Liberty Media Corporation Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Assets And Liabilities Measured At Fair Value

Assets And Liabilities Measured At Fair Value

3 Months Ended

Mar. 31, 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. 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. 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:


	Fair Value Measurements at				Fair Value Measurements at
	March 31, 2017				December 31, 2016
			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	$	631	631	—	289	289	—
Available-for-sale securities	$	518	518	—	489	489	—
Financial instrument assets	$	370	16	354	286	16	270
Debt	$	2,107	—	2,107	1,546	—	1,546

The majority of Liberty's Level 2 financial assets and debt are primarily investments in debt related instruments and derivative instruments. 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 Level 2 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

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


	Three months ended
	March 31,
	2017		2016
	amounts in millions
Fair Value Option Securities	$	30	24
Debt measured at fair value (a)		(116)	(3)
Change in fair value of bond hedges (b)		78	(28)
Other derivatives		(4)	(1)
	$	(12)	(8)

(a)

Debt measured at fair value consists of the 2.25% Exchangeable Senior Debentures due 2046, the 1% Cash Convertible Notes due 2023 and the 1.375% Cash Convertible Notes due 2023, all as defined and discussed in note 10. Liberty elected to account for these instruments at fair value upon issuance. The 2.25% Exchangeable Senior Debentures due 2046, issued in August 2016, are marked to market based on the trading price of the underlying shares of Time Warner common stock and other observable market data as the significant inputs (Level 2). The 1% Cash Convertible Notes due 2023, issued in January 2017, are marked to market based on the trading price of the underlying shares of Series C Liberty Formula One common stock and other observable market data as the significant inputs (Level 2). The 1.375% Cash Convertible Notes due 2023, issued in October 2013, are marked to market based on the trading price of underlying basket of Series A Liberty SiriusXM, Liberty Braves and Liberty Formula One securities and other observable market data as the significant inputs (Level 2).

(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 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 10 for additional discussion of the bond hedges.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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