Unobservable Inputs |  | Range (Weighted Average) and Single Point Best Estimate (1)
Municipal bonds |  | $ | 73,171 |  |  | discounted cash flow |  | I spread (2) |  | 578 bps
Corporate bonds |  | 126,292 |  |  | discounted cash flow |  | N spread (3) |  | 762 bps
|  |  |  | discounted cash flow |  | T spread (4) |  | 378 bps
|  |  |  | discounted cash flow |  | I spread (2) |  | 495 bps
|  |  |  | market comparable |  | EV / TTM EBITDA (x) (5) |  | 5.11x
Other asset-backed securities |  | 175,685 |  |  | discounted cash flow |  | constant prepayment rate |  | 20.0%
|  |  |  | vendor price |  | haircut |  | 3.0%
|  |  |  | market comparable |  | EV / TTM EBITDA (x) (5) |  | 5.11x
|  |  |  | discounted cash flow |  | N spread (3) |  | 732 bps
|  |  |  | discounted cash flow |  | PDI interest margin (6) |  | 7.13%
|  |  |  | discounted cash flow |  | SBL interest margin (7) |  | 4.50%
Government mortgage-backed securities |  | 24,461 |  |  | vendor price |  | haircut |  | 3.0%
|  |  |  | discounted cash flow |  | N spread (3) |  | 109 bps
|  |  |  | discounted cash flow |  | constant prepayment yield |  | 100 bps
|  |  |  | discounted cash flow |  | constant default rate |  | 0
Equity securities |  | 115 |  |  | Black Scholes |  | equity value |  | low - $43.27; high - $44.53
($ in thousands)
Financial Liabilities |  | Fair Value at June 30, 2020 |  | Valuation Technique(s) |  | Unobservable Inputs |  | Range (Weighted Average) and Single Point Best Estimate (1)
Derivatives embedded in fixed indexed annuity products |  | $ | 93,619 |  |  | discounted cash flow |  | lapse rate |  | 5.25%
|  |  |  |  |  | mortality multiplier (8) |  | 61.00%
|  |  |  |  |  | option budget |  | 1.00% - 2.50%
|  |  |  |  |  | non-performance adjustment (9) |  | 5.00%
(1) | When a range of unobservable inputs is not readily available, the Company uses a single point best estimate.
(2) | "I spread" is the interpolated weighted average life point on the "on the run" (OTR) point of the curve.
(3) | "N spread" is the interpolated weighted average life point on the swap curve.
(4) | "T spread" is a specific point on the OTR curve.
(5) | This represents the enterprise value (EV) for trailing twelve months (TTM) of EBITDA plus multiplier.
(6) | "PDI" stands for private debt investment.
(7) | "SBL" stands for broadly syndicated loans.
(8) | Mortality multiplier is applied to the Annuity 2000 table.
(9) | Determined as a percentage of a risk-free rate.
The valuation techniques and significant unobservable inputs used in the fair value measurement for financial assets and liabilities classified as Level 3 are subject to the control processes as described in Part II - Item 8, Note 4 in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019. Generally, valuation techniques for fixed maturity securities include spread pricing, matrix pricing and discounted cash flow methodologies; include inputs such as quoted prices for identical or similar securities that are less liquid; and are based on lower levels of trading activity than securities classified as Level 2. The valuation techniques and significant unobservable inputs used in the fair value measurement for equity securities classified as Level 3 use similar valuation techniques and significant unobservable inputs as those used for fixed maturity securities. The sensitivity of the estimated fair values to changes in the significant unobservable inputs for fixed maturity and equity securities included in Level 3 include: benchmark yield, liquidity premium, estimated cash flows, prepayment and default speeds, spreads, weighted average life, and credit rating. Significant spread widening in isolation will adversely impact the overall valuation, while significant tightening will lead to substantial valuation increases. Significant increases (decreases) in illiquidity premiums in isolation will result in substantially lower (higher) valuations. Significant increases (decreases) in expected default rates in isolation will result in substantially lower (higher) valuations. Financial Instruments Not Carried at Fair Value; Disclosure Required The Company has various other financial assets and financial liabilities used in the normal course of business that are not carried at fair value, but for which fair value disclosure is required. These financial assets and financial liabilities are further described in Part II - Item 8, Note 4 in the Company's Annual Report on Form 10-K for the year ended December 31, 2019. The following table presents the carrying value, fair value and fair value hierarchy of these financial assets and financial liabilities.
($ in thousands) |  |  |  | Fair Value Measurements at
|  | Carrying |  | Fair |  | Reporting Date Using
|  | Amount |  | Value |  | Level 1 |  | Level 2 |  | Level 3
June 30, 2020 |  |  |  |  |  |  |  |  |  |
Financial Assets |  |  |  |  |  |  |  |  |  |
Investments |  |  |  |  |  |  |  |  |  |
Other investments |  | $ | 168,541 |  |  | $ | 172,364 |  |  | $ | — |  |  | $ | — |  |  | $ | 172,364 |
Deposit asset on reinsurance |  | 2,373,267 |  |  | 2,846,176 |  |  | — |  |  | — |  |  | 2,846,176 |
Financial Liabilities |  |  |  |  |  |  |  |  |  |
Investment contract and policy reserves, fixed annuity contracts |  | 4,742,272 |  |  | 4,651,533 |  |  | — |  |  | — |  |  | 4,651,533 |
Investment contract and policy reserves, account values on life contracts |  | 95,885 |  |  | 100,673 |  |  | — |  |  | — |  |  | 100,673 |
Other policyholder funds |  | 648,240 |  |  | 648,240 |  |  | — |  |  | 590,693 |  |  | 57,547 |
Short-term debt |  | 135,000 |  |  | 135,000 |  |  | — |  |  | — |  |  | 135,000 |
Long-term debt |  | 302,172 |  |  | 332,385 |  |  | — |  |  | 332,385 |  |  | — |
December 31, 2019 |  |  |  |  |  |  |  |  |  |
Financial Assets |  |  |  |  |  |  |  |  |  |
Investments |  |  |  |  |  |  |  |  |  |
Other investments |  | $ | 163,312 |  |  | $ | 167,185 |  |  | $ | — |  |  | $ | — |  |  | $ | 167,185 |
Deposit asset on reinsurance |  | 2,346,166 |  |  | 2,634,012 |  |  | — |  |  | — |  |  | 2,634,012 |
Financial Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment contract and policy reserves, fixed annuity contracts |  | 4,675,774 |  |  | 4,609,880 |  |  | — |  |  | — |  |  | 4,609,880 |
Investment contract and policy reserves, account values on life contracts |  | 93,465 |  |  | 98,332 |  |  | — |  |  | — |  |  | 98,332 |
Other policyholder funds |  | 553,550 |  |  | 553,550 |  |  | — |  |  | 495,812 |  |  | 57,738 |
Short-term debt |  | 135,000 |  |  | 135,000 |  |  | — |  |  | — |  |  | 135,000 |
Long-term debt |  | 298,025 |  |  | 322,678 |  |  | — |  |  | 322,678 |  |  | — |

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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/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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