157 defines fair value as "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."
Of note, this Statement requires consideration of the exit price paid (if liability) or received (if asset) in a hypothetical transaction in an orderly market (i.e., not a forced liquidation or sold under duress).
Examples may include infrequently traded asset backed securities or investments in privately owned companies SFAS No.
157, paragraph 32 requires two main types of disclosures – a Fair Value Balance Sheet and a Level 3 Rollforward.
This reconciliation must include the total gains and losses (realized and unrealized) for the period, the purchase, sales, issuances, and settlements (net), the transfers in and/or out of Level 3.
These are the two main tables disclosed, but additional information is required such as description of the valuation techniques, significant transfers between levels, etc.
Additionally, various regulatory bodies, such as the U.S. Securities and Exchange Commission (SEC), American Institute of Certified Public Accountants (AICPA), and other groups within the FASB, will issue further guidelines on SFAS No.