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Derivatives and Hedging
 3 Months Ended
Mar. 31, 2015
Derivatives and Hedging  
Derivatives and Hedging

 

Note 11—Derivatives and Hedging

 

In March and April 2014, we entered into interest rate swaps, which are designated and qualify as a fair value hedge, to reduce our exposure to changes in the fair value of the 6.0% Senior Notes due March 2018 and the 6.5% Senior Notes due November 2020, respectively.  The interest rate swaps have aggregate notional amounts equal to the corresponding face values of the hedged instruments and have stated maturities that coincide with those of the hedged instruments.  We have determined that the hedging relationships qualify for and we have applied the shortcut method of accounting, under which the interest rate swaps are considered to have no ineffectiveness and no ongoing assessment of effectiveness is required.  Accordingly, changes in the fair value of the interest rate swaps recognized in interest expense offset the changes in the fair value of the hedged fixed-rate notes.

 

At March 31, 2015, the aggregate notional amounts and the weighted average interest rates associated with our derivatives designated as hedging instruments were as follows (in millions, except weighted average interest rates):

 

 

 

Pay

 

Receive

 

 

 

Aggregate
notional
amount

 

Fixed or
variable
rate

 

Weighted
average
rate

 

Aggregate
notional
amount

 

Fixed or
variable
rate

 

Weighted
average
rate

 

Interest rate swaps, fair value hedge

 

$
1,500 

 

Variable

 
4.69 

%

$
1,500 

 

Fixed

 
6.25 

%

 

The balance sheet classification and aggregate carrying amount of our derivatives designated as hedging instruments, measured at fair value, were as follows (in millions):

 

 

 

 

 

March 31,

 

December 31,

 

 

 

Balance sheet classification

 

2015

 

2014

 

Interest rate swaps, fair value hedges

 

Other current assets

 

$
6 

 

$
4 

 

Interest rate swaps, fair value hedges

 

Other assets

 
27 

 
11