Crucial 2015 Annual Report Download - page 78

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76
Convertible Notes Settlement Obligations: During 2015, holders elected to convert a portion of our 2033E Notes. In
2014, holders elected to convert substantially all of our remaining 2014 Notes, 2027 Notes, 2031A Notes, and 2031B Notes.
As a result of our elections to settle the amounts due upon conversion in cash, each of the settlement obligations became
derivative debt liabilities subject to mark-to-market accounting treatment for a period of approximately 30 days, beginning on
the dates we notified the holder of our intention to settle the obligation in cash through the settlement dates. The fair values of
the underlying derivative settlement obligations were initially determined using the Black-Scholes option valuation model
(Level 2 fair value measurements). The Black-Scholes model requires the input of assumptions, including the stock price,
expected stock-price volatility, estimated option life, risk-free interest rate, and dividend rate. The subsequent measurements
and final settlement amounts of our convertible note settlement obligations were based on the volume-weighted average stock
price (Level 2 fair value measurements). Changes in fair values of the derivative settlement obligations were included in other
non-operating income (expense), net.
Total notional amounts and gross fair values for derivative instruments without hedge accounting designation were as
follows:
Notional
Amount(1)
Fair Value of
Current
Assets(2) Current
Liabilities(3) Noncurrent
Liabilities(4)
As of September 3, 2015
Currency forward contracts:
Yen $ 928 $ — $ (24) $ —
Singapore dollar 282 — — —
New Taiwan dollar 89 — — —
Yuan 32 1 — —
Euro 29 — — —
Shekel 27 — — —
British Pound 19 — — —
$ 1,406 $ 1 $ (24) $ —
As of August 28, 2014
Currency forward contracts:
Yen $ 554 $ — $ (12) $ (6)
Singapore dollar 330 — — —
Euro 245 — (1) —
Shekel 62 — (1) —
$ 1,191
Convertible notes settlement obligations 12 — (389) —
$ — $ (403) $ (6)
(1) Notional amounts of forward contracts in U.S. dollars and convertible notes settlement obligations in shares.
(2) Included in receivables – other.
(3) Included in accounts payable and accrued expenses – other for forward contracts and in current debt for convertible
notes settlement obligations.
(4) Included in other noncurrent liabilities.
Net gains (losses) for derivative instruments without hedge accounting designation were included in other non-operating
income (expense), net as follows:
For the year ended 2015 2014 2013
Foreign exchange contracts $ (64) $ (27) $ (222)
Convertible notes settlement obligations 7 (59) —