Fair Value Measurements

The guidance for fair value measurements established by the FASB defines fair value as the exchange price that would be received from selling an asset or paid to transfer a liability (an exit price) in an orderly transaction between market participants at the measurement date. When determining the fair value measurements for assets and liabilities required or permitted to be recorded at fair value, the Company considers the principal or most advantageous market in which Xilinx would transact and also considers assumptions that market participants would use when pricing the asset or liability, such as inherent risk, transfer restrictions and risk of nonperformance.

The Company determines the fair value for marketable debt securities using industry standard pricing services, data providers and other third-party sources and by internally performing valuation testing and analysis. The Company primarily uses a consensus price or weighted-average price for its fair value assessment. The Company determines the consensus price using market prices from a variety of industry standard pricing services, data providers, security master files from large financial institutions and other third party sources and uses those multiple prices as inputs into a distribution-curve-based algorithm to determine the daily market value. The pricing services use multiple inputs to determine market prices, including reportable trades, benchmark yield curves, credit spreads and broker/dealer quotes as well as other industry and economic events. For certain securities with short maturities, such as discount commercial paper and certificates of deposit, the security is accreted from purchase price to face value at maturity. If a subsequent transaction on the same security is observed in the marketplace, the price on the subsequent transaction is used as the current daily market price and the security will be accreted to face value based on the revised price. For certain other securities, such as student loan auction rate securities, the Company performs its own valuation analysis using a discounted cash flow pricing model.

The Company validates the consensus prices by taking random samples from each asset type and corroborating those prices using reported trade activity, benchmark yield curves, binding broker/dealer quotes or other relevant price information. There have not been any changes to the Company’s fair value methodology during the first nine months of fiscal 2016 and the Company did not adjust or override any fair value measurements as of January 2, 2016.

Fair Value Hierarchy

The fair value framework requires the categorization of assets and liabilities into three levels based upon the assumptions (inputs) used to price the assets or liabilities. The guidance for fair value measurements requires that assets and liabilities carried at fair value be classified and disclosed in one of the following categories:

Level 1 — Quoted (unadjusted) prices in active markets for identical assets or liabilities.

The Company’s Level 1 assets consist of U.S. government and agency securities and money market funds.

Level 2 — Observable inputs other than quoted prices included in Level 1, such as quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar assets or liabilities in markets that are not active; or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the asset or liability.

The Company’s Level 2 assets consist of financial institution securities, non-financial institution securities, municipal bonds, U.S. government and agency securities, foreign government and agency securities, mortgage-backed securities, debt mutual funds, bank loans, asset-backed securities and commercial mortgage-backed securities. The Company’s Level 2 assets and liabilities also include foreign currency forward contracts and commodity swap contracts.

Level 3 — Unobservable inputs to the valuation methodology that are supported by little or no market activity and that are significant to the measurement of the fair value of the assets or liabilities. Level 3 assets and liabilities include those whose fair value measurements are determined using pricing models, discounted cash flow methodologies or similar valuation techniques, as well as significant management judgment or estimation.

The Company’s Level 3 assets and liabilities include student loan auction rate securities.

Assets and Liabilities Measured at Fair Value on a Recurring Basis

In instances where the inputs used to measure fair value fall into different levels of the fair value hierarchy, the fair value measurement has been determined based on the lowest level input that is significant to the fair value measurement in its entirety. The Company’s assessment of the significance of a particular item to the fair value measurement in its entirety requires judgment, including the consideration of inputs specific to the asset or liability. The following tables present information about the Company’s assets and liabilities measured at fair value on a recurring basis as of January 2, 2016 and March 28, 2015:



	January 2, 2016
(In thousands)	Quoted Prices in Active Markets for Identical Instruments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total Fair Value
Assets
Cash equivalents:
Money market funds	$	222,433	$	—	$	—	$	222,433
Financial institution securities	—		63,995		—		63,995
Non-financial institution securities	—		319,224		—		319,224
U.S. government and agency securities	25,007		55,486		—		80,493
Foreign government and agency securities	—		54,997		—		54,997
Short-term investments:
Financial institution securities	—		264,950		—		264,950
Non-financial institution securities	—		353,443		—		353,443
Municipal bonds	—		59,019		—		59,019
U.S. government and agency securities	102,967		114,857		—		217,824
Foreign government and agency securities	—		81,378		—		81,378
Asset-backed securities	—		206,793		—		206,793
Mortgage-backed securities	—		987,110		—		987,110
Debt mutual funds	—		34,883		—		34,883
Bank loans	—		102,652		—		102,652
Commercial mortgage-backed securities	—		190,220		—		190,220
Long-term investments:
Auction rate securities	—		—		10,111		10,111
Asset-backed securities	—		6,874		—		6,874
Municipal bonds	—		7,176		—		7,176
Mortgage-backed securities	—		147,038		—		147,038
Debt mutual fund	—		53,234		—		53,234
Commercial mortgage-backed securities	—		181		—		181
Total assets measured at fair value	$	350,407	$	3,103,510	$	10,111	$	3,464,028

Liabilities
Derivative financial instruments, net	$	—	$	2,638	$	—	$	2,638
Total liabilities measured at fair value	$	—	$	2,638	$	—	$	2,638
Net assets measured at fair value	$	350,407	$	3,100,872	$	10,111	$	3,461,390



	March 28, 2015
(In thousands)	Quoted Prices in Active Markets for Identical Instruments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total Fair Value
Assets
Cash equivalents:
Money market funds	$	235,583	$	—	$	—	$	235,583
Financial institution securities	—		229,999		—		229,999
Non-financial institution securities	—		89,995		—		89,995
U.S. government and agency securities	—		200,392		—		200,392
Foreign government and agency securities	—		37,996		—		37,996
Short-term investments:
Financial institution securities	—		75,000		—		75,000
Non-financial institution securities	—		339,029		—		339,029
Municipal Bonds	—		40,006		—		40,006
U.S. government and agency securities	256,514		301,010		—		557,524
Foreign government and agency securities	—		159,936		—		159,936
Mortgage-backed securities	—		859,330		—		859,330
Debt mutual fund	—		38,608		—		38,608
Bank loans	—		98,100		—		98,100
Asset-backed securities	—		204,510		—		204,510
Commercial mortgage-backed securities	—		38,446		—		38,446
Long-term investments:
Auction rate securities	—		—		10,312		10,312
Municipal bonds	—		9,650		—		9,650
Mortgage-backed securities	—		180,906		—		180,906
Debt mutual fund	—		56,592		—		56,592
Asset-backed securities	—		7,948		—		7,948
Commercial mortgage-backed securities	—		1,494		—		1,494
Total assets measured at fair value	$	492,097	$	2,968,947	$	10,312	$	3,471,356
Liabilities
Derivative financial instruments, net	$	—	$	9,251	$	—	$	9,251
Total liabilities measured at fair value	$	—	$	9,251	$	—	$	9,251
Net assets measured at fair value	$	492,097	$	2,959,696	$	10,312	$	3,462,105

Changes in Level 3 Instruments Measured at Fair Value on a Recurring Basis

The following table is a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3):



	Three Months Ended						Nine Months Ended
(In thousands)	January 2, 2016			December 27, 2014			January 2, 2016			December 27, 2014
Balance as of beginning of period	$	10,413		$	20,608		$	10,312		$	20,160
Total realized and unrealized gains (losses):
Included in other comprehensive income (loss)	(302		)	717			(201		)	1,165

Sales and settlements, net (1)	—			(11,000		)	—			(11,000		)
Balance as of end of period	$	10,111		$	10,325		$	10,111		$	10,325


(1)	During the first nine months of fiscal 2015, the Company redeemed $11.0 million of student loan auction rate securities for cash at par value. There was no redemption during the first nine months of fiscal 2016.

As of January 2, 2016, marketable securities measured at fair value using Level 3 inputs were comprised of $10.1 million of student loan auction rate securities. There was no material change to the input assumptions of the pricing model for these student loan auction securities.

Financial Instruments Not Recorded at Fair Value on a Recurring Basis

The Company’s 2.625% Senior Convertible Debentures due June 15, 2017 (2017 Convertible Notes), 2.125% Notes due 2019 (2019 Notes) and 3.000% Notes due 2021 (2021 Notes) are measured at fair value on a quarterly basis for disclosure purposes. The fair values of the 2017 Convertible Notes, 2019 Notes and 2021 Notes as of January 2, 2016 were approximately $976.5 million, $497.3 million and $503.4 million, respectively, based on the last trading price of the respective debentures for the period (classified as Level 2 in fair value hierarchy due to relatively low trading volume).