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Quarterly report pursuant to Section 13 or 15(d)

Assets and Liabilities Measured at Fair Value (Tables)

v3.22.2
Assets and Liabilities Measured at Fair Value (Tables)
6 Months Ended
Jun. 30, 2022
Assets and Liabilities Measured at Fair Value

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¹ó²¹¾±°ùÌý³Õ²¹±ô³Ü±ðÌý²Ñ±ð²¹²õ³Ü°ù±ð³¾±ð²Ô³Ù²õÌý²¹³Ù

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June 30, 2022

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December 31, 2021

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ÌýÌýÌýÌý

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ÌýÌýÌýÌý

Quoted

ÌýÌýÌýÌý

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ÌýÌýÌýÌý

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ÌýÌýÌýÌý

Quoted

ÌýÌýÌýÌý

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ÌýÌý

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prices

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prices

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¾±²ÔÌý²¹³¦³Ù¾±±¹±ð

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Significant

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¾±²ÔÌý²¹³¦³Ù¾±±¹±ð

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Significant

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markets

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other

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markets

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other

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´Ú´Ç°ùÌý¾±»å±ð²Ô³Ù¾±³¦²¹±ô

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observable

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´Ú´Ç°ùÌý¾±»å±ð²Ô³Ù¾±³¦²¹±ô

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observable

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assets

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inputs

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assets

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inputs

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Description

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Total

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(³¢±ð±¹±ð±ôÌý1)

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(³¢±ð±¹±ð±ôÌý2)

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Total

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(³¢±ð±¹±ð±ôÌý1)

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(³¢±ð±¹±ð±ôÌý2)

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²¹³¾´Ç³Ü²Ô³Ù²õÌý¾±²ÔÌý³¾¾±±ô±ô¾±´Ç²Ô²õ

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Cash equivalents

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$

2,276

Ìý

2,276

Ìý

—

Ìý

2,436

ÌýÌýÌýÌý

2,436

ÌýÌýÌýÌý

—

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Investment in trust account

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$

576

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576

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—

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575

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575

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—

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Debt and equity securities

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$

106

Ìý

106

Ìý

—

Ìý

217

ÌýÌýÌýÌý

217

ÌýÌýÌýÌý

—

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Financial instrument assets

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$

404

Ìý

83

Ìý

321

Ìý

640

ÌýÌýÌýÌý

99

ÌýÌýÌýÌý

541

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Debt

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$

3,581

Ìý

—

Ìý

3,581

Ìý

5,222

ÌýÌýÌýÌý

—

ÌýÌýÌýÌý

5,222

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Financial instrument liabilities

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$

6

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6

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—

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59

ÌýÌýÌýÌý

20

ÌýÌýÌýÌý

39

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Realized and Unrealized Gains (Losses) on Financial Instruments

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Three months ended

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Six months ended

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June 30,

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June 30,

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ÌýÌýÌýÌý

2022

ÌýÌýÌýÌý

2021

ÌýÌýÌýÌý

2022

ÌýÌýÌýÌý

2021

Ìý

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²¹³¾´Ç³Ü²Ô³Ù²õÌý¾±²ÔÌý³¾¾±±ô±ô¾±´Ç²Ô²õ

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Debt and equity securities

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$

(7)

Ìý

167

Ìý

(12)

Ìý

216

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Debt measured at fair value (a)

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577

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(71)

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646

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(184)

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Change in fair value of bond hedges (b)

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(201)

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46

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(269)

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59

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Other

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Ìý

11

Ìý

13

Ìý

74

Ìý

15

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$

380

Ìý

155

Ìý

439

Ìý

106

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(a) The Company elected to account for its exchangeable senior debentures and cash convertible notes (as described in note 8) 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 gain of $52 million and a loss of $8 million for the three months ended June 30, 2022 and 2021, respectively, and a gain of $41 million and a loss of $68 million for the six months ended June 30, 2022 and 2021, respectively, and the cumulative change since issuance was a gain of $109 million as of June 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.