Avis 2012 Annual Report Download - page 97

F-41
that are in a liability position and the aggregate fair value of assets needed to settle these derivatives as of December 31,
2012 was approximately $6 million, for which the Company has posted cash collateral in the normal course of business.
As of December 31, 2012 and 2011, the Company held derivative instruments with absolute notional values as follows:
interest rate caps of $5.8 billion (representing approximately $4.1 billion of interest rate caps sold, partially offset by
$1.7 billion of interest rate caps purchased, which amount excludes $2.4 billion of interest rate caps purchased by the
Company’s Avis Budget Rental Car Funding subsidiary), and $8.1 billion (representing approximately $7.2 billion of
interest rate caps sold, partially offset by $900 million of interest rate caps purchased, which amount excludes $6.4
billion of interest rate caps purchased by the Company’s Avis Budget Rental Car Funding subsidiary), interest rate swaps
of $625 million and $130 million, currency exchange forward contracts of $14 million and $326 million, and currency
exchange swaps of $984 million and $593 million, respectively.
Fair values of derivative instruments are as follows:
As of
December 31, 2012
As of
December 31, 2011
Fair Value,
Asset
Derivatives
Fair Value,
Liability
Derivatives
Fair Value,
Asset
Derivatives
Fair Value,
Liability
Derivatives
Derivatives designated as hedging instruments (a)
Interest rate swaps (b)
$
-
$
1
$
-
$
3
Derivatives not designated as hedging instruments (a)
Currency exchange forward contracts (c)
3
8
26
1
Interest rate swaps (b)
-
12
-
-
Interest rate contracts (d)
-
4
2
4
Commodity contracts (e)
-
-
-
1
Total
$
3
$
25
$
28
$
9
_____________
(a) Amounts in this table exclude derivatives issued by Avis Budget Rental Car Funding, as it is not consolidated by the Company;
however, certain amounts related to the derivatives held by Avis Budget Rental Car Funding are included within accumulated
other comprehensive income, as discussed in Note 17—Stockholders’ Equity.
(b) Included in other non-current liabilities.
(c) Included in other current assets and other current liabilities.
(d) Included in assets under vehicle programs and liabilities under vehicle programs.
(e) Included in other current liabilities.
The effects of derivatives recognized in the Company’s Consolidated Financial Statements are as follows:
Year Ended December 31,
2012
2011
2010
Derivatives designated as hedging instruments
Interest rate swaps (a)
$
13
$
33
$
36
Derivatives not designated as hedging instruments
Currency exchange forward contracts (b)
(31)
(19)
12
Interest rate contracts (c)
(15)
(3)
(4)
Commodity contracts (d)
3
-
1
Total
$
(30)
$
11
$
45
_____________
(a) Recognized, net of tax, as a component of other comprehensive income within stockholders’ equity.
(b) For the year ended December 31, 2012, included a $32 million loss included in interest expense, and included a $1 million gain
included in operating expenses. For the year ended December 31, 2011, included a $46 million loss in transaction-related costs
and a $27 million gain in operating expenses. For the year ended December 31, 2010, amounts were included in operating
expenses.
(c) For the year ended December 31, 2011, $2 million of expense is included in vehicle interest, net and $1 million of expense is
included in interest expense. For the years ended December 31, 2012 and 2010 amounts are included in vehicle interest, net.
(d) Included in operating expenses.
The loss on the interest rate swaps had no impact on net interest expense as it was offset by reduced interest expense on
the underlying floating rate debt which it hedges.