Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVE INSTRUMENTS AND RISK MANAGEMENT (Tables)

v2.3.0.15
DERIVATIVE INSTRUMENTS AND RISK MANAGEMENT (Tables)
 9 Months Ended
Sep. 30, 2011
Notional Amounts of Outstanding Derivative Positions

As of September 30, 2011 and December 31, 2010, the notional amounts of our outstanding derivative positions were as follows (in millions):

 

     September 30, 2011
Notional Value		      December 31, 2010
Notional Value		  

Currency Hedges:

      

Euro

    € 2,019       € 1,732   

British Pound Sterling

    £ 946       £ 871   

Canadian Dollar

    C$ 397       C$ 289   

Interest Rate Hedges:

      

Fixed to Floating Interest Rate Swaps

    $ 6,424       $ 6,000   

Floating to Fixed Interest Rate Swaps

    $ 798       $ 53
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The following table indicates the location on the consolidated balance sheets in which our derivative assets and liabilities have been recognized, the fair value hierarchy level applicable to each derivative type, and the related fair values of those derivatives (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.

 

Asset Derivatives

   Balance Sheet Location   Fair Value
Hierarchy Level		     September 30,
2011
Fair  Value 		    December 31,
2010
Fair  Value 		 

Derivatives designated as hedges:

        

Foreign exchange contracts

   Other current assets     Level 2      $ 92      $ 36   

Foreign exchange contracts

   Other non-current assets     Level 2        49        —     

Interest rate contracts

   Other non-current assets     Level 2        431        182   

Derivatives not designated as hedges:

        

Foreign exchange contracts

   Other current assets     Level 2        1        —     

Interest rate contracts

   Other non-current assets     Level 2        84        —     
     

 

 

    

 

 

  

Total Asset Derivatives

       $ 657      $ 218   
     

 

 

    

 

 

  

Liability Derivatives

   Balance Sheet Location   Fair Value
Hierarchy Level		     September 30,
2011
Fair Value		     December 31,
2010
Fair Value		  

Derivatives designated as hedges:

        

Foreign exchange contracts

   Other current liabilities     Level 2      $ (15 )    $ (9 ) 

Foreign exchange contracts

   Other non-current liabilities     Level 2        (229 )      (99 ) 

Interest rate contracts

   Other non-current liabilities     Level 2        (12 )      (29 ) 

Derivatives not designated as hedges:

        

Foreign exchange contracts

   Other current liabilities     Level 2        —          (3 ) 

Interest rate contracts

   Other non-current liabilities     Level 2        (6 )      (1 ) 
     

 

 

    

 

 

  

Total Liability Derivatives

       $ (262 )    $ (141 ) 
     

 

 

    

 

 

  
Schedule of Derivative Instruments, Effect on Other Comprehensive Income (Loss)

The following table indicates the amount and location in the statements of consolidated income for the three and nine months ended September 30, 2011 and 2010 in which derivative gains and losses, as well as the related amounts reclassified from AOCI, have been recognized for those derivatives designated as cash flow hedges (in millions):

Three Months Ended September 30:

 

Derivative Instruments in Cash Flow
Hedging Relationships

   2011 Amount of
Gain (Loss)
Recognized in
OCI on
Derivative
(Effective
Portion)		     2010 Amount of
Gain (Loss)
Recognized in
OCI on
Derivative
(Effective
Portion)		     Location of Gain
(Loss) Reclassified
from Accumulated
OCI into Income
(Effective Portion)		   2011 Amount of
Gain (Loss)
Reclassified from
Accumulated OCI
into Income
(Effective
Portion)		     2010 Amount of
Gain (Loss)
Reclassified from
Accumulated OCI
into Income
(Effective
Portion)		  

Interest rate contracts

   $ (5 )    $ (2 )    Interest Expense   $ (4 )    $ (4 ) 

Foreign exchange contracts

     (117 )      11      Interest Expense     (24 )      42   

Foreign exchange contracts

     11        —        Other Operating
Expense		     (3 )      —     

Foreign exchange contracts

     118        (139 )    Revenue     (25 )      12   

Commodity contracts

     —          —        Fuel Expense     —          —     
 

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ 7      $ (130 )      $ (56 )    $ 50   
 

 

 

    

 

 

      

 

 

    

 

 

  

Nine Months Ended September 30:

 

Derivative Instruments in Cash Flow

Hedging Relationships

   2011 Amount of
Gain (Loss)
Recognized in
OCI on
Derivative
(Effective
Portion)		     2010 Amount of
Gain (Loss)
Recognized in
OCI on
Derivative
(Effective
Portion)		     Location of Gain
(Loss) Reclassified
from Accumulated
OCI into Income
(Effective Portion)		   2011 Amount of
Gain (Loss)
Reclassified from
Accumulated OCI
into Income
(Effective Portion)		     2010 Amount of
Gain (Loss)
Reclassified from
Accumulated OCI
into Income
(Effective Portion)		  

Interest rate contracts

   $ (6 )    $ (3 )    Interest Expense   $ (14 )    $ (13 ) 

Foreign exchange contracts

     (120 )      (100 )    Interest Expense     7        (8 ) 

Foreign exchange contracts

     6        —        Other Operating
Expense		     (3 )      —     

Foreign exchange contracts

     (16 )      14      Revenue     (80 )      94   

Commodity contracts

     9        —        Fuel Expense     9        —     
 

 

 

    

 

 

      

 

 

    

 

 

  

Total

   $ (127 )    $ (89 )      $ (81 )    $ 73   
 

 

 

    

 

 

      

 

 

    

 

 

  
Designated as Hedging Instrument
  
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, 2011 and 2010 (in millions):

 

Derivative Instruments in Fair Value
Hedging Relationships

   Location of
Gain (Loss)
Recognized in
Income		   2011
Amount
of Gain
(Loss)
Recognized
in Income		     2010
Amount
of Gain
(Loss)
Recognized
in Income		     Hedged Items in
Fair Value
Hedging
Relationships		   Location
of Gain
(Loss)
Recognized
In Income		   2011
Amount of
Gain (Loss)
Recognized
in Income		     2010
Amount
of Gain
(Loss)
Recognized
in Income		  

Three Months Ended September 30:

              

Interest rate contracts

   Interest
Expense		   $ 237      $ 52      Fixed-Rate
Debt and
Capital Leases		   Interest
Expense		   $ (237 )    $ (52 ) 

Nine Months Ended September 30:

              

Interest rate contracts

   Interest
Expense		   $ 350      $ 224      Fixed-Rate
Debt and
Capital Leases		   Interest
Expense		   $ (350 )    $ (224
Not Designated as Hedging Instrument
  
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 foreign currency forward contracts not designated as hedges (in millions):

 

Derivative Instruments in Fair Value

Hedging Relationships

    Location of Gain (Loss)
Recognized in Income		      2011 Amount of
Gain (Loss)
Recognized
in Income		     2010 Amount of
Gain (Loss)
Recognized
in Income		  

Three Months Ended September 30:

        

Foreign Exchange Contracts

      Other Operating Expenses       $ 11      $ (14 ) 

Nine Months Ended September 30:

        

Foreign Exchange Contracts

      Other Operating Expenses       $ (2 )    $ 11