First Data 2011 Annual Report Download - page 85

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reclassified into earnings in the same periods during which the forecasted transactions affect earnings. The amount of losses in OCI
related to previously hedged transactions as of December 31, 2011 that is expected to be reclassified into the Consolidated Statements
of Operations within the next 12 months is approximately $107.6 million.
During the third quarter of 2010, five interest rate swaps with a total notional balance of $2.5 billion and one basis rate swap
with a notional balance of $1.0 billion expired.
As of December 31, 2011, the Company held cross-currency swaps not qualifying for hedge accounting with a notional value of
91.1 million euro (approximately $119.1 million).
The notional value of the currently effective interest rate swaps and forward-starting interest rate swaps that did not qualify for
hedge accounting as of December 31, 2011 and 2010 was $5.3 billion and $3.0 billion, respectively.
While the derivatives noted above do not qualify for hedge accounting, they continued to be effective economically in
eliminating the variability in interest rate payments on the corresponding portion of the Company's variable rate debt and protecting a
portion of the Company's net investment in its European operations from changes in foreign currency exchange rates.
For information on the location and amounts of derivative fair values in the Consolidated Balance Sheets and derivative gains
and losses in the Consolidated Statements of Operations, see the tabular information presented below.
Derivatives That Qualify for Hedge Accounting
Hedge of a net investment in a foreign operation. As of December 31, 2011, the Company had a cross-currency swap that
was designated as a hedge of a net investment in a foreign operation with an aggregate notional amount of 115.0 million Australian
dollars (approximately $116.8 million).
Cash flow hedge. As of December 31, 2011, the Company held an interest rate swap which was designated as a cash flow
hedge of the variability in the interest payments on $500 million of the approximate $11.2 billion of variable rate senior secured term
loan. Although this hedge remains highly effective on an ongoing basis in offsetting the variability in the interest payments, any
ineffectiveness is recognized immediately in the Consolidated Statements of Operations. This swap will expire on September 24,
2012.
During the third quarter of 2010, two basis rate swaps with a total notional balance of $3.0 billion expired.
At December 31, 2011, the maximum length of time over which the Company has designated hedges against its exposure is
approximately 9 months. The Company follows the hypothetical derivative method to measure hedge ineffectiveness which resulted
mostly from a hedge being off-market at the time of designation. Ineffectiveness associated with the hedge is recognized immediately
in the Consolidated Statements of Operations.
For information on the location and amounts of derivative fair values in the Consolidated Balance Sheets, derivative gains and losses
in the Consolidated Statements of Operations and accumulated derivative gains and losses in OCI, refer to the tabular information
presented below.
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