Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.20.1
Fair Value Measurements (Tables)
 3 Months Ended
Mar. 27, 2020
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Assets and liabilities measured at fair value on a recurring basis
The following tables summarize assets and liabilities measured at fair value on a recurring basis (in millions):
March 27, 2020
Level 1

Level 2

Level 3

 
Other3

Netting
Adjustment

4 
Fair Value
Measurements

 
Assets:
 
 
 
 
 
 
 
 
 
Equity securities with readily determinable values1
$
1,457

$
194

$
15

 
$
97

$
—

 
$
1,763

 
Debt securities1
—

2,452

38



—

—

 
2,490

 
Derivatives2
1

988

—

 
—

(670
)
5 
319

7 
Total assets
$
1,458

$
3,634

$
53

 
$
97

$
(670
)
 
$
4,572

 
Liabilities:
 
 
 
 
 
 
 
 
 
Contingent consideration liability
$
—

$
—

$
(281
)
8 

$
—

$
—

 
$
(281
)
 
Derivatives2
(42
)
(572
)
—

 
—

572

6 
(42
)
7 
Total liabilities
$
(42
)
$
(572
)
$
(281
)
 
$
—

$
572

 
$
(323
)
 
1 Refer to Note 4 for additional information related to the composition of our equity securities with readily determinable values and debt securities.
2 Refer to Note 6 for additional information related to the composition of our derivative portfolio.
3 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 4.
4 Amounts represent the impact of legally enforceable master netting agreements that allow the Company to settle net 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 6.
5 
The Company is obligated to return $233 million in cash collateral it has netted against its derivative position.
6 
The Company has the right to reclaim $95 million in cash collateral it has netted against its derivative position.
7 The Company's derivative financial instruments are recorded at fair value in our condensed consolidated balance sheet as follows:
$319 million in the line item other assets and $42 million in the line item other liabilities. Refer to Note 6 for additional information related
to the composition of our derivative portfolio.
8 Refer to Note 2 for additional information related to the contingent consideration liability resulting from our acquisition of the remaining interest in fairlife.
December 31, 2019
Level 1

Level 2

Level 3

 
Other3

Netting
Adjustment

4 
Fair Value
Measurements

 
Assets:
 
  
 
 
 
 
 
 
 
Equity securities with readily determinable values1
$
1,877

$
219

$
14

 
$
109

$
—

 
$
2,219

 
Debt securities1
—

3,291

37

 
—

—

 
3,328

 
Derivatives2
9

579

—

 
—

(392
)
5 
196

6 
Total assets
$
1,886

$
4,089

$
51

 
$
109

$
(392
)
 
$
5,743

 
Liabilities:
 

 

 

 
 
 

 
 

 
Derivatives2
$
—

$
(162
)
$
—

 
$
—

$
130

 
$
(32
)
6 
Total liabilities
$
—

$
(162
)
$
—

 
$
—

$
130

 
$
(32
)
 
1 
Refer to Note 4 for additional information related to the composition of our equity securities with readily determinable values and debt securities.
2 Refer to Note 6 for additional information related to the composition of our derivative portfolio.
3 
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 4.
4 Amounts represent the impact of legally enforceable master netting agreements that allow the Company to settle net 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 6.
5 The Company is obligated to return $261 million in cash collateral it has netted against its derivative position.
6 
The Company's derivative financial instruments are recorded at fair value in our condensed consolidated balance sheet as follows: $196 million in the line item other assets and $32 million in the line item other liabilities. Refer to Note 6 for additional information related to the composition of our derivative portfolio.
Assets and liabilities measured at fair value on a Nonrecurring basis
The gains and losses on assets measured at fair value on a nonrecurring basis are summarized in the table below (in millions):
 
Gains (Losses)  
 
Three Months Ended
 
 
March 27,
2020

 
March 29,
2019

 
Impairment of intangible asset
$
(152
)
1 
$
—

 
Other-than-temporary impairment charges
—

 
(343
)
3 
Investment in former equity method investee
—

 
(121
)
4 
Impairment of equity investment without a readily determinable fair value
(26
)
2 
—

 
Total
$
(178
)
 
$
(464
)
 

1 The Company recorded an impairment charge of $152 million related to a trademark in North America, which was primarily driven by revised projections of future operating results due to reduced availability at retail customer outlets and a change in brand focus in the Company's portfolio. The fair value of this trademark was derived using discounted cash flow analyses based on Level 3 inputs.
2 The Company recorded an impairment charge of $26 million related to an investment in an equity security without a readily determinable fair value. This impairment charge was derived using Level 3 inputs and was primarily driven by revised projections of future operating results.
3 Based on the length of time and the extent to which the market value of our investment in CCBJHI, an equity method investee, has been less than our carrying value and the financial condition and near-term prospects of the issuer, management determined that the decline in fair value was other than temporary in nature. As a result, the Company recognized an other-than-temporary impairment charge of $286 million. This impairment charge was determined using the quoted market price (a Level 1 measurement) of CCBJHI. The Company also recognized an other-than-temporary impairment charge of $57 million related to one of our equity method investees in North America. This impairment charge was derived using Level 3 inputs and was primarily driven by revised projections of future operating results.
4 The Company recognized a loss of $121 million in conjunction with our acquisition of the remaining interest in CHI, primarily driven by foreign currency exchange rate fluctuations. The fair value of this investment was derived using discounted cash flow analyses based on Level 3 inputs.