Herbalife Ltd. Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

Derivative Instruments and Hedging Activities (Tables)

Derivative Instruments and Hedging Activities (Tables)

12 Months Ended

Dec. 31, 2011

Derivative Instruments and Hedging Activities [Abstract]

Aggregate interest rate swaps and fair value of liabilities outstanding


Interest Rate	Aggregate Notional Amounts		Average Swap Rate			Aggregate Fair Value			Maturity Dates
	(In millions)					(In millions)
At December 31, 2011
Interest Rate Swaps	$	140.0		2.78	%	$	(5.1	)		July 2013
At December 31, 2010
Interest Rate Swaps	$	140.0		2.78	%	$	(6.6	)		July 2013

Summary of foreign currency forward contracts outstanding


Foreign Currency	Average Contract Rate		Original Notional Amount		Fair Value Gain (Loss)
			(In millions)		(In millions)
At December 31, 2011
Buy CNY sell USD		6.34	$	2.5	$	—
Buy EUR sell ARS		5.70		3.0		—
Buy EUR sell AUD		1.30		0.8		—
Buy EUR sell GBP		0.83		0.8		—
Buy EUR sell HKD		10.15		0.9		—
Buy EUR sell IDR		11,985.00		2.2		—
Buy EUR sell INR		69.21		2.3		—
Buy EUR sell MXN		18.14		14.9		—
Buy EUR sell MYR		4.17		6.0		(0.1	)
Buy EUR sell RUB		41.74		9.2		—
Buy EUR sell USD		1.30		44.8		(0.1	)
Buy EUR sell ZAR		10.89		0.6		—
Buy GBP sell EUR		0.84		0.8		—
Buy JPY sell USD		77.85		7.0		0.1
Buy KRW sell USD		1,161.81		32.2		(0.2	)
Buy MYR sell EUR		4.12		0.8		—
Buy MYR sell USD		3.18		19.0		—
Buy PEN sell USD		2.70		6.7		—
Buy SEK sell EUR		8.98		1.0		—
Buy USD sell ARS		4.37		0.8		—
Buy USD sell COP		1,943.00		5.1		—
Buy USD sell EUR		1.37		81.4		4.4
Buy USD sell GBP		1.55		24.1		—
Buy USD sell INR		53.30		1.0		—
Buy USD sell KRW		1,156.38		7.5		—
Buy USD sell MXN		13.89		37.3		0.4
Buy USD sell PHP		43.79		3.2		—
Buy USD sell RUB		31.86		1.3		—
Buy USD sell SGD		1.28		0.3		—
Buy USD sell THB		31.43		0.2		—
Buy USD sell ZAR		8.33		1.1		—

Total forward contracts			$	318.8	$	4.5


Foreign Currency	Average Contract Rate		Original Notional Amount		Fair Value Gain (Loss)
			(In millions)		(In millions)
At December 31, 2010
Buy BRL sell USD		1.68	$	7.6	$	0.1
Buy EUR sell ARS		5.27		1.3		—
Buy EUR sell JPY		113.89		1.2		(0.1	)
Buy EUR sell MXN		16.58		35.5		—
Buy EUR sell RUB		40.99		1.8		—
Buy EUR sell USD		1.34		101.4		0.1
Buy INR sell USD		44.81		4.5		—
Buy JPY sell EUR		111.90		1.2		—
Buy JPY sell USD		82.57		19.4		0.4
Buy KRW sell USD		1,146.51		21.0		0.4
Buy MXN sell EUR		16.45		8.0		—
Buy MXN sell USD		12.37		4.5		—
Buy MYR sell USD		3.10		12.2		0.1
Buy PEN sell USD		2.80		10.3		—
Buy PHP sell USD		43.89		0.1		—
Buy TWD sell USD		29.17		2.6		—
Buy USD sell BRL		1.72		14.9		(0.5	)
Buy USD sell COP		1,917.51		4.3		—
Buy USD sell EUR		1.32		74.3		(1.0	)
Buy USD sell GBP		1.56		4.0		—
Buy USD sell INR		45.78		8.7		(0.2	)
Buy USD sell JPY		81.59		9.8		(0.1	)
Buy USD sell KRW		1,138.90		4.9		(0.1	)
Buy USD sell MXN		12.45		4.9		—
Buy USD sell PEN		2.81		5.2		—
Buy USD sell PHP		44.11		2.8		—
Buy USD sell RUB		31.48		1.3		—

Total forward contracts			$	367.7	$	(0.9	)

Gains (losses) relating to derivative instruments recorded in other comprehensive income (loss)


	Amount of Gain (Loss) Recognized in Other Comprehensive Income (Loss) For the Year Ended
	December 31, 2011			December 31, 2010			December 31, 2009
	(In millions)
Derivatives designated as cash flow hedging instruments:
Foreign exchange currency contracts relating to inventory and intercompany management fee hedges	$	4.1		$	5.6		$	2.4
Interest rate swaps	$	(2.1	)	$	(7.5	)	$	(2.6	)

Gains (losses) relating to derivative instruments recorded to income


	Amount of Gain (Loss) Recognized in Income For the Year Ended								Location of Gain (Loss) Recognized in Income

	December 31, 2011		December 31, 2010			December 31, 2009
	(In millions)
Derivatives designated as cash flow hedging instruments:
Foreign exchange currency contracts relating to inventory hedges and intercompany management fee hedges(1)	$	—	$	—		$	(0.3	)	Selling, general and administrative expenses

Derivatives not designated as hedging instruments:
Foreign exchange currency contracts	$	2.7	$	(9.4	)	$	(15.8	)	Selling, general and administrative expenses

(1)	For foreign exchange contracts designated as hedging instruments, the amounts recognized in income (loss) represent the amounts excluded from the assessment of hedge effectiveness. There were no ineffective amounts reported for derivatives designated as hedging instruments.

Gains (losses) relating to derivative instruments reclassified from accumulated other comprehensive loss into income effective portion


	Amount of Gain (Loss) Reclassified from Accumulated Other Comprehensive Loss into Income									Location of Gain (Loss) Reclassified from Accumulated Other Comprehensive Loss into Income (effective portion)


	For the Year Ended
	December 31, 2011			December 31, 2010			December 31, 2009
	(In millions)
Derivatives designated as cash flow hedging instruments:
Foreign exchange currency contracts relating to inventory hedges	$	(0.3	)	$	1.8		$	0.8		Cost of sales
Foreign exchange currency contracts relating to intercompany management fee hedges	$	(1.8	)	$	6.6		$	—		Selling, general and administrative expenses
Interest rate contracts	$	(3.6	)	$	(3.6	)	$	(1.0	)	Interest expense, net

- Definition

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

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