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Fair Value Measurements | 6 Months Ended
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Jun. 30, 2023
Fair Value Measurements |
Fair Value Measurements | 6. Fair Value Measurements U.S. GAAP requires enhanced disclosures about assets and 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 assets and liabilities at fair value. Market price observability is impacted by a number of factors, including the type of, and the characteristics specific to, the assets and liabilities. Assets and liabilities 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. Assets and 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 assets and liabilities as of the reporting date. 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 where all significant inputs are observable. The inputs and assumptions of our Level 2 assets and liabilities are derived from market observable sources including reported trades, broker/dealer quotes and other pertinent data. Level 3 – Pricing inputs are unobservable for the assets and liabilities and include situations where there is little, if any, market activity for the assets and liabilities. 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, the 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 consideration of factors specific to the assets and liabilities. 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. ​ ​ Assets and Liabilities Measured at Fair Value on a Recurring Basis The following table summarizes the valuation of our assets and liabilities by the above fair value hierarchy levels measured on a recurring basis: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | June 30, 2023 | ​ | December 31, 2022
​ |  | Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
​ | ​ | (in millions)
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Investments (Note 5) | ​ | $ | 3,648 | ​ | $ | 1,134 | ​ | $ | 42 | ​ | $ | 4,824 | ​ | $ | 5,538 | ​ | $ | 1,142 | ​ | $ | 42 | ​ | $ | 6,722
Derivative assets, net (Note 7) | ​ |  | — | ​ |  | 344 | ​ |  | — | ​ |  | 344 | ​ |  | — | ​ |  | 805 | ​ |  | — | ​ |  | 805
​ | ​ | $ | 3,648 | ​ | $ | 1,478 | ​ | $ | 42 | ​ | $ | 5,168 | ​ | $ | 5,538 | ​ | $ | 1,947 | ​ | $ | 42 | ​ | $ | 7,527
Liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Securities sold, not yet purchased (Note 5) | ​ | $ | 3,198 | ​ | $ | 172 | ​ | $ | — | ​ | $ | 3,370 | ​ | $ | 6,326 | ​ | $ | 169 | ​ | $ | — | ​ | $ | 6,495
Derivative liabilities, net (Note 7) | ​ |  | 15 | ​ |  | 896 | ​ |  | — | ​ |  | 911 | ​ |  | — | ​ |  | 691 | ​ |  | — | ​ |  | 691
RFS obligations (Note 18) | ​ |  | — | ​ |  | 599 | ​ |  | — | ​ |  | 599 | ​ |  | — | ​ |  | 692 | ​ |  | — | ​ |  | 692
​ | ​ | $ | 3,213 | ​ | $ | 1,667 | ​ | $ | — | ​ | $ | 4,880 | ​ | $ | 6,326 | ​ | $ | 1,552 | ​ | $ | — | ​ | $ | 7,878
​ ​ A ssets Measured at Fair Value on a Non-Recurring Basis for Which We Use Level 3 Inputs to Determine Fair Value ​ Energy ​ CVR Partners performed a non-recurring fair value measurement of the equity interest received as part of the 45Q Transaction. Such valuation used a combination of the market approach and the discounted cash flow methodology with key inputs including the discount rate, contractual and expected future cash flows, and market multiples. CVR Partners determined the estimated fair value of the consideration received to be $46 million, which is a non-recurring Level 3 measurement. ​ Holding Company ​ The estimated fair value of the Company’s note receivable from Auto Plus was measured at January 31, 2023 using the income approach with Level 3 inputs by discounting the forecasted cash inflows associated with the note using an estimated market discount rate. During the second quarter of 2023, the Company measured the fair value of the related party note using the practical expedient for a collateral-dependent loan in accordance with ASC Topic 326 to determine the allowance based on the fair value of collateral less costs to sell. The note collateral is primarily made up of cash and accounts receivable and we estimated the fair value to be $82 million. The fair value of accounts receivable was estimated based on expected collectability.We determined the expected credit losses of $116 million were uncollectible and wrote off the valuation allowance against the note receivable.

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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 -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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