XML 68 R44.htm IDEA: XBRL DOCUMENT v2.4.0.6
Derivative Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2012
Text Block [Abstract]  
Location of Derivative Fair Values in Consolidated Balance Sheet
The following table provides information related to the location of derivative fair values in the consolidated balance sheet for our fair value hedges.
 
Asset Derivatives Fair Value
as of December 31,
 
Liability Derivatives Fair Value
as of December 31,
  
Balance Sheet
Location
 
2012
 
2011
 
Balance Sheet
Location
 
2012
 
2011
 
 
 
(in millions)
 
 
 
(in millions)
Interest rate swaps
Derivative
financial assets(1)
 
$
7

 
$
11

 
Derivative
related liabilities
 
$
—

 
$
7

Currency swaps
Derivative
financial assets(1)
 
—

 
53

 
Derivative
related liabilities
 
—

 
—

Total fair value hedges
 
 
$
7

 
$
64

 
 
 
$
—

 
$
7

 
(1)
At December 31, 2012 and December 31, 2011, derivative financial assets are reported on our consolidated balance sheet within other assets.
Fair Value Hedging Information Including Gain Loss Recorded on Derivative
The following table presents fair value hedging information, including the gain (loss) recorded on the derivative and where that gain (loss) is recorded in the consolidated statement of income (loss) as well as the offsetting gain (loss) on the hedged item that is recognized in current earnings, the net of which represents hedge ineffectiveness.
  
 
 
Location of Gain
(Loss) Recognized
 
Amount of Gain  (Loss)
Recognized in Income
on the Derivative
 
Amount of Gain  (Loss)
Recognized in Income
on Hedged Item
Hedged Item
 
in Income on Hedged Item and Derivative
 
2012
 
2011
 
2010
 
2012
 
2011
 
2010
 
 
 
 
 
(in millions)
Interest rate swaps
Fixed rate
borrowings
 
Derivative related
income
 
$
(3
)
 
$
34

 
$
17

 
$
(2
)
 
$
(40
)
 
$
7

Currency swaps
Fixed rate
borrowings
 
Derivative related
income
 
(17
)
 
(29
)
 
(13
)
 
19

 
44

 
12

Total
 
 
 
 
$
(20
)
 
$
5

 
$
4

 
$
17

 
$
4

 
$
19
Derivative Fair Values in Consolidated Balance Sheet for Cash Flow Hedges
The following table provides information related to the location of derivative fair values in the consolidated balance sheet for our cash flow hedges.
 
Asset Derivatives Fair Value
as of December 31,
 
Liability Derivatives Fair Value
as of December 31,
  
Balance Sheet
Location
 
2012
 
2011
 
Balance Sheet
Location
 
2012
 
2011
 
 
 
(in millions)
 
 
 
(in millions)
Interest rate swaps
Derivative
financial assets(1)
 
$
(450
)
 
$
(554
)
 
Derivative
related liabilities
 
$
—

 
$
—

Currency swaps
Derivative
financial assets(1)
 
444

 
441

 
Derivative
related liabilities
 
—

 
—

Total cash flow hedges
 
 
$
(6
)
 
$
(113
)
 
 
 
$
—

 
$
—

 
(1)
At December 31, 2012 and December 31, 2011, derivative financial assets are reported on our consolidated balance sheet within other assets.
Gain or Loss Recorded on Our Cash Flow Hedging Relationships
The following table provides the gain or loss recorded on our cash flow hedging relationships.
 
Gain (Loss) Recognized in OCI on Derivative (Effective Portion)
 
Location of Gain
(Loss) Reclassified
from AOCI into
 
Gain (Loss) Reclassed From AOCI into Income (Effective Portion)
 
Location of Gain
(Loss) Recognized
in Income
 
Gain (Loss) Recognized In Income on Derivative (Ineffective Portion)
  
2012
 
2011
 
2010
 
Income
(Effective Portion)
2012
 
2011
 
2010
 
on the Derivative(Ineffective Portion)
 
2012
 
2011
 
2010
 
(in millions)
Interest rate swaps
$
95

 
$
(116
)
 
$
(65
)
 
Interest expense
 
$
(7
)
 
$
(34
)
 
$
(62
)
 
Derivative related
income
 
$
1

 
$
4

 
$
(1
)
Currency swaps
89

 
189

 
70

 
Interest expense
 
(20
)
 
(25
)
 
(34
)
 
Derivative related
income
 
22

 
22

 
(7
)
Total
$
184

 
$
73

 
$
5

 
 
 
$
(27
)
 
$
(59
)
 
$
(96
)
 
 
 
$
23

 
$
26

 
$
(8
)
Derivative Fair Values in Consolidated Balance Sheet for Our Non Qualifying Hedges
The following table provides information related to the location and derivative fair values in the consolidated balance sheet for our non-qualifying hedges:
 
Asset Derivatives Fair Value as of December 31,
 
Liability Derivatives Fair Value as of December 31,
  
Balance Sheet
Location
 
2012
 
2011
 
Balance Sheet
Location
 
2012
 
2011
 
 
 
(in millions)
 
 
 
(in millions)
Interest rate swaps
Derivative
financial assets(1)
 
$
(1,084
)
 
$
(926
)
 
Derivative
related liabilities
 
$
4

 
$
5

Currency swaps and foreign exchange forward contracts
Derivative
financial assets(1)
 
(7
)
 
38

 
Derivative
related liabilities
 
—

 
4

Total
 
 
$
(1,091
)
 
$
(888
)
 
 
 
$
4

 
$
9

 
(1)
At December 31, 2012 and December 31, 2011, derivative financial assets are reported on our consolidated balance sheet within other assets.
Gain or Loss Recorded on Our Non Qualifying Hedges
The following table provides detail of the realized and unrealized gain or loss recorded on our non-qualifying hedges:
  
Location of Gain (Loss)
 
Amount of Gain (Loss)
Recognized in Derivative
Related Income (Expense)
Recognized in Income on Derivative
2012
 
2011
 
2010
 
 
 
(in millions)
Interest rate contracts
Derivative related income
 
$
(221
)
 
$
(1,185
)
 
$
(394
)
Currency contracts
Derivative related income
 
(6
)
 
4

 
—

Total
 
 
$
(227
)
 
$
(1,181
)
 
$
(394
)
Derivatives Related to Fair Value Option Debt Financial Position
The derivatives related to fair value option debt are included in the tables below. See Note 11, “Fair Value Option,” for further discussion.
 
Asset Derivatives Fair Value
as of December 31,
 
Liability Derivatives Fair Value
as of December 31,
  
Balance Sheet
Location
 
2012
 
2011
 
Balance Sheet
Location
 
2012
 
2011
 
 
 
(in millions)
 
 
 
(in millions)
Interest rate swaps
Derivative
financial assets(1)
 
$
469

 
$
693

 
Derivative
related liabilities
 
$
—

 
$
—

Currency swaps
Derivative
financial assets(1)
 
678

 
808

 
Derivative
related liabilities
 
—

 
—

Total
 
 
$
1,147

 
$
1,501

 
 
 
$
—

 
$
—

 
(1)
At December 31, 2012 and December 31, 2011, derivative financial assets are reported on our consolidated balance sheet within other assets.
Gain or Loss Recorded on Derivatives Related to Fair Value Option Debt Primarily Due to Changes in Interest Rates
The following table provides the gain or loss recorded on the derivatives related to fair value option debt primarily due to changes in interest rates:
 
Location of Gain (Loss)
Recognized in Income on Derivative
 
Amount of Gain (Loss)
Recognized in Derivative
Related Income (Expense)
  
2012
 
2011
 
2010
 
 
 
(in millions)
Interest rate contracts
Gain (loss) on debt designated at fair value and related derivatives
 
$
70

 
$
263

 
$
719

Currency contracts
Gain (loss) on debt designated at fair value and related derivatives
 
73

 
260

 
182

Total
 
 
$
143

 
$
523

 
$
901
Notional Values of Derivative Contracts
Notional Value of Derivative Contracts The following table summarizes the notional values of derivative contracts:
At December 31,
2012
 
2011
 
(in millions)
Derivatives designated as hedging instruments:
 
 
 
Interest rate swaps
$
4,949

 
$
8,140

Currency swaps
6,063

 
8,195

 
11,012

 
16,335

Non-qualifying hedges:
 
 
 
Derivatives not designated as hedging instruments:
 
 
 
Interest rate swaps
6,219

 
10,523

Foreign exchange:
 
 
 
Swaps
122

 
715

Forwards
—

 
205

 
6,341

 
11,443

Derivatives associated with debt carried at fair value:
 
 
 
Interest rate swaps
5,573

 
9,700

Currency swaps
3,134

 
3,376

 
8,707

 
13,076

Total
$
26,060

 
$
40,854