Dell 2010 Annual Report Download - page 86

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Table of Contents
DELL INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
As of January 28, 2011, the notional amount of interest rate swaps associated with structured financing debt not designated as cash flow
hedges was $145 million. The amount of change in fair value recognized in interest and other, net, for these interest rate hedges was a
$3 million gain for the fiscal year ended January 28, 2011. Dell did not have any interest rate swaps associated with structured financing
debt as of January 29, 2010.
Dell also uses interest rate swaps designated as fair value hedges to modify the market risk exposures in connection with long-term debt
to achieve primarily LIBOR-based floating interest expense. In January 2011, Dell terminated its fair value interest rate swap agreements
with notional amounts totaling $1 billion. Dell received $22 million in cash proceeds from the swap terminations, which included
$3 million in accrued interest. The cash flows from the terminated swap contracts are reported as operating activities in the Consolidated
Statement of Cash Flows.
Hedge ineffectiveness for interest rate swaps designated as fair value hedges was not material for the fiscal years ended January 28, 2011
and January 29, 2010.
As of January 29, 2010, the notional amount of interest rate swaps associated with debt instruments was $200 million. As a result of the
terminations in January 2011, Dell did not have any interest rate contracts designated as fair value hedges as of January 28, 2011.
Derivative Instruments Additional Information
The aggregate unrealized net gain or loss for interest rate swaps and foreign currency exchange contracts, recorded as a component of
comprehensive income, for the fiscal years ended January 28, 2011 and January 29, 2010, was a loss of $111 million and a $1 million
gain, respectively.
Dell has reviewed the existence and nature of credit-risk-related contingent features in derivative trading agreements with its
counterparties. Certain agreements contain clauses whereby if Dell's credit ratings were to fall below investment grade upon a change of
control of Dell, counterparties would have the right to terminate those derivative contracts under which Dell is in a net liability position.
As of January 28, 2011, there had been no such triggering events.
Effect of Derivative Instruments on the Consolidated Statements of Financial Position and the Consolidated Statements of Income
Gain (Loss) Gain (Loss)
Recognized in Reclassified
Accumulated from Gain (Loss)
OCI, Net Location of Gain Accumulated Location of Gain Recognized in
Derivatives in of Tax, on (Loss) Reclassified OCI into (Loss) Recognized Income on
Cash Flow Derivatives from Accumulated Income in Income Derivative
Hedging (Effective OCI into Incom (Effective on Derivative (Ineffective
Relationships Portion) (Effective Portion) Portion) (Ineffective Portion) Portion)
(in millions)
For the fiscal year ended January 28, 2011
Total net revenue $ (105)
Foreign exchange contracts $ (265) Total cost of net revenue (49)
Interest rate contracts (1) Interest and other, net - Interest and other, net $ 2
Total $ (266) $ (154) $ 2
For the fiscal year ended January 29, 2010
Total net revenue $ (157)
Foreign exchange contracts $ (506) Total cost of net revenue (25) Interest and other, net $ (1)
Total $ (506) $ (182) $ (1)
82