Fair Value Measurements and Derivative Instruments

9 Months Ended

Sep. 30, 2019

Fair Value Measurements and Derivative Instruments

Note 7: Fair Value Measurements and Derivative Instruments

We did not elect the fair value measurement option for our financial assets or liabilities. The fair value of our debt and the hierarchy level we used to estimate fair values are shown below:

			September 30, 2019				December 31, 2018
	Hierarchy Level		Carrying Amount		Fair Value		Carrying Amount		Fair Value
			(in millions)
Liabilities:
SF CMBS Loan		3	$	725	$	743	$	725	$	706
HHV CMBS Loan		3		1,275		1,330		1,275		1,214
2016 Term Loan		3		750		750		750		732
2019 Term Facility		3		850		850		—		—
Mortgage loans		3		517		522		207		201

The fair value of the interest rate swap we assumed in the Merger is measured on a recurring basis and classified within Level 2 of the fair value hierarchy as it is valued using a third-party pricing model which contain inputs that are derived from observable market data. Where possible, the values produced by the pricing model are verified to market prices. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit spreads, measures of volatility and correlations of such inputs. As of September 30, 2019, the fair value of our interest rate swap liability was $2 million, which is included within other liabilities on our condensed consolidated balance sheet.

The fair values of our other financial instruments are estimated to be equal to their carrying amounts.