Quarterly report pursuant to Section 13 or 15(d)

Assets And Liabilities Measured At Fair Value (Tables)

v3.20.2
Assets And Liabilities Measured At Fair Value (Tables)
9 Months Ended
Sep. 30, 2020
Assets and Liabilities Measured at Fair Value

Fair Value Measurements at

Fair Value Measurements at

September 30, 2020

December 31, 2019

    

    

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

$

1,668

 

1,668

 

 

992

 

992

 

Debt and equity securities

$

231

 

178

 

53

 

353

 

242

 

111

Financial instrument assets

$

214

 

31

 

183

 

498

 

29

469

Debt

$

3,237

 

 

3,237

 

3,678

 

 

3,678

Financial instrument liabilities

$

121

121

53

53

Realized and Unrealized Gains (Losses) on Financial Instruments

Three months ended

Nine months ended

September 30,

September 30,

    

2020

    

2019

    

2020

    

2019

 

amounts in millions

Debt and equity securities

$

4

 

18

 

(109)

 

89

Debt measured at fair value (a)

44

(62)

326

(295)

Change in fair value of bond hedges (b)

(32)

68

(282)

107

Other derivatives

 

 

(10)

 

(98)

 

(72)

$

16

 

14

 

(163)

 

(171)

(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 $193 million and a loss of $29 million for the three months ended September 30, 2020 and 2019,
respectively, and a gain of $109 million and a loss of $33 million for the nine months ended September 30, 2020 and 2019, respectively, and the cumulative change was a gain of $136 million as of September 30, 2020.
(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 9 for additional discussion of the bond hedges.