XML 177 R115.htm IDEA: XBRL DOCUMENT v3.19.3.a.u2
Fair Value Measurements - Schedule of Financial Instruments Measured at Fair Value on Recurring and Nonrecurring Basis (Detail) - USD ($)
$ in Millions
Dec. 31, 2019
Dec. 31, 2018
Carrying Amount [Member]    
Measured at fair value on recurring basis    
Forward contracts, liability $ (75) [1] $ (39)
Embedded derivatives [2] (28)  
Not measured at fair value on recurring basis    
Debt and finance lease obligations (4,353) [3] (3,633)
Fair Value [Member]    
Measured at fair value on recurring basis    
Forward contracts, liability (75) [1] (39)
Embedded derivatives [2] (28)  
Not measured at fair value on recurring basis    
Debt and finance lease obligations (2,362) [3] (3,287)
Level 2 [Member]    
Measured at fair value on recurring basis    
Forward contracts, liability (75) [1] (39)
Not measured at fair value on recurring basis    
Debt and finance lease obligations (2,275) [3] (3,197)
Level 3 [Member]    
Measured at fair value on recurring basis    
Embedded derivatives [2] (28)  
Not measured at fair value on recurring basis    
Debt and finance lease obligations $ (87) [3] $ (90)
[1] The fair value of forward contracts is classified as Level 2 within the fair value hierarchy and is valued using observable market parameters for similar instruments traded in active markets. Where quoted prices are not available, the income approach is used to value forward contracts. This approach discounts future cash flows based on current market expectations and credit risk.
[2] The fair value of the embedded derivatives, discussed in Note 13, Debt, is determined using a discounted cash flow approach and is classified as Level 3 because the inputs to the fair value measurement of the embedded derivatives are unobservable and reflect our estimates of forward yield, using a risk-free rate and a USD Energy CCC yield curve.
[3] Our debt instruments are generally valued using a market approach based on quoted prices for similar instruments traded in active markets and are classified as Level 2 within the fair value hierarchy. Quoted prices were not available for the NO 105 construction financing, vendor equipment financing or finance leases. Therefore, these instruments were valued based on the present value of future cash flows discounted at estimated borrowing rates for similar debt instruments or on estimated prices based on current yields for debt issues of similar quality and terms and are classified as Level 3 within the fair value hierarchy.