us-gaap:FairValueByBalanceSheetGroupingTextBlock

Line Company Text Block
1 ADOBE SYSTEMS INC
     We measure certain financial assets and liabilities at fair value on a recurring basis. The fair value of these financial assets and liabilities was determined using the following inputs at August 28, 2009 (in thousands):
                                 
    Fair Value Measurements at Reporting Date Using  
                    Significant        
            Quoted Prices in     Other     Significant  
            Active Markets for     Observable     Unobservable  
            Identical Assets     Inputs     Inputs  
    Total     (Level 1)     (Level 2)     (Level 3)  
Current assets:
                               
Money market funds and overnight deposits(1)
  $ 1,093,201     $ 1,093,201     $ —     $ —  
Fixed income available-for-sale securities(2)
    1,424,393       —       1,424,393       —  
Available-for-sale equity securities(3)
    4,944       4,944       —       —  
 
                       
Total current assets
    2,522,538       1,098,145       1,424,393       —  
 
                       
Non-current assets:
                               
Investments of limited partnership(4)
    34,705       —       —       34,705  
Foreign currency derivatives(5)
    4,688       —       4,688       —  
Deferred compensation plan assets(4):
                               
Money market funds
    770       770       —       —  
Equity and fixed income mutual funds
    7,754       —       7,754       —  
 
                       
Subtotal for deferred compensation plan assets
    8,524       770       7,754       —  
 
                       
Total non-current assets
    47,917       770       12,442       34,705  
 
                       
Total assets
  $ 2,570,455     $ 1,098,915     $ 1,436,835     $ 34,705  
 
                       
Liabilities:
                               
Foreign currency derivatives(6)
  $ 729     $ —     $ 729     $ —  
 
                       
Total liabilities
  $ 729     $ —     $ 729     $ —  
 
                       
2 AMERICAN ELECTRIC POWER CO INC
With the adoption of new accounting guidance, we are required to provide certain fair value disclosures which we previously were only required to provide in our annual report.  The new accounting guidance did not change the method to calculate the amounts reported on the Condensed Consolidated Balance Sheets.

Fair Value Measurements of Long-term Debt

The fair values of Long-term Debt are based on quoted market prices, without credit enhancements, for the same or similar issues and the current interest rates offered for instruments with similar maturities.  These instruments are not marked-to-market.  The estimates presented are not necessarily indicative of the amounts that we could realize in a current market exchange.

The book values and fair values of Long-term Debt at September 30, 2009 and December 31, 2008 are summarized in the following table:
       
   
September 30, 2009
    
December 31, 2008
  
   
Book Value
    
Fair Value
    
Book Value
    
Fair Value
  
   
(in millions)
  
Long-term Debt
   $ 17,253     $ 18,251     $ 15,983     $ 15,113  

Fair Value Measurements of Other Temporary Investments

Other Temporary Investments include marketable securities that we intend to hold for less than one year, investments by our protected cell captive insurance company and funds held by trustees primarily for the payment of debt.

We classify our investments in marketable securities in accordance with the provisions of “Investments – Debt and Equity Securities” accounting guidance.  We do not have any investments classified as trading or held-to-maturity.

Available-for-sale securities reflected in Other Temporary Investments are carried at fair value with the unrealized gain or loss, net of tax, reported in AOCI.  Held-to-maturity securities, if any, reflected in Other Temporary Investments are carried at amortized cost.  The cost of securities sold is based on specific identification or weighted average cost method.  The fair value of most investment securities is determined by currently available market prices.  Where quoted market prices are not available, we use the market price of similar types of securities that are traded in the market to estimate fair value.

In evaluating potential impairment of equity securities with unrealized losses, we considered, among other criteria, the current fair value compared to cost, the length of time the security's fair value has been below cost, our intent and ability to retain the investment for a period of time sufficient to allow for any anticipated recovery in value and current economic conditions.

The following is a summary of Other Temporary Investments:

   
September 30, 2009
  
December 31, 2008
   
Cost
  
Gross Unrealized Gains
  
Gross Unrealized Losses
  
Estimated
Fair
Value
  
Cost
  
Gross Unrealized Gains
  
Gross Unrealized Losses
  
Estimated
Fair
Value
Other Temporary Investments
  
(in millions)
Cash (a)
  
$
167 
  
$
- 
  
$
- 
  
$
167 
  
$
243 
  
$
- 
  
$
- 
  
$
243 
Debt Securities
    
57 
    
- 
    
- 
    
57 
    
56 
    
- 
    
- 
    
56 
Equity Securities
    
18 
    
17 
    
- 
    
35 
    
27 
    
11 
    
10 
    
28 
Total Other Temporary Investments
  
$
242 
  
$
17 
  
$
- 
  
$
259 
  
$
326 
  
$
11 
  
$
10 
  
$
327 

(a)
Primarily represents amounts held for the payment of debt.

The following table provides the activity for our debt and equity securities within Other Temporary Investments for the three and nine months ended September 30, 2009:
               
Gross Realized
   
Proceeds From
  
Purchases
  
Gross Realized Gains
  
Losses on
   
Investment Sales
  
of Investments
  
on Investment Sales
  
Investment Sales
   
(in millions)
Three Months Ended
  
$
- 
     $
1 
  
$
- 
  
$
- 
Nine Months Ended
    
- 
    
2 
   
- 
    
- 

In June 2009, we recorded $9 million ($6 million, net of tax) of other-than-temporary impairments of Other Temporary Investments for equity investments of our protected cell captive insurance company.  At September 30, 2009, we had no Other Temporary Investments with an unrealized loss position.  At December 31, 2008, the fair value of corporate equity securities with an unrealized loss position was $17 million and we had no investments in a continuous unrealized loss position for more than twelve months.  At September 30, 2009, the fair value of debt securities are primarily debt based mutual funds with short and intermediate maturities.

Fair Value Measurements of Trust Assets for Decommissioning and SNF Disposal

I&M records securities held in trust funds for decommissioning nuclear facilities and for the disposal of SNF at fair value.  I&M classifies securities in the trust funds as available-for-sale due to their long-term purpose.  The assessment of whether an investment in a debt security has suffered an other-than-temporary impairment is based on whether the investor has the intent to sell or more likely than not will be required to sell the debt security before recovery of its amortized costs.  The assessment of whether an investment in an equity security has suffered an other-than-temporary impairment, among other things, is based on whether the  investor has the ability and intent to hold the investment to recover its value.  Other-than-temporary impairments for investments in both debt and equity securities are considered realized losses as a result of securities being managed by an external investment management firm.  The external investment management firm makes specific investment decisions regarding the equity and debt investments held in these trusts and generally intends to sell debt securities in an unrealized loss position as part of a tax optimization strategy.  I&M records unrealized gains and other-than-temporary impairments from securities in these trust funds as adjustments to the regulatory liability account for the nuclear decommissioning trust funds and to regulatory assets or liabilities for the SNF disposal trust funds in accordance with their treatment in rates.  The gains, losses or other-than-temporary impairments shown below did not affect earnings or AOCI.  The trust assets are recorded by jurisdiction and may not be used for another jurisdictions’ liabilities.  Regulatory approval is required to withdraw decommissioning funds.

The following is a summary of nuclear trust fund investments at September 30, 2009 and December 31, 2008:

 
September 30, 2009
  
December 31, 2008
  
 
Estimated
Fair
Value
  
Gross
Unrealized
Gains
  
Other-Than-
Temporary
Impairments
  
Estimated
Fair
Value
  
Gross
Unrealized
Gains
  
Other-Than-
Temporary
Impairments
  
 
(in millions)
  
Cash
   $ 19     $ -     $ -     $ 18     $ -     $ -  
Debt Securities
     780       35       (2 )     773       52       (3 )
Equity Securities
     565       223       (135 )     469       89       (82 )
Spent Nuclear Fuel and Decommissioning Trusts
   $ 1,364     $ 258     $ (137 )   $ 1,260     $ 141     $ (85 )

The following table provides the securities activity within the decommissioning and SNF trusts for the three and nine months ended September 30, 2009:
 
             
Gross Realized
  
 
Proceeds From
  
Purchases
  
Gross Realized Gains
  
Losses on
  
 
Investment Sales
  
of Investments
  
on Investment Sales
  
Investment Sales
  
 
(in millions)
  
Three Months Ended
   $ 113     $ 129     $ 1     $ -  
Nine months Ended
     524       571       10       (1 )

The adjusted cost of debt securities was $745 million and $721 million as of September 30, 2009 and December 31, 2008, respectively.

The fair value of debt securities held in the nuclear trust funds, summarized by contractual maturities, at September 30, 2009 was as follows:
   
Fair Value
of Debt
Securities
  
   
(in millions)
  
Within 1 year
   $ 27  
1 year – 5 years
     217  
5 years – 10 years
     241  
After 10 years
     295  
Total
   $ 780  

Fair Value Measurements of Financial Assets and Liabilities

As described in our 2008 Annual Report, the accounting guidance for “Fair Value Measurements and Disclosures” establishes a fair value hierarchy that prioritizes the inputs used to measure fair value.  The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurement) and the lowest priority to unobservable inputs (Level 3 measurement).  The Derivatives, Hedging and Fair Value Measurements note within the 2008 Annual Report should be read in conjunction with this report.

Exchange traded derivatives, namely futures contracts, are generally fair valued based on unadjusted quoted prices in active markets and are classified within Level 1.  Level 2 inputs primarily consist of OTC broker quotes in moderately active or less active markets, as well as exchange traded contracts where there is insufficient market liquidity to warrant inclusion in Level 1.  Where observable inputs are available for substantially the full term of the asset or liability, the instrument is categorized in Level 2.  Certain OTC and bilaterally executed derivative instruments are executed in less active markets with a lower availability of pricing information.  In addition, long-dated and illiquid complex or structured transactions and FTRs can introduce the need for internally developed modeling inputs based upon extrapolations and assumptions of observable market data to estimate fair value.  When such inputs have a significant impact on the measurement of fair value, the instrument is categorized in Level 3.  Valuation models utilize various inputs that include quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in inactive markets, market corroborated inputs (i.e. inputs derived principally from, or correlated to, observable market data) and other observable inputs for the asset or liability.

The following tables set forth by level, within the fair value hierarchy, our financial assets and liabilities that were accounted for at fair value on a recurring basis as of September 30, 2009 and December 31, 2008.  As required by the accounting guidance for “Fair Value Measurements and Disclosures,” financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.  Our assessment of the significance of a particular input to the fair value measurement requires judgment and may affect the valuation of fair value assets and liabilities and their placement within the fair value hierarchy levels.  There have not been any significant changes in AEP’s valuation techniques.

Assets and Liabilities Measured at Fair Value on a Recurring Basis as of September 30, 2009
                   
 
Level 1
  
Level 2
  
Level 3
  
Other
  
Total
Assets:
(in millions)
                             
Cash and Cash Equivalents (a)
$
799 
  
$
- 
  
$
- 
  
$
78 
  
$
877 
                             
Other Temporary Investments
  
Cash and Cash Equivalents (a)
  
142 
    
- 
    
- 
    
25 
    
167 
Debt Securities (c)
  
57 
    
- 
    
- 
    
- 
    
57 
Equity Securities (d)
  
35 
    
- 
    
- 
    
- 
    
35 
Total Other Temporary Investments
  
234 
    
- 
    
- 
    
25 
    
259 
                             
Risk Management Assets
                            
Risk Management Contracts (e)
  
21 
    
2,195 
    
116 
    
(1,699)
    
633 
Cash Flow Hedges (e)
  
3 
    
24 
    
- 
    
(10)
    
17 
Dedesignated Risk Management Contracts (f)
  
- 
    
- 
    
- 
    
29 
    
29 
Total Risk Management Assets
  
24 
    
2,219 
    
116 
    
(1,680)
    
679 
                             
Spent Nuclear Fuel and Decommissioning Trusts
                            
Cash and Cash Equivalents (g)
  
- 
    
10 
    
- 
    
9 
    
19 
Debt Securities (h)
  
- 
    
780 
    
- 
    
- 
    
780 
Equity Securities (d)
  
565 
    
- 
    
- 
    
- 
    
565 
Total Spent Nuclear Fuel and Decommissioning Trusts
  
565 
    
790 
    
- 
    
9 
    
1,364 
                             
Total Assets
$
1,622 
  
$
3,009 
  
$
116 
  
$
(1,568)
  
$
3,179 
                             
Liabilities:
                            
                             
Risk Management Liabilities
                            
Risk Management Contracts (e)
$
23 
  
$
1,993 
  
$
12 
  
$
(1,770)
  
$
258 
Cash Flow Hedges (e)
  
5 
    
33 
    
- 
    
(10)
    
28 
Total Risk Management Liabilities
$
28 
  
$
2,026 
  
$
12 
  
$
(1,780)
  
$
286 


Assets and Liabilities Measured at Fair Value on a Recurring Basis as of December 31, 2008
 
Level 1
  
Level 2
  
Level 3
  
Other
  
Total
Assets:
(in millions)
                             
Cash and Cash Equivalents
                            
Cash and Cash Equivalents (a)
$
304 
  
$
- 
  
$
- 
  
$
60 
  
$
364 
Debt Securities (b)
  
- 
    
47 
    
- 
    
- 
    
47 
Total Cash and Cash Equivalents
  
304 
    
47 
    
- 
    
60 
    
411 
                             
Other Temporary Investments
  
Cash and Cash Equivalents (a)
  
217 
    
- 
    
- 
    
26 
    
243 
Debt Securities (c)
  
56 
    
- 
    
- 
    
- 
    
56 
Equity Securities (d)
  
28 
    
- 
    
- 
    
- 
    
28 
Total Other Temporary Investments
  
301 
    
- 
    
- 
    
26 
    
327 
                             
Risk Management Assets
                            
Risk Management Contracts (e)
  
61 
    
2,413 
    
86 
    
(2,022)
    
538 
Cash Flow Hedges (e)
  
6 
    
32 
    
- 
    
(4)
    
34 
Dedesignated Risk Management Contracts (f)
  
- 
    
- 
    
- 
    
39 
    
39 
Total Risk Management Assets
  
67 
    
2,445 
    
86 
    
(1,987)
    
611 
                             
Spent Nuclear Fuel and Decommissioning Trusts
                            
Cash and Cash Equivalents (g)
  
- 
    
6 
    
- 
    
12 
    
18 
Debt Securities (h)
  
- 
    
773 
    
- 
    
- 
    
773 
Equity Securities (d)
  
469 
    
- 
    
- 
    
- 
    
469 
Total Spent Nuclear Fuel and Decommissioning Trusts
  
469 
    
779 
    
- 
    
12 
    
1,260 
                             
Total Assets
$
1,141 
  
$
3,271 
  
$
86 
  
$
(1,889)
  
$
2,609 
                             
Liabilities:
                            
                             
Risk Management Liabilities
                            
Risk Management Contracts (e)
$
77 
  
$
2,213 
  
$
37 
  
$
(2,054)
  
$
273 
Cash Flow Hedges (e)
  
1 
    
34 
    
- 
    
(4)
    
31 
Total Risk Management Liabilities
$
78 
  
$
2,247 
  
$
37 
  
$
(2,058)
  
$
304 

(a)
Amounts in “Other” column primarily represent cash deposits in bank accounts with financial institutions or with third parties.  Level 1 amounts primarily represent investments in money market funds.
(b)
Amount represents commercial paper investments with maturities of less than ninety days.
(c)
Amounts represent debt-based mutual funds.
(d)
Amount represents publicly traded equity securities and equity-based mutual funds.
(e)
Amounts in “Other” column primarily represent counterparty netting of risk management contracts and associated cash collateral under the accounting guidance for “Derivatives and Hedging.”
(f)
“Dedesignated Risk Management Contracts” are contracts that were originally MTM but were subsequently elected as normal under the accounting guidance for “Derivatives and Hedging.”  At the time of the normal election, the MTM value was frozen and no longer fair valued.  This MTM value will be amortized into Utility Operations Revenues over the remaining life of the contracts.
(g)
Amounts in “Other” column primarily represent accrued interest receivables from financial institutions.  Level 2 amounts primarily represent investments in money market funds.
(h)
Amounts represent corporate, municipal and treasury bonds.

The following tables set forth a reconciliation of changes in the fair value of net trading derivatives and other investments classified as Level 3 in the fair value hierarchy:

Three Months Ended September 30, 2009
  
Net Risk Management Assets (Liabilities)
  
Other Temporary Investments
  
Investments in Debt Securities
   
(in millions)
Balance as of July 1, 2009
  
$
67 
  
$
- 
  
$
- 
Realized (Gain) Loss Included in Net Income (or Changes in Net Assets) (a)
    
(8)
    
- 
    
- 
Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (a)
    
10 
    
- 
    
- 
Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
    
- 
    
- 
    
- 
Purchases, Issuances and Settlements (b)
    
- 
    
- 
    
- 
Transfers in and/or out of Level 3 (c)
    
7 
    
- 
    
- 
Changes in Fair Value Allocated to Regulated Jurisdictions (d)
    
28 
    
- 
    
- 
Balance as of September 30, 2009
  
$
104 
  
$
- 
  
$
- 


Nine Months Ended September 30, 2009
  
Net Risk Management Assets (Liabilities)
  
Other Temporary Investments
  
Investments in Debt Securities
   
(in millions)
Balance as of January 1, 2009
  
$
49 
  
$
- 
  
$
- 
Realized (Gain) Loss Included in Net Income (or Changes in Net Assets) (a)
    
(21)
    
- 
    
- 
Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (a)
    
51 
    
- 
    
- 
Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
    
- 
    
- 
    
- 
Purchases, Issuances and Settlements (b)
    
- 
    
- 
    
- 
Transfers in and/or out of Level 3 (c)
    
(26)
    
- 
    
- 
Changes in Fair Value Allocated to Regulated Jurisdictions (d)
    
51 
    
- 
    
- 
Balance as of September 30, 2009
  
$
104 
  
$
- 
  
$
- 

Three Months Ended September 30, 2008
  
Net Risk Management Assets (Liabilities)
  
Other Temporary Investments
  
Investments in Debt Securities
   
(in millions)
Balance as of July 1, 2008
  
$
(8)
  
$
- 
  
$
- 
Realized (Gain) Loss Included in Net Income (or Changes in Net Assets) (a)
    
17 
    
- 
    
- 
Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (a)
    
(7)
    
- 
    
- 
Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
    
- 
    
- 
    
- 
Purchases, Issuances and Settlements (b)
    
- 
    
- 
    
- 
Transfers in and/or out of Level 3 (c)
    
(10)
    
- 
    
- 
Changes in Fair Value Allocated to Regulated Jurisdictions (d)
    
15 
    
- 
    
- 
Balance as of September 30, 2008
  
$
7 
  
$
- 
  
$
- 


Nine Months Ended September 30, 2008
  
Net Risk Management Assets (Liabilities)
  
Other Temporary Investments
  
Investments in Debt Securities
   
(in millions)
Balance as of January 1, 2008
  
$
49 
  
$
- 
  
$
- 
Realized (Gain) Loss Included in Net Income (or Changes in Net Assets) (a)
    
- 
    
- 
    
- 
Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (a)
    
4 
    
- 
    
- 
Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
    
- 
    
- 
    
- 
Purchases, Issuances and Settlements (b)
    
- 
    
(118)
    
(17)
Transfers in and/or out of Level 3 (c)
    
(35)
    
118 
    
17 
Changes in Fair Value Allocated to Regulated Jurisdictions (d)
    
(11)
    
- 
    
- 
Balance as of September 30, 2008
  
$
7 
  
$
- 
  
$
- 

(a)
Included in revenues on our Condensed Consolidated Statements of Income.
(b)
Includes principal amount of securities settled during the period.
(c)
“Transfers in and/or out of Level 3” represent existing assets or liabilities that were either previously categorized as a higher level for which the inputs to the model became unobservable or assets and liabilities that were previously classified as Level 3 for which the lowest significant input became observable during the period.
(d)
“Changes in Fair Value Allocated to Regulated Jurisdictions” relates to the net gains (losses) of those contracts that are not reflected on the Condensed Consolidated Statements of Income.  These net gains (losses) are recorded as regulatory liabilities/assets.

3 AMETEK INC/
15. Financial Instruments
     The estimated fair values of the Company’s financial instruments are compared below to the recorded amounts at September 30, 2009 and December 31, 2008. Cash, cash equivalents and marketable securities are recorded at fair value at September 30, 2009 and December 31, 2008 in the accompanying consolidated balance sheet.
                                 
    Asset (Liability)
    September 30, 2009   December 31, 2008
    Recorded           Recorded    
    Amount   Fair Value   Amount   Fair Value
            (In thousands)        
Fixed-income investments
  $ 8,907     $ 8,907     $ 8,248     $ 8,248  
Short-term borrowings
    (4,553 )     (4,553 )     (16,028 )     (16,028 )
Long-term debt (including current portion)
    (1,055,160 )     (1,100,142 )     (1,095,653 )     (1,095,653 )
     The fair value of fixed-income investments is based on quoted market prices. The fair value of short-term borrowings approximates the carrying value. The Company’s long-term debt is all privately-held with no public market for this debt, therefore, the fair value of long-term debt was computed based on comparable current market data for similar debt instruments.
4 CABLEVISION SYSTEMS CORP /NY

NOTE 13.              DISCLOSURES ABOUT THE FAIR VALUE OF FINANCIAL INSTRUMENTS

 

The following methods and assumptions were used to estimate fair value of each class of financial instruments for which it is practicable to estimate that value:

 

Cash and Cash Equivalents and Restricted Cash

 

The carrying amount approximates fair value due to the short-term maturity of these instruments.

 

Derivative Contracts and Liabilities Under Derivative Contracts

 

Derivative contracts are carried on the accompanying condensed consolidated balance sheets at fair value. See Note 11.

 

Investment Securities and Investment Securities Pledged as Collateral

 

Marketable securities are carried on the accompanying condensed consolidated balance sheets at their fair value based upon quoted market prices.

 

Bank Debt, Collateralized Indebtedness, Notes Payable, Senior Notes and Debentures and Senior Subordinated Notes

 

The fair values of each of the Company’s debt instruments are based on quoted market prices for the same or similar issues or on the current rates offered to the Company for instruments of the same remaining maturities.

 

Interest Rate Swap Agreements

 

Interest rate swap agreements are carried on the accompanying condensed consolidated balance sheets at fair value.  See Note 11.

 

The carrying values and estimated fair values of the Company’s financial instruments, excluding those that are carried at fair value in the accompanying condensed consolidated balance sheets, are summarized as follows:

 

 

 

September 30, 2009

 

 

 

Carrying
Amount

 

Estimated
Fair Value

 

Note Receivable:

 

 

 

 

 

Cablevision senior notes receivable at CSC Holdings (a)

 

$

658,914

 

$

715,382

 

Debt instruments:

 

 

 

 

 

Bank debt (b)

 

$

5,341,250

 

$

5,358,995

 

Collateralized indebtedness

 

402,025

 

398,948

 

Senior notes and debentures

 

4,359,279

 

4,646,402

 

Senior subordinated notes

 

323,754

 

340,438

 

CSC Holdings total debt instruments

 

10,426,308

 

10,744,783

 

Senior notes and debentures

 

1,887,410

 

1,975,800

 

Cablevision total debt instruments

 

$

12,313,718

 

$

12,720,583

 

 

 

 

December 31, 2008

 

 

 

Carrying
Amount

 

Estimated
Fair Value

 

Note Receivable:

 

 

 

 

 

Cablevision senior notes receivable at CSC Holdings (a)

 

$

653,115

 

$

607,065

 

Debt instruments:

 

 

 

 

 

Bank debt (b)

 

$

5,653,750

 

$

5,538,250

 

Collateralized indebtedness

 

448,738

 

447,908

 

Senior notes and debentures

 

3,996,292

 

3,604,000

 

Senior subordinated notes

 

323,564

 

289,250

 

Notes payable

 

6,230

 

6,230

 

CSC Holdings total debt instruments

 

10,428,574

 

9,885,638

 

Senior notes and debentures

 

1,500,000

 

1,390,000

 

Cablevision total debt instruments

 

$

11,928,574

 

$

11,275,638

 

 

(a)       Represents the fair value of the 8% senior notes due 2012 issued by Cablevision and contributed to CSC Holdings which in turn contributed such notes to Newsday Holdings LLC.  These notes are eliminated at the consolidated Cablevision level.

(b)      The carrying value of the portion of the Company’s bank debt that bears interest at variable rates approximates its fair value.

 

Fair value estimates related to the Company’s debt instruments and senior notes receivable presented above are made at a specific point in time, based on relevant market information and information about the financial instruments.  These estimates are subjective in nature and involve uncertainties and matters of significant judgments and therefore cannot be determined with precision.  Changes in assumptions could significantly affect the estimates.
5 Caterpillar Inc.

17.
Fair Value Disclosures

A.
Fair value measurements

 
We adopted the accounting guidance on fair value measurements as of January 1, 2008.  See Note 2 for additional information.  This guidance defines fair value as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants.  This guidance also specifies a fair value hierarchy based upon the observability of inputs used in valuation techniques.  Observable inputs (highest level) reflect market data obtained from independent sources, while unobservable inputs (lowest level) reflect internally developed market assumptions.  In accordance with this guidance, fair value measurements are classified under the following hierarchy:
 
 
§
 
Level 1 – Quoted prices for identical instruments in active markets.
 
 
§
Level 2 – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs or significant value-drivers are observable in active markets.
 
 
§
Level 3 – Model-derived valuations in which one or more significant inputs or significant value-drivers are unobservable.
 
 
When available, we use quoted market prices to determine fair value, and we classify such measurements within Level 1.  In some cases where market prices are not available, we make use of observable market based inputs to calculate fair value, in which case the measurements are classified within Level 2.  If quoted or observable market prices are not available, fair value is based upon internally developed models that use, where possible, current market-based parameters such as interest rates, yield curves and currency rates.  These measurements are classified within Level 3.
 
Fair value measurements are classified according to the lowest level input or value-driver that is significant to the valuation.  A measurement may therefore be classified within Level 3 even though there may be significant inputs that are readily observable.

 
The guidance on fair value measurements expanded the definition of fair value to include the consideration of nonperformance risk.  Nonperformance risk refers to the risk that an obligation (either by a counterparty or Caterpillar) will not be fulfilled.  For our financial assets traded in an active market (Level 1 and certain Level 2), the nonperformance risk is included in the market price.  For certain other financial assets and liabilities (Level 2 and 3), our fair value calculations have been adjusted accordingly.

 
Available-for-sale securities
Our available-for-sale securities, primarily at Cat Insurance, include a mix of equity and debt instruments (see Note 8 for additional information).  Fair values for our U.S. treasury bonds and equity securities are based upon valuations for identical instruments in active markets.  Fair values for other government bonds, corporate bonds and mortgage-backed debt securities are based upon models that take into consideration such market-based factors as recent sales, risk-free yield curves and prices of similarly rated bonds.
 
Derivative financial instruments
The fair value of interest rate swap derivatives is primarily based on models that utilize the appropriate market-based forward swap curves and zero-coupon interest rates to determine discounted cash flows.  The fair value of foreign currency and commodity forward and option contracts is based on a valuation model that discounts cash flows resulting from the differential between the contract price and the market-based forward rate.
 
Securitized retained interests
The fair value of securitized retained interests is based upon a valuation model that calculates the present value of future expected cash flows using key assumptions for credit losses, prepayment rates and discount rates.  These assumptions are based on our historical experience, market trends and anticipated performance relative to the particular assets securitized.
 
Guarantees
The fair value of guarantees is based upon the premium we would require to issue the same guarantee in a stand-alone arms-length transaction with an unrelated party. If quoted or observable market prices are not available, fair value is based upon internally developed models that utilize current market-based assumptions.

 
Assets and liabilities measured at fair value, primarily related to Financial Products, included in our Consolidated Statement of Financial Position as of September 30, 2009 and December 31, 2008 are summarized below:
 
 
 
(Millions of dollars)
September 30, 2009
     
Level 1
  
Level 2
  
Level 3
  
Total
Assets / Liabilities,
at Fair Value
 
Assets
                              
   
Available-for-sale securities
                              
     
Government debt
                              
       
U.S. treasury bonds
$
14
    
$
—
    
$
—
    
$
14
  
       
Other U.S. and non-U.S. government bonds
  
—
      
60
      
—
      
60
  
                                     
     
Corporate bonds
                              
       
Corporate bonds
  
—
      
463
      
—
      
463
  
       
Asset-backed securities
  
—
      
136
      
—
      
136
  
                                     
     
Mortgage-backed debt securities
                              
       
U.S. governmental agency mortgage-backed securities