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Fair Value of Financial Instruments (Tables) | 3 Months Ended
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Mar. 31, 2020
Fair Value Disclosures [Abstract] |
Schedule of Financial Instruments Measured at Fair Value on a Recurring Basis | The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2020 and December 31, 2019, respectively, on the Company’s condensed consolidated balance sheets (dollar amounts in thousands):
| Measured at Fair Value on a Recurring Basis at
| March 31, 2020 |  | December 31, 2019
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets carried at fair value |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment securities available for sale, at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency RMBS | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 922,877 |  |  | $ | — |  |  | $ | 922,877 |
Agency CMBS | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 50,958 |  |  | — |  |  | 50,958 |
Non-Agency RMBS | — |  |  | 576,108 |  |  | — |  |  | 576,108 |  |  | — |  |  | 715,314 |  |  | — |  |  | 715,314 |
CMBS | — |  |  | 268,856 |  |  | — |  |  | 268,856 |  |  | — |  |  | 267,777 |  |  | — |  |  | 267,777 |
ABS | — |  |  | 42,344 |  |  | — |  |  | 42,344 |  |  | — |  |  | 49,214 |  |  | — |  |  | 49,214 |
Residential loans, at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential loans | — |  |  | — |  |  | 1,515,347 |  |  | 1,515,347 |  |  | — |  |  | — |  |  | 1,429,754 |  |  | 1,429,754 |
Consolidated SLST | — |  |  | — |  |  | 1,218,299 |  |  | 1,218,299 |  |  | — |  |  | — |  |  | 1,328,886 |  |  | 1,328,886 |
Residential loans held in securitization trusts | — |  |  | — |  |  | 42,984 |  |  | 42,984 |  |  | — |  |  | — |  |  | — |  |  | — |
Investments in unconsolidated entities | — |  |  | — |  |  | 211,965 |  |  | 211,965 |  |  | — |  |  | — |  |  | 83,882 |  |  | 83,882 |
Preferred equity and mezzanine loan investments | — |  |  | — |  |  | 179,292 |  |  | 179,292 |  |  | — |  |  | — |  |  | — |  |  | — |
Multi-family loans held in securitization trusts, at fair value | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 17,816,746 |  |  | 17,816,746 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps (1) | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 15,878 |  |  | — |  |  | 15,878 |
Total | $ | — |  |  | $ | 887,308 |  |  | $ | 3,167,887 |  |  | $ | 4,055,195 |  |  | $ | — |  |  | $ | 2,022,018 |  |  | $ | 20,659,268 |  |  | $ | 22,681,286 |
Liabilities carried at fair value |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Multi-family collateralized debt obligations, at fair value | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 16,724,451 |  |  | $ | 16,724,451 |
Residential collateralized debt obligations, at fair value | — |  |  | — |  |  | 1,034,992 |  |  | 1,034,992 |  |  | — |  |  | — |  |  | 1,052,829 |  |  | 1,052,829 |
Total | $ | — |  |  | $ | — |  |  | $ | 1,034,992 |  |  | $ | 1,034,992 |  |  | $ | — |  |  | $ | — |  |  | $ | 17,777,280 |  |  | $ | 17,777,280 |
(1) All of the Company's interest rate swaps were cleared through a central clearing house. The Company exchanged variation margin for swaps based upon daily changes in fair value. Included derivative liabilities of $29.0 million netted against a variation margin of $44.8 million at December 31, 2019.
Schedule of Changes in Valuation of Level 3 Assets | The following tables detail changes in valuation for the Level 3 assets for the three months ended March 31, 2020 and 2019, respectively (amounts in thousands): Level 3 Assets:
| Three Months Ended March 31, 2020
| Residential loans |  | Consolidated SLST |  | Residential loans held in securitization trusts |  | Investments in unconsolidated entities |  | Preferred equity and mezzanine loan investments |  | Multi-family loans held in securitization trusts |  | Total
Balance at beginning of period | $ | 1,429,754 |  |  | $ | 1,328,886 |  |  | $ | — |  |  | $ | 83,882 |  |  | $ | — |  |  | $ | 17,816,746 |  |  | $ | 20,659,268 |
Total (losses)/gains (realized/unrealized) |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings | (94,418 | ) |  | (89,087 | ) |  | (1,739 | ) |  | 494 |  |  | (209 | ) |  | 41,795 |  |  | (143,164 | )
Transfers in (1) | 164,035 |  |  | — |  |  | 46,572 |  |  | 107,477 |  |  | 182,465 |  |  | — |  |  | 500,549 |
Transfers out (2) (3) | (3,166 | ) |  | — |  |  | (349 | ) |  | — |  |  | — |  |  | (237,297 | ) |  | (240,812 | )
Contributions | — |  |  | — |  |  | — |  |  | 22,106 |  |  | 8,440 |  |  | — |  |  | 30,546 |
Paydowns/Distributions | (84,719 | ) |  | (21,500 | ) |  | (1,500 | ) |  | (1,994 | ) |  | (11,404 | ) |  | (239,796 | ) |  | (360,913 | )
Recovery of charge-off | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 35 |  |  | 35 |
Sales (3) | (49,960 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | (17,381,483 | ) |  | (17,431,443 | )
Purchases | 153,821 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 153,821 |
Balance at the end of period | $ | 1,515,347 |  |  | $ | 1,218,299 |  |  | $ | 42,984 |  |  | $ | 211,965 |  |  | $ | 179,292 |  |  | $ | — |  |  | $ | 3,167,887 |
(1) | As of January 1, 2020, the Company has elected to account for all residential loans, residential loans held in securitization trusts, investments in unconsolidated entities and preferred equity and mezzanine loan investments using the fair value option (see Note 2).
(2) | Transfers out of Level 3 assets include the transfer of residential loans to real estate owned.
(3) | During the three months ended March 31, 2020, the Company sold first loss PO securities included in the Consolidated K-Series and, as a result, de-consolidated multi-family loans held in securitization trusts and transferred its remaining securities owned in the Consolidated K-Series to investment securities available for sale (see Notes 2 and 6).
| Three Months Ended March 31, 2019
| Residential loans |  | Investments in unconsolidated entities |  | Multi-family loans held in securitization trusts |  | CMBS held in securitization trusts |  | Total
Balance at beginning of period | $ | 737,523 |  |  | $ | 32,994 |  |  | $ | 11,679,847 |  |  | $ | 52,700 |  |  | $ | 12,503,064 |
Total gains/(losses) (realized/unrealized) |  |  |  |  |  |  |  |  |
Included in earnings | 9,945 |  |  | 3,892 |  |  | 259,764 |  |  | 17,734 |  |  | 291,335 |
Included in other comprehensive income (loss) | — |  |  | — |  |  | — |  |  | (13,665 | ) |  | (13,665 | )
Transfers in | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out | (182 | ) |  | — |  |  | — |  |  | — |  |  | (182 | )
Contributions | — |  |  | — |  |  | — |  |  | — |  |  | — |
Paydowns/Distributions | (24,930 | ) |  | (311 | ) |  | (37,485 | ) |  | — |  |  | (62,726 | )
Sales | (6,448 | ) |  | — |  |  | — |  |  | (56,769 | ) |  | (63,217 | )
Purchases (1) | 159,658 |  |  | — |  |  | 2,426,210 |  |  | — |  |  | 2,585,868 |
Balance at the end of period | $ | 875,566 |  |  | $ | 36,575 |  |  | $ | 14,328,336 |  |  | $ | — |  |  | $ | 15,240,477 |
(1) During the three months ended March 31, 2019, the Company purchased first loss PO securities and certain IOs and mezzanine CMBS securities issued from securitizations that it determined to consolidate and included in the Consolidated K-Series. As a result, the Company consolidated assets of these securitizations in the amount of $2.4 billion during the three months ended March 31, 2019 (see Notes 2 and 6).
Schedule of Changes in Valuation of Level 3 Liabilities | The following tables detail changes in valuation for the Level 3 liabilities for the three months ended March 31, 2020 and 2019, respectively (amounts in thousands): Level 3 Liabilities:
| Three Months Ended March 31, 2020
| Multi-Family CDOs |  | SLST CDOs |  | Total
Balance at beginning of period | $ | 16,724,451 |  |  | $ | 1,052,829 |  |  | $ | 17,777,280 |
Total losses/(gains) (realized/unrealized) |  |  |  |  |
Included in earnings | 35,018 |  |  | (18,855 | ) |  | 16,163 |
Paydowns | (147,376 | ) |  | (21,208 | ) |  | (168,584 | )
Sales (1) | (16,612,093 | ) |  | 22,226 |  |  | (16,589,867 | )
Transfers out | — |  |  | — |  |  | — |
Balance at the end of period | $ | — |  |  | $ | 1,034,992 |  |  | $ | 1,034,992 |
(1) | During the three months ended March 31, 2020, the Company sold first loss PO securities included in the Consolidated K-Series and, as a result, de-consolidated the Multi-Family CDOs (see Notes 2 and 6). Also includes the Company's net sales of senior securities issued by Consolidated SLST during the three months ended March 31, 2020 (see Note 4).
| Three Months Ended March 31, 2019
| Multi-Family CDOs
Balance at beginning of period | $ | 11,022,248 |
Total losses (realized/unrealized) |
Included in earnings | 237,789 |
Purchases (1) | 2,324,639 |
Paydowns | (37,481 | )
Balance at the end of period | $ | 13,547,195 |
(1) During the three months ended March 31, 2019, the Company purchased first loss PO securities and certain IOs and mezzanine CMBS securities issued from securitizations that it determined to consolidate and included in the Consolidated K-Series. As a result, the Company consolidated liabilities of these securitizations in the amount of $2.3 billion during the three months ended March 31, 2019 (see Notes 2 and 6).
Schedule of Quantitative Information Regarding Significant and Unobservable Inputs used in Valuation of Level 3 Assets and Liabilities | The following table discloses quantitative information regarding the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value (dollar amounts in thousands, except input values):
March 31, 2020 |  | Fair Value |  | Valuation Technique |  | Unobservable Input |  | Weighted Average |  | Range
Assets |  |  |  |  |  |  |  |  |  |  |  |
Residential loans, at fair value: |  |  |  |  |  |  |  |  |  |  |  |
Residential loans and residential loans held in securitization trusts |  | $1,390,197 |  | Discounted cash flow |  | Lifetime CPR |  | 9.6% |  | — | - | 55.3%
|  |  |  |  |  | Lifetime CDR |  | 1.5% |  | — | - | 23.0%
|  |  |  |  |  | Loss severity |  | 16.4% |  | — | - | 100.0%
|  |  |  |  |  | Yield |  | 6.1% |  | 2.8% | - | 17.0%
|  | $168,134 |  | Liquidation model |  | Annual home price appreciation |  | 0.2% |  | — | - | 5.6%
|  |  |  |  |  | Liquidation timeline (months) |  | 28 |  | 1 | - | 57
|  |  |  |  |  | Property value |  | $482,658 |  | $2,500 | - | $3,400,000
|  |  |  |  |  | Yield |  | 7.5% |  | 7.5% | - | 15.0%
Residential loans held in Consolidated SLST (1) |  | $1,218,299 |  |  |  | Liability price |  | N/A |  |  |  |
Total |  | $2,776,630 |  |  |  |  |  |  |  |  |  |
Investments in unconsolidated entities |  | $126,865 |  | Discounted cash flow |  | Discount rate |  | 12.4% |  | 12.0% | - | 13.5%
|  |  |  |  |  | Months to assumed redemption |  | 46 |  | 21 | - | 59
|  |  |  |  |  | Loss severity |  | — |  |  |  |
Preferred equity and mezzanine loan investments |  | $179,292 |  | Discounted cash flow |  | Discount rate |  | 12.2% |  | 11.5% | - | 13.5%
|  |  |  |  |  | Months to assumed redemption |  | 48 |  | 10 | - | 189
|  |  |  |  |  | Loss severity |  | — |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Residential collateralized debt obligations, at fair value |  |  |  |  |  |  |  |  |  |  |  |
SLST CDOs (1) |  | $1,034,992 |  | Discounted cash flow |  | Yield |  | 4.0% |  | 2.7% | - | 14.9%
|  |  |  |  |  | Collateral prepayment rate |  | 5.7% |  | 3.8% | - | 6.2%
|  |  |  |  |  | Collateral default rate |  | 2.0% |  | — | - | 2.7%
|  |  |  |  |  | Loss severity |  | 22.2% |  | 0.1% | - | 24.4%
(1) In accordance with the practical expedient in ASC 810, the Company determines the fair value of the residential loans held in Consolidated SLST based on the fair value of SLST CDOs, including securities we own, as the fair value of these instruments is more observable. At March 31, 2020, the fair value of securities we owned in Consolidated SLST was $182.8 million.
Schedule of Changes in Unrealized Gains (Losses) Included in Earnings for Level 3 Assets and Liabilities | The following table details the changes in unrealized gains (losses) included in earnings for the three months ended March 31, 2020 and 2019 for our Level 3 assets and liabilities held as of March 31, 2020 and 2019, respectively (dollar amounts in thousands):
| Three Months Ended March 31,
| 2020 |  | 2019
Assets |  |  |
Residential loans, at fair value |  |  |
Residential loans (1) | $ | (76,295 | ) |  | $ | 9,337 |
Consolidated SLST (1) | (88,100 | ) |  | — |
Residential loans held in securitization trusts (1) | (1,700 | ) |  | — |
Investments in unconsolidated entities (2) | (4,023 | ) |  | 3,661 |
Preferred equity and mezzanine loan investments (1) | (5,559 | ) |  | — |
Multi-family loans held in securitization trusts, at fair value (1) | — |  |  | 274,683 |
Liabilities |  |  |
Multi-family collateralized debt obligations, at fair value (1) | — |  |  | (265,273 | )
Residential collateralized debt obligations, at fair value (1) | 21,966 |  |  | — |
(1) | Presented in unrealized gains (losses), net on the Company's condensed consolidated statements of operations.
(2) | Presented in other income on the Company's condensed consolidated statements of operations.
Schedule of Assets Measured at Fair Value on a Non-recurring Basis | The following table presents assets measured at fair value on a non-recurring basis as of December 31, 2019, on the Company's condensed consolidated balance sheets (dollar amounts in thousands):
|  | December 31, 2019
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Residential loans held in securitization trusts – impaired loans, net |  | — |  |  | — |  |  | $ | 5,256 |  |  | $ | 5,256 |
Schedule of Gains (Losses) Incurred for Assets Measured at Fair Value on a Non-recurring Basis | The following table presents gains (losses) incurred for assets measured at fair value on a non-recurring basis for the three months ended March 31, 2019, on the Company’s condensed consolidated statements of operations (dollar amounts in thousands):
| Three Months Ended March 31, 2019
Residential loans held in securitization trusts – impaired loans, net | $ | (38 | )
Schedule of Carrying Value and Estimated Fair Value of Financial Instruments | The following table presents a summary of the assets and liabilities of the Company's residential loan securitizations, Consolidated SLST and KRVI of as of March 31, 2020 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.
| Financing VIE |  | Other VIEs |  |
| Residential Loan Securitizations |  | Consolidated SLST |  | Other |  | Total
Cash and cash equivalents | $ | — |  |  | $ | — |  |  | $ | 4 |  |  | $ | 4 |
Residential loans, at fair value | 42,984 |  |  | 1,218,299 |  |  | — |  |  | 1,261,283 |
Receivables and other assets | 3,337 |  |  | 3,772 |  |  | 14,859 |  |  | 21,968 |
Total assets | $ | 46,321 |  |  | $ | 1,222,071 |  |  | $ | 14,863 |  |  | $ | 1,283,255 |
Residential collateralized debt obligations | $ | 38,959 |  |  | $ | — |  |  | $ | — |  |  | $ | 38,959 |
Residential collateralized debt obligations, at fair value | — |  |  | 1,034,992 |  |  | — |  |  | 1,034,992 |
Accrued expenses and other liabilities | 6 |  |  | 2,646 |  |  | 75 |  |  | 2,727 |
Total liabilities | $ | 38,965 |  |  | $ | 1,037,638 |  |  | $ | 75 |  |  | $ | 1,076,678 |
The following table presents a summary of the assets and liabilities of the Company's residential loan securitizations, the Consolidated K-Series, Consolidated SLST and KRVI as of December 31, 2019 (dollar amounts in thousands):
|  | Financing VIE |  | Other VIEs |  |
|  | Residential Loan Securitizations |  | Consolidated K-Series |  | Consolidated SLST |  | Other |  | Total
Cash and cash equivalents |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 107 |  |  | $ | 107 |
Residential loans held in securitization trusts, net |  | 44,030 |  |  | — |  |  | — |  |  | — |  |  | 44,030 |
Residential loans, at fair value |  | — |  |  | — |  |  | 1,328,886 |  |  | — |  |  | 1,328,886 |
Multi-family loans held in securitization trusts, at fair value |  | — |  |  | 17,816,746 |  |  | — |  |  | — |  |  | 17,816,746 |
Receivables and other assets |  | 1,328 |  |  | 59,417 |  |  | 5,244 |  |  | 14,626 |  |  | 80,615 |
Total assets |  | $ | 45,358 |  |  | $ | 17,876,163 |  |  | $ | 1,334,130 |  |  | $ | 14,733 |  |  | $ | 19,270,384 |
Residential collateralized debt obligations |  | $ | 40,429 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 40,429 |
Residential collateralized debt obligations, at fair value |  | — |  |  | — |  |  | 1,052,829 |  |  | — |  |  | 1,052,829 |
Multi-family collateralized debt obligations, at fair value |  | — |  |  | 16,724,451 |  |  | — |  |  | — |  |  | 16,724,451 |
Accrued expenses and other liabilities |  | 14 |  |  | 57,873 |  |  | 2,643 |  |  | 75 |  |  | 60,605 |
Total liabilities |  | $ | 40,443 |  |  | $ | 16,782,324 |  |  | $ | 1,055,472 |  |  | $ | 75 |  |  | $ | 17,878,314 |
The following table presents the carrying value and estimated fair value of the Company’s financial instruments at March 31, 2020 and December 31, 2019, respectively (dollar amounts in thousands):
|  |  | March 31, 2020 |  | December 31, 2019
| Fair Value Hierarchy Level |  | Carrying Value |  | Estimated Fair Value |  | Carrying Value |  | Estimated Fair Value
Financial Assets: |  |  |  |  |  |  |  |  |
Cash and cash equivalents | Level 1 |  | $ | 172,513 |  |  | $ | 172,513 |  |  | $ | 118,763 |  |  | $ | 118,763 |
Cash margin (1) | Level 1 |  | 169,484 |  |  | 169,484 |  |  | — |  |  | — |
Receivable for securities sold | Level 1 |  | 213,585 |  |  | 213,585 |  |  | — |  |  | — |
Investment securities available for sale, at fair value | Level 2 |  | 887,308 |  |  | 887,308 |  |  | 2,006,140 |  |  | 2,006,140 |
Residential loans, at fair value |  |  |  |  |  |  |  |  |
Residential loans | Level 3 |  | 1,515,347 |  |  | 1,515,347 |  |  | 1,429,754 |  |  | 1,429,754 |
Consolidated SLST | Level 3 |  | 1,218,299 |  |  | 1,218,299 |  |  | 1,328,886 |  |  | 1,328,886 |
Residential loans held in securitization trusts | Level 3 |  | 42,984 |  |  | 42,984 |  |  | — |  |  | — |
Residential loans, net | Level 3 |  | — |  |  | — |  |  | 202,756 |  |  | 208,471 |
Investments in unconsolidated entities | Level 3 |  | 211,965 |  |  | 211,965 |  |  | 189,965 |  |  | 191,359 |
Preferred equity and mezzanine loan investments | Level 3 |  | 179,292 |  |  | 179,292 |  |  | 180,045 |  |  | 182,465 |
Multi-family loans held in securitization trusts, at fair value | Level 3 |  | — |  |  | — |  |  | 17,816,746 |  |  | 17,816,746 |
Derivative assets | Level 2 |  | — |  |  | — |  |  | 15,878 |  |  | 15,878 |
Loans held for sale, net (1) | Level 3 |  | — |  |  | — |  |  | 2,406 |  |  | 2,482 |
Financial Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | Level 2 |  | 1,428,124 |  |  | 1,428,124 |  |  | 3,105,416 |  |  | 3,105,416 |
Residential collateralized debt obligations | Level 3 |  | 38,959 |  |  | 35,029 |  |  | 40,429 |  |  | 38,888 |
Multi-family collateralized debt obligations, at fair value | Level 3 |  | — |  |  | — |  |  | 16,724,451 |  |  | 16,724,451 |
Residential collateralized debt obligations, at fair value | Level 3 |  | 1,034,992 |  |  | 1,034,992 |  |  | 1,052,829 |  |  | 1,052,829 |
Subordinated debentures | Level 3 |  | 45,000 |  |  | 12,451 |  |  | 45,000 |  |  | 41,592 |
Convertible notes | Level 2 |  | 133,534 |  |  | 76,794 |  |  | 132,955 |  |  | 140,865 |
(1) | Included in receivables and other assets in the accompanying condensed consolidated balance sheets.

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- Definition Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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