Mondelez 2012 Annual Report Download - page 78

Table of Contents
The fair value (asset / (liability)) of our derivative instruments at December 31, 2011 were determined using:
Level 2 financial assets and liabilities consist of commodity forwards and options, foreign exchange forwards and options, currency
swaps and interest rate swaps. Commodity derivatives are valued using an income approach based on the observable market
commodity index prices less the contract rate multiplied by the notional amount or based on pricing models which rely on market
observable inputs such as commodity prices. Foreign currency contracts are valued using an income approach based on
observable market forward rates less the contract rate multiplied by the notional amount. Our calculation of the fair value of interest
rate swaps is derived from a discounted cash flow analysis based on the terms of the contract and the observable market interest
rate curve. Our calculation of the fair value of financial instruments takes into consideration the risk of nonperformance, including
counterparty credit risk.
Derivative Volume:
The net notional values of our derivative instruments as of December 31, 2012 and 2011 were:
Cash Flow Hedges:
Cash flow hedge activity, net of taxes, within accumulated other comprehensive earnings / (losses) included:
After-tax gains / (losses) reclassified from accumulated other comprehensive earnings / (losses) into net earnings from continuing
operations were:
75
Total
Fair Value of Net
Asset / (Liability)
Quoted Prices in
Active Markets
for Identical
Assets
(Level 1)
Significant
Other Observable
Inputs
(Level 2)
Significant
Unobservable
Inputs
(Level 3)
(in millions)
Foreign exchange contracts
$
79
$
–
$
79
$
–
Commodity contracts
7
(41
)
48
–
Interest rate contracts
(482
)
– (
482
)
–
Total derivatives
$
(396
)
$
(41
)
$
(355
)
$
–
2012
2011
(in millions)
Foreign exchange contracts:
Intercompany loans and forecasted interest payments
$
3,743
$
1,982
Forecasted transactions
1,663
1,181
Commodity contracts
620
1,287
Interest rate contracts
2,259
4,872
Net investment hedge – euro notes
1,121
3,694
Net investment hedge – pound sterling notes
1,057
1,010
2012
2011
2010
(in millions)
Accumulated gain / (loss) at January 1
$
(297
)
$
79
$
101
Transfer of realized (gains) / losses in fair value to earnings
312
118
(25
)
Unrealized gain / (loss) in fair value
(75
)
(444
)
(32
)
Discontinued operations
(134
)
(50
)
35
Impact of Spin-Off
156
– –
Accumulated gain / (loss) at December 31
$
(38
)
$
(297
)
$
79
2012
2011
2010
(in millions)
Foreign exchange contracts – intercompany loans
$
–
$
2
$
10
Foreign exchange contracts – forecasted transactions
58
(38
)
5
Commodity contracts
(10
)
19
11
Interest rate contracts
(360
)
(101
)
(1
)
Total
$
(312
)
$
(118
)
$
25