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Quarterly report pursuant to Section 13 or 15(d)

Assets And Liabilities Measured At Fair Value

v3.7.0.1
Assets And Liabilities Measured At Fair Value
 6 Months Ended
Jun. 30, 2017
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. Level1 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. Level2 inputs are inputs, other than quoted market prices included within Level1, that are observable for the asset or liability, either directly or indirectly. Level3 inputs are unobservable inputs for the asset or liability.Liberty does not have any assets or liabilities required to be measured at fair value considered to be Level 3.

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

FairValueMeasurementsat

FairValueMeasurementsat

June 30, 2017

December 31, 2016

Quoted

Quoted

prices

prices

inactive

Significant

inactive

Significant

markets

other

markets

other

foridentical

observable

foridentical

observable

assets

inputs

assets

inputs

Description

Total

(Level1)

(Level2)

Total

(Level1)

(Level2)

amountsinmillions

Cash equivalents

$

502

502

—

289

289

—

Available-for-sale securities

$

681

508

173

489

489

—

Financial instrument assets

$

413

18

395

286

16

270

Debt

$

2,183

—

2,183

1,546

—

1,546

The majority of Liberty's Level2 financial assets and debt are investments in debt related instruments and derivative instruments. In addition, SIRIUS XM’s investment in Pandora Media, Inc. (“Pandora”) is classified as Level 2. See note 7 for information related to the investment in Pandora. The Company notes that these assets and liabilities 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 or a trading price of a similar asset or liability is utilized.Accordingly, those available-for-sale securities, financial instruments and debt or debt related instruments are reported in the foregoing table as Level2 fair value. The financial instrument assets classified as Level 1 and Level 2 in the table above are included in the Other assets line item in the condensed consolidated balance sheets.

Realized and Unrealized Gains (Losses) on Financial Instruments, net

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

Three months ended

Six months ended

June 30,

June 30,

2017

2016

2017

2016

amountsinmillions

Fair Value Option Securities

$

(10)

5

20

29

Debt measured at fair value (a)

(78)

4

(194)

1

Change in fair value of bond hedges (b)

46

(40)

124

(68)

Other derivatives

(7)

(1)

(11)

(2)

$

(49)

(32)

(61)

(40)

(a)

Changes in unrealized gains (losses) on debt measured at fair value are due to market factors primarily driven by changes in the fair value of the underlying shares into which the debt is exchangeable.

(b)

Contemporaneously with the issuance of the 1.375% Cash Convertible Notes due 2023, 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 1.375% Cash Convertible Notes due 2023, 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 10 for additional discussion of the bond hedges.