Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVE INSTRUMENTS AND RISK MANAGEMENT (Tables)

v3.21.2
DERIVATIVE INSTRUMENTS AND RISK MANAGEMENT (Tables)
 6 Months Ended
Jun. 30, 2021
Derivative Instruments, Gain (Loss) [Line Items]  
Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location [Table Text Block] The following table indicates the amount of gains and (losses) that have been recognized in the statements of consolidated income for fair value and cash flow hedges, as well as the associated gain or (loss) for the underlying hedged item for fair value hedges for the three and six months ended June 30, 2021 and 2020 (in millions):


 Three Months Ended June 30,
Location and Amount of Gain (Loss) Recognized in Income on Fair Value and Cash Flow Hedging Relationships 2021 2020
Revenue Interest Expense Investment Income and Other Revenue Interest Expense Investment Income and Other
Gain or (loss) on fair value hedging relationships:
Interest Contracts:
Hedged items $ —  $ 4  $ —  $ —  $ 2  $ — 
Derivatives designated as hedging instruments —  (4) —  —  (2) — 
Gain or (loss) on cash flow hedging relationships:
Interest Contracts:
Amount of gain or (loss) reclassified from accumulated other comprehensive income —  (3) —  —  (3) — 
Foreign Currency Exchange Contracts:
Amount of gain or (loss) reclassified from accumulated other comprehensive income 7  —  —  71  —  — 
Total amounts of income and expense line items presented in the statement of income in which the effects of fair value or cash flow hedges are recorded $ 7  $ (3) $ —  $ 71  $ (3) $ — 
Six Months Ended June 30,


2021 2020
Location and Amount of Gain (Loss) Recognized in Income on Fair Value and Cash Flow Hedging Relationships Revenue Interest Expense Investment Income and Other Revenue Interest Expense Investment Income and Other
Gain or (loss) on fair value hedging relationships:
Interest Contracts:
Hedged items $ —  $ 10  $ —  $ —  $ (34) $ — 
Derivatives designated as hedging instruments —  (10) —  —  34  — 
Gain or (loss) on cash flow hedging relationships:
Interest Contracts:
Amount of gain or (loss) reclassified from accumulated other comprehensive income —  (5) —  —  (6) — 
Foreign Currency Exchange Contracts:
Amount of gain or (loss) reclassified from accumulated other comprehensive income 22  —  —  135  —  — 
Total amounts of income and expense line items presented in the statement of income in which the effects of fair value or cash flow hedges are recorded $ 22  $ (5) $ —  $ 135  $ (6) $ — 
Schedule of Notional Amounts of Outstanding Derivative Positions As of June 30, 2021 and December 31, 2020, the notional amounts of our outstanding derivative positions were as follows (in millions):
  June 30, 2021 December 31, 2020
Currency hedges:
Euro EUR 3,885  EUR 4,197 
British Pound Sterling GBP 1,321  GBP 1,400 
Canadian Dollar CAD 1,490  CAD 1,576 
Hong Kong Dollar HKD 2,590  HKD 3,717 
Interest rate hedges:
Fixed to Floating Interest Rate Swaps USD 1,000  USD 3,250 
Floating to Fixed Interest Rate Swaps USD 28  USD 778 
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
Fair Value Hierarchy Level Gross Amounts Presented in Consolidated Balance Sheets Net Amounts if Right of
Offset had been Applied
Asset Derivatives Balance Sheet Location June 30,
2021		 December 31,
2020		 June 30,
2021		 December 31,
2020
Derivatives designated as hedges:
Foreign currency exchange contracts Other current assets Level 2 $ 73  $ 56  $ 53  $ 45 
Interest rate contracts Other current assets Level 2 —  2  —  2 
Foreign currency exchange contracts Other non-current assets Level 2 37  35  11  4 
Interest rate contracts Other non-current assets Level 2 21  29  19  26 
Derivatives not designated as hedges:
Foreign currency exchange contracts Other current assets Level 2 —  4  —  4 
Total Asset Derivatives $ 131  $ 126  $ 83  $ 81 
Fair Value Hierarchy Level Gross Amounts Presented in
Consolidated Balance Sheets		 Net Amounts if Right of
Offset had been Applied
Liability Derivatives Balance Sheet Location June 30,
2021		 December 31,
2020		 June 30,
2021		 December 31,
2020
Derivatives designated as hedges:
Foreign currency exchange contracts Other current liabilities Level 2 $ 33  $ 34  $ 13  $ 23 
Foreign currency exchange contracts Other non-current liabilities Level 2 79  142  53  111 
Interest rate contracts Other non-current liabilities Level 2 11  13  9  10 
Derivatives not designated as hedges:
Foreign currency exchange contracts Other current liabilities Level 2 4  2  4  2 
Interest rate contracts Other current liabilities Level 2 —  1  —  1 
Total Liability Derivatives $ 127  $ 192  $ 79  $ 147 
The following table indicates the amounts that were recorded in the consolidated balance sheets related to cumulative basis adjustments for fair value hedges as of June 30, 2021 and December 31, 2020 (in millions):
Line Item in the Consolidated Balance Sheets in Which the Hedged Item is Included Carrying Amount
of Hedged Liabilities		 Cumulative Amount
of Fair Value Hedge
Adjustments		 Carrying Amount
of Hedged Liabilities		 Cumulative Amount
 of Fair Value Hedge
Adjustments
June 30, 2021 June 30, 2021 December 31, 2020 December 31, 2020
Long-term debt and finance leases $ 1,300  $ 26  $ 2,816  $ 42 
Schedule of Derivative Instruments, Effect on Other Comprehensive Income (Loss)
The following table indicates the amount of gains and (losses) that have been recognized in AOCI for the three and six months ended June 30, 2021 and 2020 for those derivatives designated as cash flow hedges (in millions):
Three Months Ended June 30:
Derivative Instruments in Cash Flow Hedging Relationships Amount of Gain (Loss) Recognized in AOCI on Derivatives
2021 2020
Interest rate contracts $ (3) $ (2)
Foreign currency exchange contracts (54) (80)
Total $ (57) $ (82)
Six Months Ended June 30:
Derivative Instruments in Cash Flow Hedging Relationships Amount of Gain (Loss) Recognized in AOCI on Derivatives
2021 2020
Interest rate contracts $ —  $ (3)
Foreign currency exchange contracts 106  267 
Total $ 106  $ 264 
The following table indicates the amount of gains and (losses) that have been recognized in AOCI within foreign currency translation adjustment for the three and six months ended June 30, 2021 and 2020 for those instruments designated as net investment hedges (in millions):
Three Months Ended June 30:
Non-derivative Instruments in Net Investment Hedging Relationships Amount of Gain (Loss) Recognized in AOCI on Debt
2021 2020
Foreign denominated debt $ (47) $ (103)
Total $ (47) $ (103)
Six Months Ended June 30:
Non-derivative Instruments in Net Investment Hedging Relationships Amount of Gain (Loss) Recognized in AOCI on Debt
2021 2020
Foreign denominated debt $ 77  $ 47 
Total $ 77  $ 47 
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance The following is a summary of the amounts recorded in the statements of consolidated income related to fair value changes and settlements of these interest rate swaps and foreign currency exchange forward contracts not designated as hedges for the three and six months ended June 30, 2021 and 2020 (in millions):
Derivative Instruments Not Designated in
Hedging Relationships		 Location of Gain (Loss)
Recognized in Income		 Amount of Gain (Loss) Recognized in Income
2021 2020
Three Months Ended June 30:
Interest rate swap contracts Interest expense $ —  $ (2)
Foreign currency exchange contracts Investment income and other 3  2 
Total $ 3  $ — 
Six Months Ended June 30:
Interest rate swap contracts Interest expense $ —  $ (4)
Foreign currency exchange contracts Investment income and other (3) (49)
Total $ (3) $ (53)