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Fair Value Measurements | 9 Months Ended
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Sep. 30, 2021
Fair Value Disclosures [Abstract] |
Fair Value Measurements | Fair Value Measurements Our cash and cash equivalents and other investments consist of the following:
| September 30, 2021
| Cost Basis |  | Unrealized Gains |  | Unrealized Losses |  | Fair Value
| (in millions)
Cash | $ | 52 |  |  | $ | — |  |  | $ | — |  |  | $ | 52 |
Cash equivalents: |  |  |  |  |  |  |
U.S. and Canadian government obligations | 649 |  |  | — |  |  | — |  |  | 649 |
Other debt securities | 56 |  |  | — |  |  | — |  |  | 56 |
Total cash and cash equivalents | $ | 757 |  |  | $ | — |  |  | $ | — |  |  | $ | 757 |
Nonqualified employee benefit trusts | 17 |  |  | 3 |  |  | — |  |  | 20 |
| December 31, 2020
| Cost Basis |  | Unrealized Gains |  | Unrealized Losses |  | Fair Value
| (in millions)
Cash | $ | 108 |  |  | $ | — |  |  | $ | — |  |  | $ | 108 |
Cash equivalents: |  |  |  |  |  |  |
U.S. and Canadian government obligations | 552 |  |  | — |  |  | — |  |  | 552 |
Other debt securities | 23 |  |  | — |  |  | — |  |  | 23 |
Total cash and cash equivalents | $ | 683 |  |  | $ | — |  |  | $ | — |  |  | $ | 683 |
Nonqualified employee benefit trusts | 16 |  |  | 3 |  |  | — |  |  | 19 |
Under our short-term investment policy, we may invest our cash balances, either directly or through mutual funds, in several types of investment-grade securities, including notes and bonds issued by governmental entities or corporations. Securities issued by governmental entities include those issued directly by the U.S. and Canadian federal governments; those issued by state, local or other governmental entities; and those guaranteed by entities affiliated with governmental entities. Assets and Liabilities Measured at Fair Value on a Recurring Basis The following tables present assets and liabilities included in our consolidated balance sheets as of September 30, 2021 and December 31, 2020 that are recognized at fair value on a recurring basis, and indicate the fair value hierarchy utilized to determine such fair value:
| September 30, 2021
| Total Fair Value |  | Quoted Prices in Active Markets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3)
| (in millions)
Cash equivalents | $ | 705 |  |  | $ | 705 |  |  | $ | — |  |  | $ | — |
Nonqualified employee benefit trusts | 20 |  |  | 20 |  |  | — |  |  | — |
Derivative assets | 15 |  |  | — |  |  | 15 |  |  | — |
Derivative liabilities | (3) |  |  | — |  |  | (3) |  |  | — |
Embedded derivative liability | (20) |  |  | — |  |  | (20) |  |  | — |
| December 31, 2020
| Total Fair Value |  | Quoted Prices in Active Markets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3)
| (in millions)
Cash equivalents | $ | 575 |  |  | $ | 575 |  |  | $ | — |  |  | $ | — |
Nonqualified employee benefit trusts | 19 |  |  | 19 |  |  | — |  |  | — |
Derivative assets | 1 |  |  | — |  |  | 1 |  |  | — |
Derivative liabilities | (7) |  |  | — |  |  | (7) |  |  | — |
Embedded derivative liability | (18) |  |  | — |  |  | (18) |  |  | — |
Cash Equivalents As of September 30, 2021 and December 31, 2020, our cash equivalents consisted primarily of U.S. and Canadian government obligations and money market mutual funds that invest in U.S. government obligations and other investment-grade securities. Nonqualified Employee Benefit Trusts We maintain trusts associated with certain nonqualified supplemental pension plans. The fair values of the trust assets are based on daily quoted prices in an active market, which represents the net asset values of the shares held in the trusts, and are included on our consolidated balance sheets in other assets. Debt securities are accounted for as available-for-sale securities, and changes in fair value are reported in other comprehensive income. Changes in the fair value of available-for-sale equity securities in the trust assets are recognized through earnings. Derivative Instruments The derivative instruments that we use are primarily natural gas fixed price swaps, basis swaps and options traded in the over-the-counter markets with multi-national commercial banks, other major financial institutions or large energy companies. The natural gas derivative contracts represent anticipated natural gas needs for future periods and settlements are scheduled to coincide with anticipated natural gas purchases during those future periods. The natural gas derivative contracts settle using primarily a NYMEX futures price index. To determine the fair value of these instruments, we use quoted market prices from NYMEX and standard pricing models with inputs derived from or corroborated by observable market data such as forward curves supplied by an industry-recognized independent third party. See Note 13—Derivative Financial Instruments for additional information. Embedded Derivative Liability Under the terms of our strategic venture with CHS Inc. (CHS), if our credit rating as determined by two of three specified credit rating agencies is below certain levels, we are required to make a non-refundable yearly payment of $5 million to CHS. Since 2016, our credit ratings have been below certain levels and, as a result, we made an annual payment of $5 million to CHS in the fourth quarter of each year. These payments will continue on a yearly basis until the earlier of the date that our credit rating is upgraded to or above certain levels by two of the three specified credit rating agencies or February 1, 2026. This obligation is recognized on our consolidated balance sheets as an embedded derivative and is included within other current liabilities and other liabilities. As of September 30, 2021 and December 31, 2020, the embedded derivative liability was $20 million and $18 million, respectively. Included in other operating—net in our consolidated statement of operations for each of the nine-month periods ended September 30, 2021 and 2020 was a net loss of $2 million. The inputs into the fair value measurement include the probability of future upgrades and downgrades of our credit rating based on historical credit rating movements of other public companies and the discount rates to be applied to potential annual payments based on applicable credit spreads of other public companies at different credit rating levels. Based on these inputs, our fair value measurement is classified as Level 2. See Note 14—Noncontrolling Interest for additional information regarding our strategic venture with CHS. Financial Instruments The carrying amount and estimated fair value of our financial instruments are as follows:
| September 30, 2021 |  | December 31, 2020
| Carrying Amount |  | Fair Value |  | Carrying Amount |  | Fair Value
| (in millions)
Long-term debt, including current maturities | $ | 3,465 |  |  | $ | 4,165 |  |  | $ | 3,961 |  |  | $ | 4,731 |
The fair value of our long-term debt was based on quoted prices for identical or similar liabilities in markets that are not active or valuation models in which all significant inputs and value drivers are observable and, as a result, they are classified as Level 2 inputs. The carrying amounts of cash and cash equivalents, as well as instruments included in other current assets and other current liabilities that meet the definition of financial instruments, approximate fair values because of their short-term maturities. Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis We also have assets and liabilities that may be measured at fair value on a nonrecurring basis; that is, the assets and liabilities are not measured at fair value on an ongoing basis, but are subject to fair value adjustments in certain circumstances, such as when there is evidence of impairment, when there is allocation of purchase price in an acquisition or when a new liability is being established that requires fair value measurement. These include long-lived assets, goodwill and other intangible assets and investments in unconsolidated subsidiaries, such as equity method investments, which may be written down to fair value as a result of impairment. The fair value measurements related to each of these rely primarily on Company-specific inputs and the Company’s assumptions about the use of the assets. Since certain of the Company’s assumptions would involve inputs that are not observable, these fair values would reside within Level 3 of the fair value hierarchy. See Note 3—United Kingdom Energy Crisis and Impairment Charges for additional information on the fair values and unobservable inputs utilized in the impairment evaluations performed as of September 30, 2021 for the long-lived assets, including definite-lived intangible assets, and goodwill related to our U.K. operations.

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- 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. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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