Annual report pursuant to Section 13 and 15(d)

Assets And Liabilities Measured At Fair Value

v3.6.0.2
Assets And Liabilities Measured At Fair Value
12 Months Ended
Dec. 31, 2016
Assets and Liabilities Measured at Fair Value  
Assets And Liabilities Measured At Fair Value

(6)   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. The Company does not have any recurring assets or liabilities measured at fair value that would be considered Level 3.

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2016

 

December 31, 2015

 

 

    

 

 

    

Quoted prices

    

Significant other

    

 

    

Quoted prices

    

Significant other

 

 

 

 

 

 

in active markets

 

observable

 

 

 

in active markets

 

observable

 

 

 

 

 

 

for identical assets

 

inputs

 

 

 

for identical assets

 

inputs

 

Description

 

Total

 

(Level 1)

 

(Level 2)

 

Total

 

(Level 1)

 

(Level 2)

 

 

 

amounts in millions

 

Cash equivalents

    

$

289

    

289

    

 —

    

68

    

68

    

 —

  

Available-for-sale securities

 

$

489

    

489

    

 —

 

474

    

425

    

49

 

Financial instrument assets

 

$

286

    

16

    

270

 

232

    

 —

    

232

 

Debt

 

$

1,546

    

 —

    

1,546

 

995

    

 —

    

995

 

 

The majority of Liberty's Level 2 financial instruments are debt related instruments and derivative instruments. The Company notes that these assets 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. The fair value of debt related instruments are based on quoted market prices but not considered to be traded on "active markets," as defined by GAAP. Accordingly, those available-for-sale securities, financial instruments and debt related instruments are reported in the foregoing table as Level 2 fair value. The financial instrument assets included in the table above are included in the Other assets line item in the consolidated balance sheets.

 

Realized and Unrealized Gains (Losses) on Financial Instruments

 

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

 

 

 

 

 

 

 

 

 

 

 

 

Years ended December 31,

 

 

    

2016

    

2015

    

2014

 

 

 

 

 

 

 

 

 

 

Fair Value Option Securities

 

$

112

 

(151)

 

80

 

Cash convertible notes (a)

 

 

(113)

 

(5)

 

12

 

Change in fair value of bond hedges (a)

 

 

37

 

23

 

(89)

 

Other derivatives (b)

 

 

1

 

(7)

 

35

 

 

 

$

37

 

(140)

 

38

 


(a)

Liberty issued $1 billion of cash convertible notes in October 2013 which are accounted for at fair value (Level 2), as elected by Liberty at the time of issuance. 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 securities and other observable market data as the significant inputs (Level 2). See note 10 for additional discussion of the convertible notes and the bond hedges. 

(b)

Derivatives are marked to market based on the trading price of underlying securities and other observable market data as the significant inputs (Level 2). During September 2014, Liberty entered into a forward contract to acquire up to 15.9 million shares of Live Nation common stock. Prior to the contract’s original expiration during March 2015, the Company extended the contract through October 15, 2015 with expiration occurring on the sixtieth day following the completion of the counterparty’s initial hedge, which was November 27, 2015 and settlement occurring on December 2, 2015. The counterparty acquired the maximum number of Live Nation shares of common stock at a volume weighted average share price of $24.93 per share during September 2015. Liberty settled the contract for $396 million paid to the counterparty. During June 2016, Braves Holdings entered into two interest rate swap arrangements with a notional value of $50 million related to certain of its variable rate loans. The interest rate swaps are marked to market each period based on changes in the LIBOR rate. The interest rate swaps are scheduled to mature in June 2019.