Computer Associates 2011 Annual Report Download - page 85

value of approximately $191 million, and durations of less than three months. The net fair value of these contracts at
March 31, 2011 was approximately $6 million, of which approximately $7 million is included in “Other current assets” and
approximately $1 million is included in “Accrued expenses and other current liabilities” in the Company’s Consolidated
Balance Sheet. At March 31, 2010, foreign currency contracts outstanding consisted of contracts with a total notional value of
approximately $113 million and a tenure of less than two months. The fair value of these contracts was less than $1 million
and is included in “Other current assets” in the Company’s Consolidated Balance Sheet at March 31, 2010.
A summary of the effect of the interest rate and foreign exchange derivatives on the Company’s Consolidated Statements of
Operations is as follows:
LOCATION OF AMOUNTS RECOGNIZED
(IN MILLIONS) YEAR ENDED MARCH 31, 2011 YEAR ENDED MARCH 31, 2010 YEAR ENDED MARCH 31, 2009
AMOUNT OF NET (GAIN)/LOSS RECOGNIZED IN THE
CONSOLIDATED STATEMENTS OF OPERATIONS
Interest expense, net — interest rate swaps designated as cash flow
hedges $4 $6 $ 2
Interest expense, net — interest rate swaps designated as fair value
hedges $(12) $ (1) $ —
Other expenses (gains), net — foreign currency contracts $14 $20 $(77)
The Company is subject to collateral security arrangements with most of its major counterparties. These arrangements require
the Company to hold or post collateral when the derivative fair values exceed contractually established thresholds. The
aggregate fair value of all derivative instruments under these collateralized arrangements were in a net asset position and a
net liability position at March 31, 2011 and 2010, respectively. The Company posted no collateral at March 31, 2011 or 2010.
Under these agreements, if the Company’s credit ratings had been downgraded one rating level, the Company would still not
have been required to post collateral.
Note 11 — fair value measurements
The following table presents the placement in the fair value hierarchy of the Company’s assets and liabilities that are
measured at fair value on a recurring basis at March 31, 2011 and 2010.
(IN MILLIONS) LEVEL 1 LEVEL 2
ESTIMATED
FAIR VALUE
TOTAL LEVEL 1 LEVEL 2
ESTIMATED
FAIR VALUE
TOTAL
FAIR VALUE
MEASUREMENT USING
INPUT TYPES
FAIR VALUE
MEASUREMENT USING INPUT
TYPES
AT MARCH 31, 2011 AT MARCH 31, 2010
Assets:
Money market funds $ 2,009 $ — $ 2,009
(1)
$ 1,805 $ — $ 1,805
(2)
Marketable securities
(3)
— 179 179 —— —
Foreign exchange derivatives
(4)
—7 7 —— —
Interest rate derivatives
(4)
—15 15 —1 1
Total Assets $ 2,009 $ 201 $ 2,210 $ 1,805 $ 1 $ 1,806
Liabilities:
Foreign exchange derivatives
(4)
$—$1$1$—$—$ —
Interest rate derivatives
(4)
—— — —4 4
Total Liabilities $—$1$1$—$4$ 4
(1) At March 31, 2011, the Company had approximately $1,959 million and $50 million of investments in money market funds classified as “Cash and cash equivalents” and “Other noncurrent
assets, net” for restricted cash amounts, respectively, in its Consolidated Balance Sheet.
(2) At March 31, 2010, the Company had approximately $1,755 million and $50 million of investments in money market funds classified as “Cash and cash equivalents” and “Other noncurrent
assets, net” for restricted cash amounts, respectively, in its Consolidated Balance Sheet.
(3) See Note 5, “Marketable Securities” for additional information.
(4) See Note 10, “Derivatives” for additional information. Interest rate derivatives fair value excludes accrued interest.
At March 31, 2011 and 2010, the Company did not have any assets or liabilities measured at fair value on a recurring basis
using significant unobservable inputs (Level 3).
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