Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVE INSTRUMENTS AND RISK MANAGEMENT (Tables)

v2.4.0.8
DERIVATIVE INSTRUMENTS AND RISK MANAGEMENT (Tables)
 9 Months Ended
Sep. 30, 2013
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Notional Amounts of Outstanding Derivative Positions
As of September 30, 2013 and December 31, 2012, the notional amounts of our outstanding derivative positions were as follows (in millions):
 
September 30, 2013
 
December 31, 2012
Currency hedges:
 
 
 
 
 
British Pound Sterling
GBP
851

 
GBP
797

Canadian Dollar
CAD
278

 
CAD
341

Euro
EUR
1,780

 
EUR
1,783

Indian Rupee
INR
341

 
INR
—

Malaysian Ringgit
MYR
1,410

 
MYR
500

Mexican Peso
MXN
4,896

 
MXN
—

United Arab Emirates Dirham
AED
—

 
AED
551

 
 
 
 
 
 
 
 
 
 
 
 
Interest rate hedges:
 
 
 
 
 
Fixed to Floating Interest Rate Swaps
$
6,049

 
$
7,274

Floating to Fixed Interest Rate Swaps
$
780

 
$
781

Interest Rate Basis Swaps
$
2,500

 
$
2,500

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.
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.
 
 
 
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,
2013
 
December 31,
2012
 
September 30,
2013
 
December 31,
2012
Derivatives designated as hedges:
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
Other current assets
 
Level 2
 
$
18

 
$
27

 
$
18

 
$
27

Interest rate contracts
Other current assets
 
Level 2
 
15

 
1

 
15

 
1

Foreign exchange contracts
Other non-current assets
 
Level 2
 
32

 
14

 
32

 
12

Interest rate contracts
Other non-current assets
 
Level 2
 
243

 
420

 
171

 
406

Derivatives not designated as hedges:
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
Other current assets
 
Level 2
 
12

 
3

 
8

 
3

Interest rate contracts
Other non-current assets
 
Level 2
 
62

 
101

 
59

 
91

Total Asset Derivatives
 
 
 
 
$
382

 
$
566

 
$
303

 
$
540

 
 
 
 
 
 
 
 
 
 
 
 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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,
2013
 
December 31,
2012
 
September 30,
2013
 
December 31,
2012
Derivatives designated as hedges:
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
Other non-current liabilities
 
Level 2
 
$
22

 
$
103

 
$
22

 
$
101

Interest rate contracts
Other non-current liabilities
 
Level 2
 
75

 
14

 
3

 
—

Derivatives not designated as hedges:
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
Other current liabilities
 
Level 2
 
4

 
1

 
—

 
1

Interest rate contracts
Other current liabilities
 
Level 2
 
1

 
—

 
1

 
—

Interest rate contracts
Other non-current liabilities
 
Level 2
 
4

 
41

 
1

 
31

Total Liability Derivatives
 
 
 
 
$
106

 
$
159

 
$
27

 
$
133

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 other comprehensive income for the three and nine months ended September 30, 2013 and 2012 for those derivatives designated as cash flow hedges (in millions):
Three Months Ended September 30:
 
 
 
 
 
 
 
2013
 
2012
 
Derivative Instruments in Cash Flow
Hedging Relationships
 
Amount of Gain (Loss) Recognized in
OCI (Effective Portion)
 
Amount of Gain (Loss) Recognized in
OCI (Effective Portion)
 
Interest rate contracts
 
$
1

 
$
(11
)
 
Foreign exchange contracts
 
44

 
60

 
Commodity contracts
 
—

 
—

 
Total
 
$
45

 
$
49

 
 
 
 
 
 
 
Nine Months Ended September 30:
 
 
 
 
 
 
 
2013
 
2012
 
Derivative Instruments in Cash Flow
Hedging Relationships
 
Amount of Gain (Loss) Recognized in
OCI (Effective Portion)
 
Amount of Gain (Loss) Recognized in
OCI (Effective Portion)
 
Interest rate contracts
 
$
4

 
$
(72
)
 
Foreign exchange contracts
 
53

 
(30
)
 
Commodity contracts
 
(48
)
 
—

 
Total
 
$
9

 
$
(102
)
 
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 forward contracts not designated as hedges (in millions):
 
 
 
2013
 
2012
Derivative Instruments not Designated in
Hedging Relationships
Location of Gain (Loss)
Recognized in Income
 
Amount of Gain (Loss)
Recognized in Income
 
Amount of Gain (Loss)
Recognized in Income
Three Months Ended September 30:
 
 
 
 
 
Interest rate contracts
Interest Expense
 
$
2

 
$
(6
)
Foreign exchange contracts
Revenue
 
—

 
2

Foreign exchange contracts
Other Operating Expenses
 
(8
)
 
(7
)
Foreign exchange contracts
Investment Income
 
(11
)
 
(24
)
 
 
 
$
(17
)
 
$
(35
)
Nine Months Ended September 30:
 
 
 
 
 
Interest rate contracts
Interest Expense
 
$
(2
)
 
$
(11
)
Foreign exchange contracts
Revenue
 
—

 
2

Foreign exchange contracts
Other Operating Expenses
 
76

 
27

Foreign exchange contracts
Investment Income
 
4

 
(24
)
 
 
 
$
78

 
$
(6
)
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, 2013 and 2012 (in millions):
 
 
 
2013
 
2012
 
 
 
 
 
2013
 
2012
Derivative Instruments in Fair
Value Hedging Relationships
Location of
Gain (Loss)
Recognized in
Income
 
Amount 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
 
Amount of
Gain (Loss)
Recognized
in Income
Three Months Ended September 30:
 
 
 
 
 
 
 
Interest rate contracts
Interest
Expense
 
$
3

 
$
19

 
Fixed-Rate
Debt and
Capital Leases
 
Interest
Expense
 
$
(3
)
 
$
(19
)
Nine Months Ended September 30:
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
Interest
Expense
 
$
(230
)
 
$
55

 
Fixed-Rate
Debt and
Capital Leases
 
Interest
Expense
 
$
230

 
$
(55
)