EFTA01382849.pdf

N- I/A Table of Contents FIRST DATA CORPORATION NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) The Company held the following derivative instruments as of the dates indicated: As of June 30, 2015 As or December 31, 2014 Notional Notional Assets Liabilities Notional Assets Liabilities (in millions) Currency Value (a) (h) (a) (c) Value (a) (b) (a) (c) Derivatives designated as hedges of net investments in foreign operations: Foreign exchange contracts Alll) 260 $ 54 $ - 260 $ 41 $ — Foreign exchange contracts FUR 200 45 - 200 27 — Foreign exchange contracts GBP 250 15 - 250 18 — Foreign exchange contracts CAD 110 16 — 110 9 - 130 95 Derivatives not designated as hedging instruments: Interest rate contracts USD 5.0(X) (95) 5.750 47 (105) Foreign exchange contracts ELM 22 1 (WI) 48 (105) $ tirl $ (95) 143 $ (105) (a) Of the balances included in the table above, in aggregate, $130 million of assets and $87 million of liabilities, net $43 million, as of June 30, 2015 and $142 million of assets and $96 million of liabilities, net $46 million, as of December 31, 2014 are subject to master netting agreements to the extent that the swaps are with the same counterpart)•. The terms of those agreements require that the Company net settle the outstanding positions at the option of the counterparty upon certain events of default. (b) Derivative assets are included in "Other current assets" and "Other long-term assets" in the unaudited consolidated balance sheets. (c) Derivative liabilities are included in "Other current liabilities" and "Other long-term liabilities" in the unaudited consolidated balance sheets. The maximum length of time over which the Company is hedging its exposure to the variability in future cash flows for forecasted transactions excluding those forecasted transactions related to the payment of variable interest on existing financial instruments is through January• 2018. Fair Value Measurement The carrying amounts for the Company's derivative financial instruments are the estimated fair value of the financial instruments. The Company's derivatives are not exchange listed and therefore the fair value is estimated under an income approach using Bloomberg analytics models that are based on readily observable market inputs. These models reflect the contractual terms of the derivativm such as notional value and expiration date, as well as market-bawl observables including interest and foreign currency exchange rates, yield curves, and the credit quality of the counterparties. The models also incorporate the Company's creditworthiness in order to appropriately reflect non-performance risk. Inputs to the derivative pricing models are generally observable and do not contain a high level of subjectivity and, accordingly, the Company's derivatives are classified within Level 2 of the fair value hierarchy. While the Company believes its estimates result in a reasonable reflection of the fair value of these instruments, the estimated values may not be tcptc,.ntative of actual values that could have been realized or that will be realized in the near future. F-91 http/Avaw.secgov/Arehivestedgar/datat883980/000119312515334479/d31022dsla.html10/14/2015 9:06:38 AM] CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0082360 CONFIDENTIAL SONY GM_00228644 EFTA01382849