Finance of America Companies Inc.FOA
Finance of America Companies Inc. Fair Value Disclosure
5. Fair Value
Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value is based on the assumptions market participants would use when pricing an asset or liability and follows a fair value hierarchy that prioritizes the information used to develop those assumptions. The fair value hierarchy gives the highest priority to quoted prices available in active markets (i.e., observable inputs) and the lowest priority to data lacking transparency (i.e., unobservable inputs). In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the asset or liability.
All aspects of nonperformance risk, including the Company’s own credit standing, are considered when measuring the fair value of a liability.
Following is a description of the three levels of the fair value hierarchy:
Level 1 Inputs: Quoted prices for identical instruments in active markets.
Level 2 Inputs: Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.
Level 3 Inputs: Instruments with unobservable inputs that are significant to the fair value measurement.
The Company classifies assets and liabilities in their entirety based on the lowest level of input that is significant to the fair value measurement. The Company recognizes transfers between levels of the fair value hierarchy as of the end of the reporting period. There were no transfers into or out of Level 3 within the fair value hierarchy during the years ended December 31, 2025 and 2024.
Following are descriptions of the valuation methodologies used to measure material assets and liabilities at fair value and the details of the valuation models, key inputs to those models, and significant assumptions utilized. Within the assumption tables presented, not meaningful (“NM”) refers to a range of inputs that is too broad to provide meaningful information to the user or to an input that has no range and consists of a single data point. Weighted averages are calculated by weighting each input by the relative outstanding balance of the related financial instrument.
| Instrument | Valuation Techniques | Classification of Fair Value Hierarchy | |||||||||
| Assets | |||||||||||
Loans held for investment, subject to HMBS related obligations(1) | |||||||||||
| HECM loans - securitized into Ginnie Mae HMBS | These loans are valued utilizing a present value methodology that discounts estimated future cash flows over the life of the loan portfolio using weighted average remaining life (“WAL”), conditional prepayment rate (“CPR”), loss frequency, loss severity, borrower draw rate, and discount rate assumptions. | Level 3 | |||||||||
Loans held for investment, subject to nonrecourse debt(1) | |||||||||||
| Non-agency reverse mortgage loans - securitized | These loans are valued utilizing a present value methodology that discounts estimated future cash flows over the life of the loan portfolio using WAL, loan-to-value (“LTV”), CPR, loss severity, home price appreciation (“HPA”), and discount rate assumptions, inclusive of the credit spread component. | Level 3 | |||||||||
| HECM buyouts - securitized (performing) | These loans are valued utilizing a present value methodology that discounts estimated future cash flows over the life of the loan portfolio using WAL, CPR, loss severity, and discount rate assumptions. | Level 3 | |||||||||
| HECM buyouts - securitized (nonperforming) | These loans are valued utilizing a present value methodology that discounts estimated future cash flows over the life of the loan portfolio using WAL, CPR, loss frequency, loss severity, and discount rate assumptions. | Level 3 | |||||||||
(1) The Company aggregates loan portfolios based on the underlying securitization trust and values these loans using these aggregated pools. The range of inputs provided is based on the range of inputs utilized for each securitization trust. | |||||||||||
| Loans held for investment | |||||||||||
| Non-agency reverse mortgage loans | These loans are valued utilizing a present value methodology that discounts estimated future cash flows over the life of the loan portfolio using WAL, LTV, CPR, loss severity, HPA, and discount rate assumptions, inclusive of the credit spread component. | Level 3 | |||||||||
| HECM buyouts (nonperforming) | The fair value of nonperforming repurchased loans is based on expected cash proceeds from the liquidation of the underlying properties and expected claim proceeds from HUD. These loans are valued utilizing a present value methodology that discounts estimated future cash flows over the life of the loan portfolio using WAL, CPR, loss frequency, loss severity, and discount rate. Termination proceeds are adjusted for expected loss frequencies and severities to arrive at net proceeds that will be provided upon final resolution, including assignments to the FHA. Historical experience is utilized to estimate the loss rates resulting from scenarios where FHA insurance proceeds are not expected to cover all principal and interest outstanding and, as servicer, the Company is exposed to losses upon resolution of the loan. | Level 3 | |||||||||
| Other assets | |||||||||||
| Loans held for sale | The reverse mortgage loans are valued based on an expected margin on sale. | Level 3 | |||||||||
| Retained bonds | Management obtains third-party valuations to assess the reasonableness of the fair value calculations provided by the internal valuation model. The primary assumptions utilized include WAL and discount rate. | Level 3 | |||||||||
| Liabilities | |||||||||||
| HMBS related obligations | |||||||||||
| HMBS related obligations | The fair value is based on the net present value of projected cash flows over the estimated life of the liability. The fair value of the HMBS related obligations also includes the consideration required by a market participant to transfer the HECM and HMBS servicing obligations, including exposure resulting from shortfalls in FHA insurance proceeds as well as assumptions that it believes a market participant would consider in valuing the liability, including, but not limited to, assumptions for repayment, costs to transfer servicing obligations, shortfalls in FHA insurance proceeds, and discount rates. The significant unobservable inputs used in the measurement include WAL, CPR, and discount rates. | Level 3 | |||||||||
| Nonrecourse debt | |||||||||||
| Non-agency reverse mortgage loan securitizations and performing/nonperforming HECM securitizations | The fair value is based on the net present value of projected cash flows over the estimated life of the liability. The significant unobservable inputs used in the measurement include WAL, CPR, and discount rates, inclusive of the credit spread component. | Level 3 | |||||||||
| Convertible Notes | |||||||||||
| Convertible Notes | The Convertible Notes are measured based on the closing market price of the Company’s publicly-traded stock on the applicable date of the Consolidated Statements of Financial Condition. Refer to Note 13 - Notes Payable for additional information. There were no Convertible Notes as of December 31, 2024. | Level 2 | |||||||||
| Repurchase Agreement obligation | |||||||||||
| Repurchase Agreement obligation | The Repurchase Agreement obligation is measured based on the total consideration to be paid upon the second closing of the Repurchase. Refer to Note 23 - Related Party Transactions for additional information. There was no obligation as of December 31, 2024. | Level 2 | |||||||||
| Deferred purchase price liabilities | |||||||||||
| AAG/Bloom | These liabilities are measured based on the estimated amount of indemnified claims associated with the acquisition of certain assets and liabilities from AAG/Bloom, and the closing market price of the Company’s publicly-traded stock on the applicable date of the Consolidated Statements of Financial Condition. | Level 3 | |||||||||
| TRA obligation | The fair value is derived through the use of a DCF model. The significant unobservable assumptions used in the DCF include the ability to utilize tax attributes based on current tax forecasts, a constant U.S. federal income tax rate, and a discount rate. | Level 3 | |||||||||
| December 31, 2025 | December 31, 2024 | ||||||||||||||||||||||||||||
| Instrument / Unobservable Inputs | Range | Weighted Average | Range | Weighted Average | |||||||||||||||||||||||||
| Assets | |||||||||||||||||||||||||||||
| Loans held for investment, subject to HMBS related obligations | |||||||||||||||||||||||||||||
| WAL (in years) | NM | 3.1 | NM | 3.0 | |||||||||||||||||||||||||
| CPR | NM | 20.9 | % | NM | 21.6 | % | |||||||||||||||||||||||
| Loss frequency | NM | 4.5 | % | NM | 4.4 | % | |||||||||||||||||||||||
| Loss severity | 5.8% - 15.8% | 6.0 | % | 3.4% - 15.9% | 3.5 | % | |||||||||||||||||||||||
| Average draw rate | NM | 1.1 | % | NM | 1.1 | % | |||||||||||||||||||||||
| Discount rate | NM | 4.7 | % | NM | 5.3 | % | |||||||||||||||||||||||
| Loans held for investment, subject to nonrecourse debt: | |||||||||||||||||||||||||||||
| Non-agency reverse mortgage loans - securitized | |||||||||||||||||||||||||||||
| WAL (in years) | NM | 9.8 | NM | 10.1 | |||||||||||||||||||||||||
| LTV | NM | 49.9 | % | 0.0% - 98.0% | 47.2 | % | |||||||||||||||||||||||
| CPR | NM | 15.0 | % | NM | 14.8 | % | |||||||||||||||||||||||
| Loss severity | NM | 10.0 | % | NM | 10.0 | % | |||||||||||||||||||||||
| HPA | (6.8)% - 5.3% | 3.7 | % | (5.6)% - 8.3% | 3.6 | % | |||||||||||||||||||||||
| Discount rate | NM | 6.3 | % | NM | 7.0 | % | |||||||||||||||||||||||
| HECM buyouts - securitized (performing) | |||||||||||||||||||||||||||||
| WAL (in years) | NM | 6.9 | NM | 7.1 | |||||||||||||||||||||||||
| CPR | NM | 16.3 | % | NM | 15.1 | % | |||||||||||||||||||||||
| Loss severity | 6.0% - 13.3% | 8.4 | % | 3.4% - 15.9% | 4.7 | % | |||||||||||||||||||||||
| Discount rate | NM | 7.3 | % | NM | 8.0 | % | |||||||||||||||||||||||
| HECM buyouts - securitized (nonperforming) | |||||||||||||||||||||||||||||
| WAL (in years) | NM | 1.5 | NM | 1.5 | |||||||||||||||||||||||||
| CPR | NM | 41.5 | % | NM | 40.0 | % | |||||||||||||||||||||||
| Loss frequency | NM | 45.5 | % | 23.1% - 100.0% | 45.6 | % | |||||||||||||||||||||||
| Loss severity | 6.0% - 13.3% | 6.8 | % | 3.4% - 15.9% | 5.2 | % | |||||||||||||||||||||||
| Discount rate | NM | 6.8 | % | NM | 8.0 | % | |||||||||||||||||||||||
| Loans held for investment: | |||||||||||||||||||||||||||||
| Non-agency reverse mortgage loans | |||||||||||||||||||||||||||||
| WAL (in years) | NM | 11.1 | NM | 10.5 | |||||||||||||||||||||||||
| LTV | NM | 43.2 | % | 5.9% - 70.6% | 35.1 | % | |||||||||||||||||||||||
| CPR | NM | 14.9 | % | NM | 16.2 | % | |||||||||||||||||||||||
| Loss severity | NM | 10.0 | % | NM | 10.0 | % | |||||||||||||||||||||||
| HPA | (6.8)% - 5.3% | 3.6 | % | (5.6)% - 8.3% | 3.5 | % | |||||||||||||||||||||||
| December 31, 2025 | December 31, 2024 | ||||||||||||||||||||||||||||
| Instrument / Unobservable Inputs | Range | Weighted Average | Range | Weighted Average | |||||||||||||||||||||||||
| Discount rate | NM | 6.3 | % | NM | 7.1 | % | |||||||||||||||||||||||
| HECM buyouts (nonperforming) | |||||||||||||||||||||||||||||
| WAL (in years) | NM | 1.3 | NM | 1.5 | |||||||||||||||||||||||||
| CPR | NM | 45.4 | % | NM | 43.8 | % | |||||||||||||||||||||||
| Loss frequency | NM | 42.3 | % | NM | 47.9 | % | |||||||||||||||||||||||
| Loss severity | 6.0% - 13.3% | 11.2 | % | 3.4% - 15.9% | 10.5 | % | |||||||||||||||||||||||
| Discount rate | NM | 6.8 | % | NM | 8.0 | % | |||||||||||||||||||||||
| Other assets: | |||||||||||||||||||||||||||||
| Retained bonds | |||||||||||||||||||||||||||||
| WAL (in years) | NM | 3.0 | NM | 3.5 | |||||||||||||||||||||||||
| Discount rate | (1.7)% - 15.3% | 7.1 | % | (1.3)% - 15.3% | 7.3 | % | |||||||||||||||||||||||
| Liabilities | |||||||||||||||||||||||||||||
| HMBS related obligations | |||||||||||||||||||||||||||||
| WAL (in years) | NM | 3.9 | NM | 3.8 | |||||||||||||||||||||||||
| CPR | NM | 24.8 | % | NM | 24.8 | % | |||||||||||||||||||||||
| Discount rate | NM | 4.6 | % | NM | 5.2 | % | |||||||||||||||||||||||
| Nonrecourse debt: | |||||||||||||||||||||||||||||
| Non-agency reverse mortgage loan securitizations | |||||||||||||||||||||||||||||
| WAL (in years) | 0.1 - 10.5 | 6.4 | 0.1 - 10.9 | 3.7 | |||||||||||||||||||||||||
| CPR | NM | 21.8 | % | NM | 17.3 | % | |||||||||||||||||||||||
| Discount rate | NM | 6.0 | % | NM | 6.7 | % | |||||||||||||||||||||||
| Performing/nonperforming HECM securitizations | |||||||||||||||||||||||||||||
| WAL (in years) | NM | 1.2 | NM | 1.0 | |||||||||||||||||||||||||
| CPR | NM | 57.4 | % | NM | 18.6 | % | |||||||||||||||||||||||
| Discount rate | NM | 5.4 | % | NM | 7.5 | % | |||||||||||||||||||||||
| Deferred purchase price liabilities: | |||||||||||||||||||||||||||||
| TRA obligation | |||||||||||||||||||||||||||||
| Discount rate | NM | 26.6 | % | NM | 28.1 | % | |||||||||||||||||||||||
Fair Value of Assets and Liabilities
The following tables present assets and liabilities that are measured at fair value on a recurring basis (in thousands):
| December 31, 2025 | |||||||||||||||||||||||
| Total Fair Value | Level 1 | Level 2 | Level 3 | ||||||||||||||||||||
| Assets | |||||||||||||||||||||||
| Loans held for investment, subject to HMBS related obligations | $ | 19,135,403 | $ | — | $ | — | $ | 19,135,403 | |||||||||||||||
| Loans held for investment, subject to nonrecourse debt | 10,026,177 | — | — | 10,026,177 | |||||||||||||||||||
| Loans held for investment | 870,081 | — | — | 870,081 | |||||||||||||||||||
| Other assets: | |||||||||||||||||||||||
| Loans held for sale | 37,461 | — | 1,338 | 36,123 | |||||||||||||||||||
| Retained bonds | 38,685 | — | — | 38,685 | |||||||||||||||||||
| Total assets | $ | 30,107,807 | $ | — | $ | 1,338 | $ | 30,106,469 | |||||||||||||||
| Liabilities | |||||||||||||||||||||||
| HMBS related obligations | $ | 18,912,226 | $ | — | $ | — | $ | 18,912,226 | |||||||||||||||
| Nonrecourse debt | 9,736,493 | — | — | 9,736,493 | |||||||||||||||||||
| Convertible Notes | 53,800 | — | 53,800 | — | |||||||||||||||||||
| Repurchase Agreement obligation | 40,595 | — | 40,595 | — | |||||||||||||||||||
| Deferred purchase price liabilities: | |||||||||||||||||||||||
| AAG/Bloom | 8,646 | — | — | 8,646 | |||||||||||||||||||
| TRA obligation | 3,901 | — | — | 3,901 | |||||||||||||||||||
| Total liabilities | $ | 28,755,661 | $ | — | $ | 94,395 | $ | 28,661,266 | |||||||||||||||
| December 31, 2024 | |||||||||||||||||||||||
| Total Fair Value | Level 1 | Level 2 | Level 3 | ||||||||||||||||||||
| Assets | |||||||||||||||||||||||
| Loans held for investment, subject to HMBS related obligations | $ | 18,669,962 | $ | — | $ | — | $ | 18,669,962 | |||||||||||||||
| Loans held for investment, subject to nonrecourse debt | 9,288,403 | — | — | 9,288,403 | |||||||||||||||||||
| Loans held for investment | 520,103 | — | — | 520,103 | |||||||||||||||||||
| Other assets: | |||||||||||||||||||||||
| Loans held for sale | 3,454 | — | 3,454 | — | |||||||||||||||||||
| Retained bonds | 40,407 | — | — | 40,407 | |||||||||||||||||||
| Total assets | $ | 28,522,329 | $ | — | $ | 3,454 | $ | 28,518,875 | |||||||||||||||
| Liabilities | |||||||||||||||||||||||
| HMBS related obligations | $ | 18,444,370 | $ | — | $ | — | $ | 18,444,370 | |||||||||||||||
| Nonrecourse debt | 8,954,068 | — | — | 8,954,068 | |||||||||||||||||||
| Deferred purchase price liabilities: | |||||||||||||||||||||||
| AAG/Bloom | 13,370 | — | — | 13,370 | |||||||||||||||||||
| TRA obligation | 3,314 | — | — | 3,314 | |||||||||||||||||||
| Total liabilities | $ | 27,415,122 | $ | — | $ | — | $ | 27,415,122 | |||||||||||||||
The following tables present Level 3 assets and liabilities that are measured at fair value on a recurring basis (in thousands):
| Assets | |||||||||||||||||||||||
| Year ended December 31, 2025 | Loans held for investment | Loans held for investment, subject to nonrecourse debt | Loans held for sale | Retained bonds | |||||||||||||||||||
| Beginning balance | $ | 19,190,065 | $ | 9,288,403 | $ | — | $ | 40,407 | |||||||||||||||
| Total gain (loss) included in earnings | 1,473,731 | 966,349 | (1,305) | 1,903 | |||||||||||||||||||
| Purchases, settlements, and transfers: | |||||||||||||||||||||||
| Purchases and additions | 3,322,290 | 24,735 | 71,971 | — | |||||||||||||||||||
| Sales and settlements | (2,949,938) | (1,085,448) | (220,520) | (3,625) | |||||||||||||||||||
| Transfers in (out) between categories | (1,030,664) | 832,138 | 185,977 | — | |||||||||||||||||||
| Ending balance | $ | 20,005,484 | $ | 10,026,177 | $ | 36,123 | $ | 38,685 | |||||||||||||||
| Liabilities | |||||||||||||||||
| Year ended December 31, 2025 | HMBS related obligations | Nonrecourse debt | Deferred purchase price liabilities | ||||||||||||||
| Beginning balance | $ | (18,444,370) | $ | (8,954,068) | $ | (16,684) | |||||||||||
| Total gain (loss) included in earnings | (1,116,201) | (733,504) | 1,931 | ||||||||||||||
| Purchases, settlements, and transfers: | |||||||||||||||||
| Purchases and additions | (2,006,384) | (4,991,431) | — | ||||||||||||||
| Settlements | 2,654,729 | 4,942,510 | 2,206 | ||||||||||||||
| Ending balance | $ | (18,912,226) | $ | (9,736,493) | $ | (12,547) | |||||||||||
| Assets | |||||||||||||||||||||||
| Year ended December 31, 2024 | Loans held for investment | Loans held for investment, subject to nonrecourse debt | MSR | Retained bonds | |||||||||||||||||||
| Beginning balance | $ | 18,123,991 | $ | 8,272,393 | $ | 6,436 | $ | 44,297 | |||||||||||||||
| Total gain (loss) included in earnings | 1,753,126 | 639,122 | (920) | (684) | |||||||||||||||||||
| Purchases, settlements, and transfers: | |||||||||||||||||||||||
| Purchases and additions | 2,870,747 | 41,134 | — | — | |||||||||||||||||||
| Sales and settlements | (2,256,238) | (988,337) | (5,516) | (3,206) | |||||||||||||||||||
| Transfers in (out) between categories | (1,301,561) | 1,324,091 | — | — | |||||||||||||||||||
| Ending balance | $ | 19,190,065 | $ | 9,288,403 | $ | — | $ | 40,407 | |||||||||||||||
| Liabilities | |||||||||||||||||
| Year ended December 31, 2024 | HMBS related obligations | Nonrecourse debt | Deferred purchase price liabilities | ||||||||||||||
| Beginning balance | $ | (17,353,720) | $ | (7,904,200) | $ | (8,855) | |||||||||||
| Total loss included in earnings | (1,340,956) | (644,705) | (7,966) | ||||||||||||||
| Purchases, settlements, and transfers: | |||||||||||||||||
| Purchases and additions | (2,003,170) | (3,177,025) | — | ||||||||||||||
| Settlements | 2,253,476 | 2,771,862 | 137 | ||||||||||||||
| Ending balance | $ | (18,444,370) | $ | (8,954,068) | $ | (16,684) | |||||||||||
The following table presents the total amount of loans held for investment that were greater than 90 days past due and on non-accrual status (in thousands):
| December 31, 2025 | December 31, 2024 | ||||||||||||||||||||||||||||||||||
| UPB | Fair Value | Difference | UPB | Fair Value | Difference | ||||||||||||||||||||||||||||||
| Loans held for investment, subject to nonrecourse debt | $ | — | $ | — | $ | — | $ | 32,067 | $ | 19,362 | $ | (12,705) | |||||||||||||||||||||||
| Loans held for investment | 7,019 | 6,142 | (877) | 222 | 155 | (67) | |||||||||||||||||||||||||||||
| Total | $ | 7,019 | $ | 6,142 | $ | (877) | $ | 32,289 | $ | 19,517 | $ | (12,772) | |||||||||||||||||||||||
Fair Value Option
The Company has elected to measure its loans held for investment, loans held for sale, HMBS related obligations, nonrecourse debt, and Convertible Notes (as defined in Note 13 - Notes Payable) at fair value under the fair value option. The Company elected to apply the provisions of the fair value option to these assets and liabilities in order to align financial reporting presentation with the Company’s operational and risk management strategies. The following table presents the fair value and the UPB of these financial assets and liabilities (in thousands):
| December 31, 2025 | December 31, 2024 | ||||||||||||||||||||||
| Fair Value | UPB | Fair Value | UPB | ||||||||||||||||||||
| Assets | |||||||||||||||||||||||
| Loans held for investment, subject to HMBS related obligations | $ | 19,135,403 | $ | 17,983,144 | $ | 18,669,962 | $ | 17,652,495 | |||||||||||||||
| Loans held for investment, subject to nonrecourse debt | 10,026,177 | 9,567,732 | 9,288,403 | 9,218,697 | |||||||||||||||||||
| Loans held for investment | 870,081 | 790,342 | 520,103 | 503,949 | |||||||||||||||||||
| Other assets: | |||||||||||||||||||||||
| Loans held for sale | 37,461 | 34,515 | 3,454 | 4,331 | |||||||||||||||||||
| Liabilities | |||||||||||||||||||||||
| HMBS related obligations | 18,912,226 | 17,983,144 | 18,444,370 | 17,652,495 | |||||||||||||||||||
| Nonrecourse debt | 9,736,493 | 9,960,524 | 8,954,068 | 9,363,919 | |||||||||||||||||||
| Convertible Notes | 53,800 | 40,000 | — | — | |||||||||||||||||||
Fair Value of Other Financial Instruments
As of December 31, 2025 and 2024, all financial instruments were either recorded at fair value or the carrying value approximated fair value with the exception of certain notes payable. The fair value of our notes payable was determined using quoted market prices adjusted for accrued interest, which is considered to be a Level 2 input, or for notes payable with an original maturity of a year or less, the carrying value approximates fair value, which is determined using Level 2 inputs. Refer to Note 13 - Notes Payable for additional information.
The following table presents the amortized cost and fair value of notes payable (in thousands):
| December 31, 2025 | December 31, 2024 | ||||||||||||||||||||||
| Carrying Value | Fair Value | Carrying Value | Fair Value | ||||||||||||||||||||
| Senior Secured Notes | $ | 126,089 | $ | 149,620 | $ | 156,074 | $ | 185,632 | |||||||||||||||
| Exchangeable Secured Notes | 130,040 | 178,428 | 126,059 | 191,110 | |||||||||||||||||||
| LFH Promissory Note | 20,000 | 20,000 | — | — | |||||||||||||||||||
| 2025 Unsecured Notes | — | — | 7,378 | 6,187 | |||||||||||||||||||
| Working Capital Promissory Notes | — | — | 85,000 | 85,000 | |||||||||||||||||||
| Total notes recorded at amortized cost | 276,129 | $ | 348,048 | 374,511 | $ | 467,929 | |||||||||||||||||
| Convertible Notes, recorded at fair value | 53,800 | — | |||||||||||||||||||||
| Total notes payable | $ | 329,929 | $ | 374,511 | |||||||||||||||||||
For other financial instruments that were not recorded at fair value, such as cash and cash equivalents, including restricted cash, and other financing lines of credit, the carrying value approximates fair value due to the short-term nature of such instruments. The fair value of assets and liabilities whose carrying value approximates fair value is determined using Level 2 inputs, with the exception of cash and cash equivalents, including restricted cash, which are Level 1 inputs.
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 13, 2026 | Showing above |
| 2024 | Mar 14, 2025 | |
| 2023 | Mar 15, 2024 | |
| 2022 | Mar 16, 2023 | |
| 2021 | Mar 15, 2022 | |
About Fair Value Disclosures
Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.
Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.