Quarterly report pursuant to Section 13 or 15(d)

Assets and Liabilities Measured at Fair Value (Tables)

v3.22.2.2
Assets and Liabilities Measured at Fair Value (Tables)
9 Months Ended
Sep. 30, 2022
Assets and Liabilities Measured at Fair Value

Fair Value Measurements at

Fair Value Measurements at

September 30, 2022

December 31, 2021

    

    

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

$

2,348

 

2,348

 

 

2,436

    

2,436

    

Investment in trust account

$

578

578

575

575

Debt and equity securities

$

108

 

108

 

 

217

    

217

    

Financial instrument assets

$

380

 

81

 

299

 

640

    

99

    

541

Debt

$

3,351

 

 

3,351

 

5,222

    

    

5,222

Financial instrument liabilities

$

59

    

20

    

39

Realized and Unrealized Gains (Losses) on Financial Instruments

Three months ended

Nine months ended

September 30,

September 30,

    

2022

    

2021

    

2022

    

2021

 

amounts in millions

Debt and equity securities

$

2

 

(6)

 

(10)

 

210

Debt measured at fair value (a)

45

(57)

691

(241)

Change in fair value of bond hedges (b)

21

18

(248)

77

Other

 

38

 

5

 

112

 

20

$

106

 

(40)

 

545

 

66

(a) The Company elected to account for its exchangeable senior debentures and convertible notes (as described in note 8) using the fair value option. Changes in the fair value of the exchangeable senior debentures and 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 convertible notes attributable to changes in the instrument specific credit risk was a loss of $41 million and a loss of $46 million for the three months ended September 30, 2022 and 2021, respectively, and zero net impact and a loss of $114 million for the nine months ended September 30, 2022 and 2021, respectively, and the cumulative change since issuance was a gain of $68 million as of September 30, 2022, net of the recognition of previously unrecognized gains and losses.
(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.