Dow Chemical 2011 Annual Report Download - page 199
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105
NOTE K – FAIR VALUE MEASUREMENTS
Fair Value Measurements on a Recurring Basis
The following tables summarize the bases used to measure certain assets and liabilities at fair value on a recurring basis in the
consolidated balance sheets at December 31, 2011 and 2010:
Basis of Fair Value Measurements
on a Recurring Basis
at December 31, 2011
In millions
Assets at fair value:
Interests in trade accounts receivable
conduits (2)
Equity securities (3)
Debt securities: (3)
Government debt (4)
Corporate bonds
Derivatives relating to: (5)
Foreign currency
Commodities
Total assets at fair value
Liabilities at fair value:
Derivatives relating to: (5)
Foreign currency
Commodities
Total liabilities at fair value
Quoted Prices
in Active
Markets for
Identical Items
(Level 1)
$ —
634
—
—
—
10
$ 644
$ —
13
$ 13
Significant
Other
Observable
Inputs
(Level 2)
$ —
33
618
723
75
14
$ 1,463
$ 61
7
$ 68
Significant
Unobservable
Inputs
(Level 3)
$ 1,141
—
—
—
—
—
$ 1,141
$ —
—
$ —
Counterparty
and Cash
Collateral
Netting (1)
$ —
—
—
—
(44)
(8)
$ (52)
$ (44)
(19)
$ (63)
Total
$ 1,141
667
618
723
31
16
$ 3,196
$ 17
1
$ 18
Basis of Fair Value Measurements
on a Recurring Basis
at December 31, 2010
In millions
Assets at fair value:
Interests in trade accounts receivable
conduits (2)
Equity securities (3)
Debt securities: (3)
Government debt (4)
Corporate bonds
Derivatives relating to: (5)
Foreign currency
Commodities
Total assets at fair value
Liabilities at fair value:
Derivatives relating to: (5)
Foreign currency
Commodities
Total liabilities at fair value
Quoted Prices
in Active
Markets for
Identical Items
(Level 1)
$ —
556
—
—
—
12
$ 568
$ —
7
$ 7
Significant
Other
Observable
Inputs
(Level 2)
$ —
36
641
831
86
18
$ 1,612
$ 84
17
$ 101
Significant
Unobservable
Inputs
(Level 3)
$ 1,267
—
—
—
—
—
$ 1,267
$ —
—
$ —
Counterparty
and Cash
Collateral
Netting (1)
$ —
—
—
—
(46)
(16)
$ (62)
$ (46)
(20)
$ (66)
Total
$ 1,267
592
641
831
40
14
$ 3,385
$ 38
4
$ 42
(1) Cash collateral is classified as “Accounts and notes receivable – Other” in the consolidated balance sheets. Amounts represent the
estimated net settlement amount when applying netting and set-off rights included in master netting arrangements between the Company
and its counterparties and the payable or receivable for cash collateral held or placed with the same counterparty.
(2) Included in “Accounts and notes receivable – Other” in the consolidated balance sheets. See Note O for additional information on
transfers of financial assets.
(3) The Company’s investments in equity and debt securities are primarily classified as available-for-sale and are included in “Other
investments” in the consolidated balance sheets.
(4) U.S. Treasury obligations, U.S. agency obligations, agency mortgage-backed securities and other municipalities’ obligations.
(5) See Note J for the classification of derivatives in the consolidated balance sheets.