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Fair Value Measurements | 3 Months Ended
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Mar. 31, 2013
Fair Value Disclosures [Abstract] |
Fair Value Measurements | Fair Value Measurements. U.S. GAAP requires enhanced disclosures about investments and non-recurring non-financial assets and non-financial liabilities that are measured and reported at fair value and has established a hierarchal disclosure framework that prioritizes and ranks the level of market price observability used in measuring investments or non-financial assets and liabilities at fair value. Market price observability is impacted by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value. Investments and non-financial assets and/or liabilities measured and reported at fair value are classified and disclosed in one of the following categories: Level 1 - Quoted prices are available in active markets for identical investments as of the reporting date. The types of investments included in Level 1 include listed equities and listed derivatives. We do not adjust the quoted price for these investments, even in situations where we hold a large position. Level 2 - Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of models or other valuation methodologies. Investments that are generally included in this category include corporate bonds and loans, less liquid and restricted equity securities and certain over-the-counter derivatives. The inputs and assumptions of our Level 2 investments are derived from market observable sources including: reported trades, broker/dealer quotes and other pertinent data. Level 3 - Pricing inputs are unobservable for the investment and non-financial asset and/or liability and include situations where there is little, if any, market activity for the investment or non-financial asset and/or liability. The inputs into the determination of fair value require significant management judgment or estimation. Fair value is determined using comparable market transactions and other valuation methodologies, adjusted as appropriate for liquidity, credit, market and/or other risk factors. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment's level within the fair value hierarchy is 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 in its entirety requires judgment and considers factors specific to the investment. Significant transfers, if any, between the levels within the fair value hierarchy are recognized at the beginning of the reporting period when changes in circumstances require such transfers. Investment The following table summarizes the valuation of the Investment Funds' investments and derivative contracts by the above fair value hierarchy levels as of March 31, 2013 and December 31, 2012:
| March 31, 2013 |  | December 31, 2012
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets | (in millions)
Investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Equity securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Basic materials | $ | 53 |  |  | $ | 9 |  |  | $ | — |  |  | $ | 62 |  |  | $ | 144 |  |  | $ | 9 |  |  | $ | — |  |  | $ | 153 |
Communications | 1,036 |  |  | 14 |  |  | — |  |  | 1,050 |  |  | 560 |  |  | 16 |  |  | — |  |  | 576 |
Consumer, non-cyclical | 1,894 |  |  | — |  |  | — |  |  | 1,894 |  |  | 1,340 |  |  | — |  |  | — |  |  | 1,340 |
Consumer, cyclical | 337 |  |  | — |  |  | — |  |  | 337 |  |  | 261 |  |  | — |  |  | — |  |  | 261 |
Diversified | 28 |  |  | — |  |  | — |  |  | 28 |  |  | — |  |  | — |  |  | — |  |  | — |
Energy | 1,921 |  |  | 19 |  |  | — |  |  | 1,940 |  |  | 1,052 |  |  | 55 |  |  | — |  |  | 1,107 |
Financial | 234 |  |  | — |  |  | — |  |  | 234 |  |  | 244 |  |  | — |  |  | — |  |  | 244 |
Funds | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 308 |  |  | — |  |  | 308 |
Technology | 641 |  |  | 525 |  |  | — |  |  | 1,166 |  |  | 325 |  |  | — |  |  | — |  |  | 325 |
Utilities | 2 |  |  | — |  |  | — |  |  | 2 |  |  | 208 |  |  | — |  |  | — |  |  | 208 |
| 6,146 |  |  | 567 |  |  | — |  |  | 6,713 |  |  | 4,134 |  |  | 388 |  |  | — |  |  | 4,522 |
Corporate debt: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consumer, cyclical | — |  |  | — |  |  | 290 |  |  | 290 |  |  | — |  |  | — |  |  | 288 |  |  | 288 |
Financial | — |  |  | 15 |  |  | — |  |  | 15 |  |  | — |  |  | 50 |  |  | — |  |  | 50 |
Sovereign debt | — |  |  | 3 |  |  | — |  |  | 3 |  |  | — |  |  | 5 |  |  | — |  |  | 5 |
Utilities | — |  |  | 30 |  |  | — |  |  | 30 |  |  | — |  |  | 31 |  |  | — |  |  | 31 |
| — |  |  | 48 |  |  | 290 |  |  | 338 |  |  | — |  |  | 86 |  |  | 288 |  |  | 374 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial | — |  |  | 175 |  |  | — |  |  | 175 |  |  | — |  |  | 188 |  |  | — |  |  | 188 |
| 6,146 |  |  | 790 |  |  | 290 |  |  | 7,226 |  |  | 4,134 |  |  | 662 |  |  | 288 |  |  | 5,084 |
Derivative contracts, at fair value(1) | — |  |  | 1 |  |  | — |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | — |
| $ | 6,146 |  |  | $ | 791 |  |  | $ | 290 |  |  | $ | 7,227 |  |  | $ | 4,134 |  |  | $ | 662 |  |  | $ | 288 |  |  | $ | 5,084 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities sold, not yet purchased, at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Equity securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Consumer, cyclical | $ | 620 |  |  | $ | — |  |  | $ | — |  |  | $ | 620 |  |  | $ | 473 |  |  | $ | — |  |  | $ | — |  |  | $ | 473 |
Funds | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 60 |  |  | — |  |  | 60 |
| 620 |  |  | — |  |  | — |  |  | 620 |  |  | 473 |  |  | 60 |  |  | — |  |  | 533 |
Derivative contracts, at fair value(2) | — |  |  | 478 |  |  | — |  |  | 478 |  |  | — |  |  | 84 |  |  | — |  |  | 84 |
| $ | 620 |  |  | $ | 478 |  |  | $ | — |  |  | $ | 1,098 |  |  | $ | 473 |  |  | $ | 144 |  |  | $ | — |  |  | $ | 617 |
(1) | Included in other assets in our consolidated balance sheets.
(2) | Included in accrued expenses and other liabilities in our consolidated balance sheets.
The changes in investments measured at fair value for which our Investment segment has used Level 3 input to determine fair value are as follows:
| Three Months Ended March 31,
| 2013 |  | 2012
| (in millions)
Balance at January 1 | $ | 288 |  |  | $ | 289 |
Gross realized and unrealized gains (losses) | 4 |  |  | (13 | )
Gross proceeds | (2 | ) |  | (3 | )
Balance at March 31 | $ | 290 |  |  | $ | 273 |
Unrealized gains of $4 million are included in earnings related to Level 3 investments still held at March 31, 2013. Total realized and unrealized gains and losses recorded for Level 3 investments, if any, are reported in net gain from investment activities in our consolidated statements of operations. The Investment Funds held one Level 3 corporate debt investment at March 31, 2013. Fair value was determined through yield analysis of comparable loans to which we applied a risk premium that we determined to be appropriate, which resulted in a lower valuation for our Level 3 investment. Adjusting the risk premium by 1% in either direction would result in a 2% change in the fair value of the loan. Other Segments and Holding Company The following table summarizes the valuation of our Automotive and Energy segments and our Holding Company investments, derivative contracts and other liabilities by the above fair value hierarchy levels as of March 31, 2013 and December 31, 2012:
| March 31, 2013 |  | December 31, 2012
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets | (in millions)
Marketable equity and debt securities | $ | 1 |  |  | $ | — |  |  | $ | — |  |  | $ | 1 |  |  | $ | 1 |  |  | $ | — |  |  | $ | — |  |  | $ | 1 |
Trading securities | — |  |  | — |  |  | 125 |  |  | 125 |  |  | — |  |  | — |  |  | 60 |  |  | 60 |
Derivative contracts, at fair value(1) | — |  |  | 1 |  |  | — |  |  | 1 |  |  | — |  |  | 1 |  |  | 21 |  |  | 22 |
| $ | 1 |  |  | $ | 1 |  |  | $ | 125 |  |  | $ | 127 |  |  | $ | 1 |  |  | $ | 1 |  |  | $ | 81 |  |  | $ | 83 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other liabilities | $ | — |  |  | $ | 32 |  |  | $ | — |  |  | $ | 32 |  |  | $ | — |  |  | $ | 1 |  |  | $ | — |  |  | $ | 1 |
Derivative contracts, at fair value(2) | — |  |  | 45 |  |  | — |  |  | 45 |  |  | — |  |  | 89 |  |  | — |  |  | 89 |
| $ | — |  |  | $ | 77 |  |  | $ | — |  |  | $ | 77 |  |  | $ | — |  |  | $ | 90 |  |  | $ | — |  |  | $ | 90 |
(1) | Amounts are classified within other assets in our consolidated balance sheets.
(2) | Amounts are classified within accrued expenses and other liabilities in our consolidated balance sheets.
The changes in trading securities measured at fair value for which our Holding Company have used Level 3 input to determine fair value are as follows:
| Three Months Ended March 31,
| 2013 |  | 2012
| (in millions)
Balance at January 1 | $ | 81 |  |  | $ | — |
Purchase | 46 |  |  | — |
Gross unrealized losses | (2 | ) |  | — |
Balance at March 31 | $ | 125 |  |  | $ | — |

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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/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 16 -URI http://asc.fasb.org/extlink&oid=7491637&loc=d3e13504-108611 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 107 -Paragraph 15C, 15D -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 44A, 44B -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 107 -Paragraph 15A -Subparagraph a-d -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. 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Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=7491637&loc=d3e13433-108611 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 159 -Paragraph 17-22, 27, 28 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. 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