First Data 2011 Annual Report Download - page 90

As of December 31, 2010
Fair Value Measurement Using
(in millions)
Quoted prices in
active markets
for identical assets
(Level 1)
Significant other
observable
inputs
(Level 2)
Significant
unobservable
inputs
(Level 3) Total
Liabilities:
Other current liabilities:
Interest rate swap contracts $ — $ 4.4 $ — $ 4.4
Other long-term liabilities:
Interest rate swap contracts — 352.8 — 352.8
Foreign currency derivative contracts — 22.2 — 22.2
Total liabilities at fair value $ — $ 379.4 $ — $ 379.4
Settlement assets - student loan auction rate securities. Due to the lack of observable market activity for the SLARS held by
the Company as of December 31, 2011, the Company, with the assistance of a third-party valuation firm upon which the Company in
part relied, made certain assumptions, primarily relating to estimating both the weighted-average life for the securities held by the
Company and the impact on the fair value of the current inability to redeem the securities at par value. All key assumptions and
valuations were determined by and are the responsibility of management. The securities were valued using an income approach based
on a probability-weighted discounted cash flow analysis. The Company considered each security's key terms including date of
issuance, date of maturity, auction intervals, scheduled auction dates, maximum auction rates, as well as underlying collateral, ratings,
and guarantees or insurance. The impact of the Company's judgment in the valuation was significant and, accordingly, the resulting
fair value was classified as Level 3 within the fair value hierarchy. A 50 basis point change in liquidity risk premium, as well as slight
changes in other factors, would impact the value of the SLARS by approximately $3 million. For additional information regarding
sales, settlements and impairments of the SLARS, refer to Note 5 of these Consolidated Financial Statements.
(in millions)
Fair Value Measurement
Using Significant
Unobservable Inputs
(Level 3)
Student loan auction rate
securities
Beginning balance as of January 1, 2010 $ 449.7
Total gains or losses (realized or unrealized):
Included in other comprehensive income 44.7
Included in product sales and other (a) (31.5)
Sales (23.5)
Settlements (98.3)
Transfers in (out) of Level 3 —
Ending balance as of December 31, 2010 341.1
Total gains or losses (realized or unrealized):
Included in other comprehensive income 1.2
Included in product sales and other (a) (4.5)
Sales (158.4)
Settlements (8.9)
Transfers in (out) of Level 3 —
Ending balance as of December 31, 2011 $ 170.5
(a) Includes impairments of $28.2 million and $5.2 million for the years ended December 31, 2010 and 2011, respectively.
Settlement assets - other available-for-sale securities. Prices for the municipal, corporate, and U.S. Government securities
are not quoted on active exchanges but are priced through an independent third-party pricing service based on quotations from market-
makers in the specific instruments or, where appropriate, from other market inputs. Bonds were valued under a market approach using
observable inputs including reported trades, benchmark yields, broker/dealer quotes, issuer spreads and other standard inputs.
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