HCA Holdings 2011 Annual Report Download - page 131

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HCA HOLDINGS, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — (Continued)
NOTE 8 — FINANCIAL INSTRUMENTS (Continued)
Cross Currency Swaps (Continued)
Our cross currency swap is not designated as a hedge, and changes in fair value are recognized in results of
operations. The following table sets forth our cross currency swap agreement at December 31, 2011 (amounts in
millions):
Notional
Amount Maturity Date
Fair
Value
Euro — United States Dollar Currency Swap ............. 291Euro November 2013 $(16)
Derivatives — Results of Operations
The following tables present the effect of our interest rate and cross currency swaps on our results of
operations for the year ended December 31, 2011 (dollars in millions):
Derivatives in Cash Flow Hedging Relationships
Amount of Loss
Recognized in OCI on
Derivatives, Net of Tax
Location of Loss
Reclassified from
Accumulated OCI
into Operations
Amount of Loss
Reclassified from
Accumulated OCI
into Operations
Interest rate swaps .................. $197 Interest expense $341
Derivatives Not Designated as Hedging Instruments
Location of Loss
Recognized in
Operations on
Derivatives
Amount of Loss
Recognized in
Operations on
Derivatives
Interest rate swaps ............................... Other operating expenses $ 1
Cross currency swap ............................. Other operating expenses 54
Credit-risk-related Contingent Features
We have agreements with each of our derivative counterparties that contain a provision where we could be
declared in default on our derivative obligations if repayment of the underlying indebtedness is accelerated by the
lender due to our default on the indebtedness. As of December 31, 2011, we have not been required to post any
collateral related to these agreements. If we had breached these provisions at December 31, 2011, we would have
been required to settle our obligations under the agreements at their aggregate, estimated termination value of
$452 million.
NOTE 9 — ASSETS AND LIABILITIES MEASURED AT FAIR VALUE
Accounting Standards Codification 820, Fair Value Measurements and Disclosures (“ASC 820”) defines
fair value, establishes a framework for measuring fair value, and expands disclosures about fair value
measurements. ASC 820 applies to reported balances that are required or permitted to be measured at fair value
under existing accounting pronouncements.
ASC 820 emphasizes fair value is a market-based measurement, not an entity-specific measurement.
Therefore, a fair value measurement should be determined based on the assumptions market participants would
use in pricing the asset or liability. As a basis for considering market participant assumptions in fair value
measurements, ASC 820 establishes a fair value hierarchy that distinguishes between market participant
assumptions based on market data obtained from sources independent of the reporting entity (observable inputs
classified within Levels 1 and 2 of the hierarchy) and the reporting entity’s own assumptions about market
participant assumptions (unobservable inputs classified within Level 3 of the hierarchy).
F-26