First Data 2012 Annual Report Download - page 76

FIRST DATA CORPORATION
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (Continued)
During 2011, the Company entered into a fixed to floating interest rate swap in order to preserve the ratio of fixed and floating
debt. The swap has a notional value of $750.0 million and expires on June 15, 2019, but is subject to a mandatory put that will result
in cash settlement on June 15, 2015.
During the three months ended March 31, 2011, the Company held a foreign exchange rate collar with a notional value of $1.9
million that expired on March 31, 2011.
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, 2012 and 2011, the Company held cross-currency swaps not qualifying for hedge accounting with a total
notional value of 91.1 million euro (approximately $120.5 million at December 31, 2012). In January of 2013, the Company’ s cross-
currency swap with an aggregate notional value of 69.6 million euro expired.
During 2012, 2011, and 2010, certain interest rate swaps previously designated as hedges for accounting purposes ceased to
qualify for hedge accounting treatment. The Company therefore de-designated the hedges and ceased to apply hedge accounting from
the beginning of the quarter during which the respective de-designations occurred. The amount carried in OCI as of the date of de-
designation was subsequently reclassified into earnings in the same periods during which the forecasted transactions affect earnings.
As of December 31, 2012, there are no longer any losses carried in OCI related to interest rate swaps that are expected to be
reclassified into 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 tables presented
below.
Derivatives That Qualify for Hedge Accounting.
Hedge of a net investment in a foreign operation. As of December 31, 2012 and 2011, the Company held a cross-currency swap
with an aggregate notional value of 115.0 million Australian dollars (approximately $119.3 million at December 31, 2012) that was
designated as a hedge of a net investment in a foreign operation.
In January and February of 2013, the Company entered into cross-currency swaps that were designated as hedges of net
investments in foreign operations, as discussed above.
Cash flow hedges. As of December 31, 2012, the Company did not have any interest rate swaps that were designated as cash
flow hedges of the variability in the interest payments on its debt. As of December 31, 2011, the Company held interest rate swaps
which were designated as cash flow hedges of the variability in the interest payments on $500 million of variable rate senior secured
term loans which expired in September 2012. Since December 31, 2011, these designated cash flow hedges ceased to be highly
effective in offsetting the variability in the interest payments, due in part to their approaching maturity dates, and were de-designated.
Until the de-designation date of these cash flow hedges, the Company followed the hypothetical derivative method to measure hedge
ineffectiveness which resulted mostly from the hedges being off-market at the time of designation, and any ineffectiveness was
recognized immediately in the Consolidated Statements of Operations.
During the third quarter of 2010, two basis rate swaps with a total notional balance of $3.0 billion expired.
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 tables presented
below.
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