Annual report pursuant to Section 13 and 15(d)

DERIVATIVE INSTRUMENTS AND RISK MANAGEMENT (Tables)

v2.4.1.9
DERIVATIVE INSTRUMENTS AND RISK MANAGEMENT (Tables)
12 Months Ended
Dec. 31, 2014
Notional Amounts of Outstanding Derivative Positions
The notional amounts of our outstanding derivative positions were as follows as of December 31, 2014 and 2013 (in millions):
 
 
 
2014
 
2013
Currency Hedges:
 
 
 
 
 
Euro
EUR
 
2,833

 
2,637

British Pound Sterling
GBP
 
1,149

 
1,097

Canadian Dollar
CAD
 
293

 
218

Indian Rupee
INR
 
85

 

Malaysian Ringgit
MYR
 
150

 

Mexican Peso
MXN
 
152

 
583

 
 
 
 
 
 
Interest Rate Hedges:
 
 
 
 
 
Fixed to Floating Interest Rate Swaps
USD
 
5,799

 
6,799

Floating to Fixed Interest Rate Swaps
USD
 
779

 
780

Interest Rate Basis Swaps
USD
 
1,500

 
2,500

Balance sheet location of derivative assets and liabilities and their related fair values
The following table indicates the location on the consolidated balance sheets in which our derivative assets and liabilities have been recognized, and the related fair values of those derivatives as of December 31, 2014 and 2013 (in millions). The table is segregated between those derivative instruments that qualify and are designated as hedging instruments and those that are not, as well as by type of contract and whether the derivative is in an asset or liability position.
We have master netting arrangements with substantially all of our counterparties giving us the right of offset for our derivative positions. However, we have not elected to offset the fair value positions of our derivative contracts recorded on our consolidated balance sheets. The columns labeled "net amounts if right of offset had been applied" indicate the potential net fair value positions by type of contract and location on the consolidated balance sheets had we elected to apply the right of offset.
 
 
 
Gross Amounts Presented in
Consolidated Balance Sheets
 
Net Amounts if Right of
Offset had been Applied
Asset Derivatives
Balance Sheet Location
 
2014
 
2013
 
2014
 
2013
Derivatives designated as hedges:
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
Other current assets
 
$
204

 
$
10

 
$
204

 
$
4

Interest rate contracts
Other current assets
 

 
7

 

 
7

Foreign exchange contracts
Other non-current assets
 
229

 
59

 
229

 
59

Interest rate contracts
Other non-current assets
 
227

 
204

 
194

 
110

Derivatives not designated as hedges:
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
Other current assets
 
2

 
7

 
2

 
5

Interest rate contracts
Other non-current assets
 
59

 
60

 
57

 
57

Total Asset Derivatives
 
 
$
721

 
$
347

 
$
686

 
$
242

 
 
 
 
 
 
 
 
 
 

 
 
 
Gross Amounts Presented in
Consolidated Balance Sheets
 
Net Amounts if Right of
Offset had been Applied
Liability Derivatives
Balance Sheet Location
 
2014
 
2013
 
2014
 
2013
Derivatives designated as hedges:
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
Other current liabilities
 
$

 
$
6

 
$

 
$

Foreign exchange contracts
Other non-current liabilities
 
34

 

 
34

 

Interest rate contracts
Other non-current liabilities
 
35

 
104

 
2

 
10

Derivatives not designated as hedges:
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
Other current liabilities
 

 
7

 

 
5

Interest rate contracts
Other current liabilities
 
1

 
1

 
1

 
1

Interest rate contracts
Other non-current liabilities
 
7

 
3

 
5

 

Total Liability Derivatives
 
 
$
77

 
$
121

 
$
42

 
$
16

Amount and Location in the Income Statement for Derivatives Designed as Cash Flow Hedges
The following table indicates the amount of gains and losses that have been recognized in AOCI for the years ended December 31, 2014 and 2013 for those derivatives designated as cash flow hedges (in millions):
Derivative Instruments in Cash Flow Hedging Relationships
 
Amount of Gain (Loss) Recognized in AOCI on
Derivative (Effective Portion)
 
 
2014
 
2013
 
Interest rate contracts
 
$
(5
)
 
$
6

 
Foreign exchange contracts
 
358

 
44

 
Commodity contracts
 

 
(48
)
 
Total
 
$
353

 
$
2

 
Fair Values of Derivative Assets and Liabilities by Hedge Type
The fair values of our derivative assets and liabilities as of December 31, 2014 and 2013 by hedge type are as follows (in millions):
 
 
Quoted Prices in
Active Markets for
Identical Assets
(Level 1)
 
Significant
Other
Observable
Inputs
(Level 2)
 
Significant
Unobservable
Inputs
(Level 3)
 
Total
2014
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
Foreign Exchange Contracts
 
$

 
$
435

 
$

 
$
435

Interest Rate Contracts
 

 
286

 

 
286

Total
 
$

 
$
721

 
$

 
$
721

Liabilities
 
 
 
 
 
 
 
 
Foreign Exchange Contracts
 
$

 
$
34

 
$

 
$
34

Interest Rate Contracts
 

 
43

 

 
43

Total
 
$

 
$
77

 
$

 
$
77

 
 
 
 
 
 
 
 
 
  
 
Quoted Prices in
Active Markets for
Identical Assets
(Level 1)
 
Significant
Other
Observable
Inputs
(Level 2)
 
Significant
Unobservable
Inputs
(Level 3)
 
Total
2013
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
Foreign Exchange Contracts
 
$

 
$
76

 
$

 
$
76

Interest Rate Contracts
 

 
271

 

 
271

Total
 
$

 
$
347

 
$

 
$
347

Liabilities
 
 
 
 
 
 
 
 
Foreign Exchange Contracts
 
$

 
$
13

 
$

 
$
13

Interest Rate Contracts
 

 
108

 

 
108

Total
 
$

 
$
121

 
$

 
$
121

Designated as Hedging Instrument  
Amount and Location in the Income Statement for Derivatives Designated as Fair Value Hedges
The following table indicates the amount and location in the statements of consolidated income in which derivative gains and losses, as well as the associated gains and losses on the underlying exposure, have been recognized for those derivatives designated as fair value hedges for the years ended December 31, 2014 and 2013 (in millions):
Derivative Instruments
in Fair Value Hedging
Relationships
 
Location of
Gain (Loss)
Recognized in
Income
 
Amount of Gain (Loss)
Recognized in Income
 
Hedged Items in
Fair Value Hedging
Relationships
 
Location of 
Gain (Loss)
Recognized in
Income
 
Amount of Gain (Loss)
Recognized in Income
 
 
2014
 
2013
 
 
 
2014
 
2013
Interest rate contracts
 
Interest Expense
 
$
90

 
$
(306
)
 
Fixed-Rate Debt
and Capital Leases
 
Interest Expense
 
$
(90
)
 
$
306

Not Designated as Hedging Instrument  
Amount and Location in the Income Statement for Derivatives Designated as Fair Value Hedges
The following is a summary of the amounts recorded in the statements of consolidated income related to fair value changes and settlements of these foreign currency forward, interest rate swap, and commodity contracts not designated as hedges for the years ended December 31, 2014 and 2013 (in millions):
Derivative Instruments Not Designated in
Hedging Relationships
 
Location of Gain
(Loss) Recognized
in Income
 
Amount of Gain (Loss) Recognized in Income
 
 
2014
 
2013
Commodity contracts
 
Fuel Expense
 
$
(15
)
 
$

Foreign exchange contracts
 
Other Expenses
 
27

 
72

Foreign exchange contracts
 
Investment Income
 
7

 
(5
)
Interest rate contracts
 
Interest Expense
 
(5
)
 
(4
)
Total
 
 
 
$
14

 
$
63