XML 59 R39.htm IDEA: XBRL DOCUMENT v3.24.3
Fair value measurements (Tables)
 12 Months Ended
Aug. 31, 2024
Fair Value Disclosures [Abstract]  
Assets and liabilities measured at fair value on a recurring basis
Assets and liabilities measured at fair value on a recurring basis were as follows (in millions):
 August 31, 2024Level 1Level 2Level 3
Assets:    
Money market funds 1
$1,790 $1,790 $— $— 
Cross currency interest rate swaps 2
6 — 6 — 
Foreign currency forwards 3
3 — 3 — 
Investments in equity securities 4
19 19 — — 
Investment in debt securities 5
98 — 98 — 
Total return swaps11 — 11 — 
Liabilities:
Variable prepaid forward 6
$3,919 $— $— $3,919 
Foreign currency forwards 3
67 — 67 — 
Cross currency interest rate swaps 2
5 — 5 — 

 August 31, 2023Level 1Level 2Level 3
Assets:    
Money market funds 1
$11 $11 $— $— 
Cross currency interest rate swaps 2
28 — 28 — 
Foreign currency forwards 3
6 — 6 — 
Investments in equity securities 4
17 17 — — 
Investments in debt securities 5
15 — 15 — 
Total return swaps1 — 1 — 
Liabilities:
    
Variable prepaid forward 6
$2,548 $— $— $2,548 
Foreign currency forwards 3
5 — 5 — 
Total return swaps1 — 1 — 
Cross currency interest rate swaps 2
2 — 2 — 

1.Money market funds are valued at the closing price reported by the fund sponsor and classified as Marketable securities on the Consolidated Balance Sheets.
2.The fair value of cross currency interest rate swaps is calculated by discounting the estimated future cash flows based on the applicable observable yield curves. See Note 8. Financial instruments, for further information.
3.The fair value of forward currency contracts is estimated by discounting the difference between the contractual forward price and the current available forward price for the residual maturity of the contract using observable market rates. See Note 8. Financial instruments, for further information.
4.Fair values of quoted investments are based on current bid prices as of August 31, 2024 and August 31, 2023.
5.Includes investments in Treasury debt securities.
6.The fair value of the derivative was derived from a Black-Scholes valuation. The inputs used in valuing the derivative included observable inputs such as the floor and cap prices of the VPF, dividend yield of Cencora shares, risk free interest rate, and contractual term of the instrument, as well as unobservable inputs such as implied volatility of Cencora shares. The implied volatility ranged from 24.5% - 34.5% for the lower strike and 19.6% - 22.7% for the upper strike as of August 31, 2024, and 23.2% - 24.7% for the lower strike and 18.1% - 19.1% for the upper strike as of August 31, 2023. See Note 8. Financial instruments, for further information.
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
The roll forward of the fair value of the VPF derivatives associated with the forward sale of shares of Cencora common stock, classified as Level 3, for fiscal 2024 and 2023 is as follows (in millions):

20242023
Opening balance$(2,548)$— 
VPF derivative additions(424)(2,568)
Unrealized (losses) gains recorded in Other income, net(946)19 
Ending balance$(3,919)$(2,548)