Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVE INSTRUMENTS AND RISK MANAGEMENT (Tables)

v3.8.0.1
DERIVATIVE INSTRUMENTS AND RISK MANAGEMENT (Tables)
 9 Months Ended
Sep. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Notional Amounts of Outstanding Derivative Positions
As of September 30, 2017 and December 31, 2016, the notional amounts of our outstanding derivative positions were as follows (in millions):
 
September 30, 2017
 
December 31, 2016
Currency hedges:
 
 
 
 
 
Euro
EUR
4,141

 
EUR
3,702

British Pound Sterling
GBP
1,758

 
GBP
1,380

Canadian Dollar
CAD
1,244

 
CAD
1,053

Indian Rupee
INR
—

 
INR
76

Mexican Peso
MXN
166

 
MXN
—

Japanese Yen
JPY
3,363

 
JPY
3,972

Singapore Dollar
SGD
15

 
SGD
32

 
 
 
 
 
 
Interest rate hedges:
 
 
 
 
 
Fixed to Floating Interest Rate Swaps
$
5,799

 
$
5,799

Floating to Fixed Interest Rate Swaps
$
778

 
$
778

 
 
 
 
 
 
Investment market price hedges:
 
 
 
 
 
Marketable Securities
EUR
204

 
EUR
76

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
 
 
September 30,
2017
 
December 31,
2016
 
September 30,
2017
 
December 31,
2016
Derivatives designated as hedges:
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
Other current assets
 
Level 2
 
$
21

 
$
176

 
$
15

 
$
176

Interest rate contracts
Other current assets
 
Level 2
 
4

 
—

 
4

 
—

Foreign exchange contracts
Other non-current assets
 
Level 2
 
3

 
131

 
—

 
126

Interest rate contracts
Other non-current assets
 
Level 2
 
88

 
137

 
75

 
119

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

 
1

 
—

 
1

Interest rate contracts
Other non-current assets
 
Level 2
 
34

 
42

 
33

 
40

Total Asset Derivatives
 
 
 
 
$
150

 
$
487

 
$
127

 
$
462

 
 
 
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
 
 
September 30,
2017
 
December 31,
2016
 
September 30,
2017
 
December 31,
2016
Derivatives designated as hedges:
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
Other current liabilities
 
Level 2
 
$
62

 
$
—

 
$
56

 
$
—

Interest rate contracts
Other current liabilities
 
Level 2
 
—

 
1

 
—

 
1

Foreign exchange contracts
Other non-current liabilities
 
Level 2
 
155

 
6

 
152

 
1

Interest rate contracts
Other non-current liabilities
 
Level 2
 
18

 
21

 
5

 
3

Derivatives not designated as hedges:
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
Other current liabilities
 
Level 2
 
—

 
—

 
—

 
—

Investment market price contracts
Other current liabilities
 
Level 2
 
47

 
10

 
47

 
10

Interest rate contracts
Other non-current liabilities
 
Level 2
 
5

 
7

 
4

 
5

Total Liability Derivatives
 
 
 
 
$
287

 
$
45

 
$
264

 
$
20

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 within foreign currency translation adjustment for the three and nine months ended September 30, 2017 and 2016 for those instruments designated as net investment hedges (in millions):
Three Months Ended September 30:
 
 
 
 
Non-derivative Instruments in Net Investment Hedging Relationships
 
Amount of Gain (Loss) Recognized in AOCI on Debt (Effective Portion)
 
2017
 
2016
Foreign denominated debt
 
$
(142
)
 
$
(7
)
Total
 
$
(142
)
 
$
(7
)
 
 
 
 
 
Nine Months Ended September 30:
 
 
 
 
Non-derivative Instruments in Net Investment Hedging Relationships
 
Amount of Gain (Loss) Recognized in AOCI on Debt (Effective Portion)
 
2017
 
2016
Foreign denominated debt
 
$
(389
)
 
(30
)
Total
 
$
(389
)
 
$
(30
)
The following table indicates the amount of gains and losses that have been recognized in AOCI for the three and nine months ended September 30, 2017 and 2016 for those derivatives designated as cash flow hedges (in millions):
Three Months Ended September 30:
 
 
 
 
Derivative Instruments in Cash Flow Hedging Relationships
 
Amount of Gain (Loss) Recognized in AOCI on Derivative (Effective Portion)
 
2017
 
2016
Interest rate contracts
 
$
—

 
$
—

Foreign exchange contracts
 
(141
)
 
(27
)
Total
 
$
(141
)
 
$
(27
)
 
 
 
 
 
Nine Months Ended September 30:
 
 
 
 
Derivative Instruments in Cash Flow Hedging Relationships
 
Amount of Gain (Loss) Recognized in AOCI on Derivative (Effective Portion)
 
2017
 
2016
Interest rate contracts
 
$
—

 
$
(3
)
Foreign exchange contracts
 
(431
)
 
(36
)
Total
 
$
(431
)
 
$
(39
)
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance
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 three and nine months ended September 30, 2017 and 2016 (in millions):
Derivative Instruments
in Fair Value
Hedging Relationships
Location of Gain (Loss) Recognized in Income
 
Derivative Amount of Gain (Loss) Recognized in Income
 
Hedged Items in
Fair Value
Hedging
Relationships
 
Location of 
Gain (Loss)
Recognized In
 Income
 
Hedged Items Amount of Gain (Loss)
Recognized in Income
 
2017
 
2016
 
 
 
2017
 
2016
Three Months Ended September 30:
 
 
 
 
 
 
 
Interest rate contracts
Interest Expense
 
$
(18
)
 
$
(59
)
 
Fixed-Rate
Debt
 
Interest
Expense
 
$
18

 
$
59

Nine Months Ended September 30:
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
Interest
Expense
 
$
(41
)
 
$
56

 
Fixed-Rate
Debt
 
Interest
Expense
 
$
41

 
$
(56
)
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, foreign currency forward and investment market price forward contracts not designated as hedges for the three and nine months ended September 30, 2017 and 2016 (in millions):
Derivative Instruments Not Designated in
Hedging Relationships
Location of Gain (Loss)
Recognized in Income
 
Amount of Gain (Loss)
Recognized in Income
 
2017
 
2016
Three Months Ended September 30:
 
 
 
 
 
Interest rate contracts
Interest expense
 
$
(2
)
 
$
(2
)
Foreign exchange contracts
Investment income and other
 
14

 
(11
)
Investment market price contracts
Investment income and other
 
(45
)
 
(28
)
 
 
 
$
(33
)
 
$
(41
)
Nine Months Ended September 30:
 
 
 
 
 
Interest rate contracts
Interest expense
 
$
(6
)
 
$
(6
)
Foreign exchange contracts
Investment income and other
 
34

 
$
(117
)
Investment market price contracts
Investment income and other
 
(37
)
 
152

 
 
 
$
(9
)
 
$
29