Quarterly report pursuant to Section 13 or 15(d)

Assets And Liabilities Measured At Fair Value

v3.10.0.1
Assets And Liabilities Measured At Fair Value
6 Months Ended
Jun. 30, 2018
Assets and Liabilities Measured at Fair Value  
Assets and Liabilities Measured at Fair Value

(7)   Assets and Liabilities Measured at Fair Value

For assets and liabilities required to be reported at fair value, GAAP provides a hierarchy that prioritizes inputs to valuation techniques used to measure fair value into three broad levels. Level 1 inputs are quoted market prices in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date. Level 2 inputs are inputs, other than quoted market prices included within Level 1, that are observable for the asset or liability, either directly or indirectly. Level 3 inputs are unobservable inputs for the asset or liability.  Liberty does not have any assets or liabilities required to be measured at fair value considered to be Level 3.

Liberty's assets and liabilities measured at fair value are as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value Measurements at

 

Fair Value Measurements at

 

 

 

June 30, 2018

 

December 31, 2017

 

 

    

 

 

    

Quoted

    

 

    

 

    

Quoted

    

 

  

 

 

 

 

 

prices

 

 

 

 

 

prices

 

 

 

 

 

 

 

 

in active

 

Significant

 

 

 

in active

 

Significant

 

 

 

 

 

 

markets

 

other

 

 

 

markets

 

other

 

 

 

 

 

 

for identical

 

observable

 

 

 

for identical

 

observable

 

 

 

 

 

 

assets

 

inputs

 

 

 

assets

 

inputs

 

Description

 

Total

 

(Level 1)

 

(Level 2)

 

Total

 

(Level 1)

 

(Level 2)

 

 

 

amounts in millions

 

Cash equivalents

 

$

295

 

295

 

 —

 

804

 

804

 

 —

 

Debt and equity securities

 

$

1,362

 

259

 

1,103

 

1,047

 

467

 

580

 

Financial instrument assets

 

$

524

 

21

 

503

 

369

 

19

 

350

 

Debt

 

$

2,401

 

 —

 

2,401

 

2,115

 

 —

 

2,115

 

 

The majority of Liberty's Level 2 financial instruments are debt related instruments and derivative instruments. The Company notes that these assets and liabilities are not always traded publicly or not considered to be traded on "active markets," as defined in GAAP. The fair values for such instruments are derived from a typical model using observable market data as the significant inputs or a trading price of a similar asset or liability is utilized.  Accordingly, those debt securities, financial instruments and debt or debt related instruments are reported in the foregoing table as Level 2 fair value. The financial instrument assets classified as Level 1 and Level 2 in the table above are included in the Other assets line item in the condensed consolidated balance sheets.

Realized and Unrealized Gains (Losses) on Financial Instruments, net

Realized and unrealized gains (losses) on financial instruments, net are comprised of changes in the fair value of the following:

 

 

 

 

 

 

 

 

 

 

 

 

 

Three months ended 

 

Six months ended

 

 

 

June 30,

 

June 30,

 

 

    

2018

    

2017

    

2018

    

2017

 

 

 

amounts in millions

 

Debt and equity securities

 

$

84

 

(10)

 

158

 

20

 

Debt measured at fair value (a)

 

 

(133)

 

(78)

 

(103)

 

(194)

 

Change in fair value of bond hedges (b)

 

 

97

 

46

 

117

 

124

 

Other derivatives

 

 

10

 

(7)

 

39

 

(11)

 

 

 

$

58

 

(49)

 

211

 

(61)

 


(a)

Changes in unrealized gains (losses) on debt measured at fair value are due to market factors primarily driven by changes in the fair value of the underlying shares into which the debt is exchangeable.

(b)

Contemporaneously with the issuance of Liberty’s 1.375% Cash Convertible Notes due 2023, Liberty entered into privately negotiated cash convertible note hedges, which are expected to offset potential cash payments Liberty would be required to make in excess of the principal amount of Liberty’s 1.375% Cash Convertible Notes due 2023, upon conversion of the notes. The bond hedges are marked to market based on the trading price of underlying Series A Liberty SiriusXM, Liberty Braves and Liberty Formula One securities and other observable market data as the significant inputs (Level 2). See note 11 for additional discussion of the bond hedges.