Proctor and Gamble 2011 Annual Report Download - page 64

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62 The Procter & Gamble CompanyNotes to Consolidated Financial Statements
Amounts in millions of dollars except per share amounts or as otherwise specified.
The Company recognizes transfers between levels within the fair value
hierarchy, if any, at the end of each quarter. There was no significant
activity within the Level 3financial assets and liabilities during the years
presented. There were no significant assets or liabilities that were
re-measured at fair value on a non-recurring basis during the years
ended June30,2011 and 2010.
Disclosures about Derivative Instruments
The notional amounts and fair values of qualifying and non-qualifying
financial instruments used in hedging transactions as of June30,2011
and 2010 are as follows:
Notional Amount FairValueAsset/(Liability)
June30  2010  2010
DERIVATIVES IN CASH
FLOW HEDGING
RELATIONSHIPS
Interest rate contracts $—$—$— $—
Foreign currency contracts 831 690 (118)(177)
Commodity contracts 16 43 410
TOTAL847 733 (114)(167)
DERIVATIVES IN FAIR
VALUE HEDGING
RELATIONSHIPS
Interest rate contracts 10,308 7,942 163 191
DERIVATIVES IN NET
INVESTMENT HEDGING
RELATIONSHIPS
Net investment hedges 1,540 1,586 (138)(9)
DERIVATIVES NOT
DESIGNATED
AS HEDGING
INSTRUMENTS
Foreign currency contracts 14,957 11,845 139 (94)
Commodity contracts 39 19 (1)—
TOTAL14,996 11,864 138 (94)
The total notional amount of contracts outstanding at the end of the
period is indicative of the level of the Company’s derivative activity
during the period.
AmountofGain/(Loss)
Recognizedin
AccumulatedOCI
on Derivatives
(EffectivePortion)
June30  2010
DERIVATIVES IN CASH FLOW
HEDGING RELATIONSHIPS
Interest rate contracts $15 $19
Foreign currency contracts 32 23
Commodity contracts 311
TOTAL50 53
DERIVATIVES IN NET INVESTMENT
HEDGING RELATIONSHIPS
Net investment hedges (88) (8)
The effective portion of gains and losses on derivative instruments
that was recognized in other comprehensive income during the years
ended June 30,2011 and 2010 is not material. During the next 12
months, the amount of the June30,2011, accumulated OCI balance
that will be reclassified to earnings is expected to be immaterial.
The amounts of gains and losses on qualifying and non-qualifying
financial instruments used in hedging transactions for the years ended
June30,2011 and 2010 are as follows:
AmountofGain/(Loss)
Reclassified from
Accumulated
OCIinto Income(1)
Years ended June30   2010
DERIVATIVES IN CASH FLOW
HEDGING RELATIONSHIPS
Interest rate contracts $ 7 $(8)
Foreign currency contracts (77) (48)
Commodity contracts 20 (76)
TOTAL(50) (132)
AmountofGain/(Loss)
RecognizedinIncome
Years ended June30   2010
DERIVATIVES IN FAIR VALUE
HEDGING RELATIONSHIPS(2)
Interest rate contracts $ (28) $191
Debt 31 (196)
TOTAL3(5)
DERIVATIVES IN NET INVESTMENT
HEDGING RELATIONSHIPS(2)
Net investment hedges —3
DERIVATIVES NOT DESIGNATED
AS HEDGING INSTRUMENTS(3)
Foreign currency contracts(4)1,359 (814)
Commodity contracts 31
TOTAL1,362 (813)
(1) The gain or loss on the effective portion of cash flow hedging relationships is reclassified
from accumulated OCI into net income in the same period during which the related item
affects earnings. Such amounts are included in the Consolidated Statements of Earnings
as follows: interest rate contracts in interest expense, foreign currency contracts in selling,
general and administrative and interest expense, and commodity contracts in cost of
products sold.
(2) The gain or loss on the ineffective portion of interest rate contracts and net investment
hedges, if any, is included in the Consolidated Statements of Earnings in interest expense.
(3) The gain or loss on contracts not designated as hedging instruments is included in the
Consolidated Statements of Earnings as follows: foreign currency contracts in selling,
general and administrative expense and commodity contracts in cost of products sold.
(4) The gain or loss on non-qualifying foreign currency contracts substantially offsets the foreign
currency mark-to-market impact of the related exposure.