Dow Chemical 2011 Annual Report Download - page 196

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when the criteria are met. At December 31, 2011 and 2010, the Company had no open interest rate swaps designated as fair
value hedges of underlying fixed rate debt obligations.
Net Foreign Investment Hedges
For derivative instruments that are designated and qualify as net foreign investment hedges, the effective portion of the gain or
loss on the derivative is included in “Cumulative Translation Adjustments” in AOCI. At December 31, 2011 and 2010, the
Company had no open forward contracts or outstanding options to buy, sell or exchange foreign currencies designated as net
foreign investment hedges. At December 31, 2011, the Company had outstanding foreign-currency denominated debt
designated as a hedge of net foreign investment of $585 million ($1,250 million at December 31, 2010). The results of hedges
of the Company’s net investment in foreign operations included in “Cumulative Translation Adjustments” in AOCI was a net
loss of $48 million after tax at December 31, 2011 (net gain of $70 million after tax at December 31, 2010). During 2011, 2010
and 2009 there was no material impact on the consolidated financial statements due to hedge ineffectiveness.
Other Derivative Instruments
The Company utilizes futures, options and swap instruments that are effective as economic hedges of commodity price
exposures, but do not meet hedge accounting criteria for derivatives and hedging. At December 31, 2011 and 2010, the
Company had the following aggregate notionals of outstanding commodity contracts:
Commodity
Ethane
Naphtha
Natural Gas
Dec 31,
2011
2.1
82.5
4.6
Dec 31,
2010
3.8
—
12.0
Notional Volume Unit
million barrels
kilotons
million million British thermal units
The Company also uses foreign exchange forward contracts, options, and cross-currency swaps that are not designated as
hedging instruments primarily to manage foreign currency and interest rate exposure. The Company had open foreign exchange
contracts with various expiration dates to buy, sell or exchange foreign currencies and a notional U.S. dollar equivalent of
$14,002 million at December 31, 2011 ($13,944 million at December 31, 2010).
The following table provides the fair value and gross balance sheet classification of derivative instruments:
Fair Value of Derivative Instruments at December 31
In millions
Asset Derivatives
Derivatives designated as hedges:
Foreign currency
Commodities
Total derivatives designated as hedges
Derivatives not designated as hedges:
Foreign currency
Commodities
Total derivatives not designated as hedges
Total asset derivatives
Liability Derivatives
Derivatives designated as hedges:
Foreign currency
Commodities
Total derivatives designated as hedges
Derivatives not designated as hedges:
Foreign currency
Commodities
Total derivatives not designated as hedges
Total liability derivatives
Balance Sheet Classification
Accounts and notes receivable – Other
Other current assets (1)
Accounts and notes receivable – Other
Other current assets (1)
Accounts payable – Other
Accounts payable – Other
Accounts payable – Other
Accounts payable – Other
2011
$ 9
5
$ 14
$ 66
19
$ 85
$ 99
$ 8
11
$ 19
$ 53
9
$ 62
$ 81
2010
$ 9
7
$ 16
$ 77
23
$ 100
$ 116
$ 20
8
$ 28
$ 64
16
$ 80
$ 108
(1) Included in "Accounts and notes receivable - Other" in the consolidated balance sheets at December 31, 2010.