Quarterly report pursuant to Section 13 or 15(d)

Assets And Liabilities Measured At Fair Value (Tables)

v3.21.1
Assets And Liabilities Measured At Fair Value (Tables)
3 Months Ended
Mar. 31, 2021
Assets and Liabilities Measured at Fair Value

Fair Value Measurements at

Fair Value Measurements at

March 31, 2021

December 31, 2020

    

    

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

$

2,704

 

2,704

 

 

2,586

    

2,586

    

Debt and equity securities

$

366

 

247

 

119

 

266

    

181

    

85

Financial instrument assets

$

443

 

89

 

354

 

424

    

84

    

340

Debt

$

4,718

 

 

4,718

 

4,545

    

    

4,545

Financial instrument liabilities

$

121

35

86

106

    

    

106

Realized and Unrealized Gains (Losses) on Financial Instruments

Three months ended

March 31,

    

2021

    

2020

 

amounts in millions

Debt and equity securities

$

49

 

(135)

Debt measured at fair value (a)

(113)

544

Change in fair value of bond hedges (b)

13

(323)

Other derivatives

 

2

 

(85)

$

(49)

 

1

(a) The Company elected to account for its exchangeable senior debentures and cash convertible notes using the fair value option. Changes in the fair value of the exchangeable senior debentures and cash convertible notes recognized in the condensed consolidated statements of operations are primarily due to market factors primarily driven by changes in the fair value of the underlying shares into which the debt is exchangeable. The Company isolates the portion of the unrealized gain (loss) attributable to changes in the instrument specific credit risk and recognizes such amount in other comprehensive earnings (loss). The change in the fair value of the exchangeable senior debentures and cash convertible notes attributable to changes in the instrument specific credit risk was a loss of $60 million and a gain of $275 million for the three months ended March 31, 2021 and 2020, respectively, and the cumulative change since issuance was a gain of $114 million as of March 31, 2021.
(b) Contemporaneously with the issuance of the Convertible Notes, 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 the Convertible Notes, 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 8 for additional discussion of the bond hedges.