3M 2012 Annual Report Download - page 103
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97
marked to a value with respect to changes in spot foreign currency exchange rates and not with respect to other factors
that may impact fair value.
3M has determined that foreign currency forwards and commodity price swaps will be considered level 1 measurements
as these are traded in active markets which have identical asset or liabilities, while currency swaps, foreign currency
options, interest rate swaps and cross-currency swaps will be considered level 2. For level 2 derivatives, 3M uses inputs
other than quoted prices that are observable for the asset. These inputs include foreign currency exchange rates,
volatilities, and interest rates. The level 2 derivative positions are primarily valued using standard calculations/models that
use as their basis readily observable market parameters. Industry standard data providers are 3M’s primary source for
forward and spot rate information for both interest rates and currency rates, with resulting valuations periodically validated
through third-party or counterparty quotes and a net present value stream of cash flows model.
The following tables provide information by level for assets and liabilities that are measured at fair value on a recurring
basis.
Fair Value Measurements
(Millions)
Fair Value at
Using Inputs Considered as
Description
Dec. 31, 2012
Level 1
Level 2
Level 3
Assets:
Available-for-sale:
Marketable securities:
U.S. government agency securities
$
287
$
―
$
287
$
―
Foreign government agency securities
67
―
67
―
Corporate debt securities
965
―
965
―
Certificates of deposit/time deposits
41
―
41
―
Commercial paper
116
―
116
―
Asset-backed securities:
Automobile loan related
942
―
942
―
Credit card related
157
―
157
―
Equipment lease related
90
―
90
―
Other
39
―
39
―
U.S. treasury securities
72
72
―
―
U.S. municipal securities
27
―
27
―
Auction rate securities
7
―
―
7
Investments
3
3
―
―
Derivative instruments — assets:
Foreign currency forward/option contracts
49
49
―
―
Interest rate swap contracts
23
―
23
―
Liabilities:
Derivative instruments — liabilities:
Foreign currency forward/option contracts
105
104
1
―
Commodity price swap contracts
1
1
―
―