The following table summarizes those assets and liabilities measured at fair value on a recurring basis as of July 1, 2016 (in millions):
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Level 1 |
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Level 2 |
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Level 3 |
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Other4
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Netting
Adjustment5
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|
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Fair Value
Measurements
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Assets: |
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Trading securities1
|
$ |
192 |
|
$ |
108 |
|
$ |
3 |
|
|
$ |
62 |
|
$ |
— |
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|
$ |
365 |
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Available-for-sale securities1
|
1,816 |
|
3,437 |
|
143 |
|
3 |
— |
|
— |
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|
5,396 |
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Derivatives2
|
2 |
|
1,175 |
|
— |
|
|
— |
|
(787 |
) |
6 |
390 |
|
7 |
Total assets |
$ |
2,010 |
|
$ |
4,720 |
|
$ |
146 |
|
|
$ |
62 |
|
$ |
(787 |
) |
|
$ |
6,151 |
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Liabilities: |
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|
|
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|
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Derivatives2
|
$ |
43 |
|
$ |
837 |
|
$ |
— |
|
|
$ |
— |
|
$ |
(606 |
) |
|
$ |
274 |
|
7 |
Total liabilities |
$ |
43 |
|
$ |
837 |
|
$ |
— |
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|
$ |
— |
|
$ |
(606 |
) |
|
$ |
274 |
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1 |
Refer to Note 3 for additional information related to the composition of our trading securities and available-for-sale securities.
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2 Refer to Note 5 for additional information related to the composition of our derivative portfolio.
3 Primarily related to long-term debt securities that mature in 2018.
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4 |
Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy but are included to reconcile to the amounts presented in Note 3.
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5 Amounts represent the impact of legally enforceable master netting agreements that allow the Company to settle positive and negative positions and also cash collateral held or placed with the same counterparties. There are no amounts subject to legally enforceable master netting agreements that management has chosen not to offset or that do not meet the offsetting requirements. Refer to Note 5.
6 The Company is obligated to return $214 million in cash collateral it has netted against its net asset derivative position.
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7 |
The Company's derivative financial instruments are recorded at fair value in our condensed consolidated balance sheets as follows: $8 million in the line item prepaid expenses and other assets; $382 million in the line item other assets; $115 million in the line item accounts payable and accrued expenses; and $159 million in the line item other liabilities. Refer to Note 5 for additional information related to the composition of our derivative portfolio.
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The following table summarizes those assets and liabilities measured at fair value on a recurring basis as of December 31, 2015 (in millions):
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
|
Other4
|
|
Netting
Adjustment5
|
|
|
Fair Value
Measurements
|
|
|
Assets: |
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|
|
|
|
|
|
|
Trading securities1
|
$ |
183 |
|
$ |
101 |
|
$ |
2 |
|
|
$ |
36 |
|
$ |
— |
|
|
$ |
322 |
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|
Available-for-sale securities1
|
3,913 |
|
4,574 |
|
119 |
|
3 |
— |
|
— |
|
|
8,606 |
|
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Derivatives2
|
2 |
|
1,268 |
|
— |
|
|
— |
|
(638 |
) |
6 |
632 |
|
8 |
Total assets |
$ |
4,098 |
|
$ |
5,943 |
|
$ |
121 |
|
|
$ |
36 |
|
$ |
(638 |
) |
|
$ |
9,560 |
|
|
Liabilities: |
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|
|
|
|
|
|
|
|
Derivatives2
|
$ |
24 |
|
$ |
635 |
|
$ |
— |
|
|
$ |
— |
|
$ |
(488 |
) |
7 |
$ |
171 |
|
8 |
Total liabilities |
$ |
24 |
|
$ |
635 |
|
$ |
— |
|
|
$ |
— |
|
$ |
(488 |
) |
|
$ |
171 |
|
|
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1 |
Refer to Note 3 for additional information related to the composition of our trading securities and available-for-sale securities.
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2 Refer to Note 5 for additional information related to the composition of our derivative portfolio.
3 Primarily related to long-term debt securities that mature in 2018.
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|
4 |
Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy but are included to reconcile to the amounts presented in Note 3.
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5 Amounts represent the impact of legally enforceable master netting agreements that allow the Company to settle positive and negative positions and also cash collateral held or placed with the same counterparties. There are no amounts subject to legally enforceable master netting agreements that management has chosen not to offset or that do not meet the offsetting requirements. Refer to Note 5.
6 The Company is obligated to return $184 million in cash collateral it has netted against its derivative position.
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7 |
The Company has the right to reclaim $17 million in cash collateral it has netted against its derivative position.
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8 |
The Company's derivative financial instruments are recorded at fair value in our condensed consolidated balance sheets as follows: $79 million in the line item prepaid expenses and other assets; $553 million in the line item other assets; and $171 million in the line item other liabilities. Refer to Note 5 for additional information related to the composition of our derivative portfolio.
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