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, 2012

Derivative Instruments And Hedging Activities Disclosure [Abstract]

Aggregate Interest Rate Swaps and Fair Value of Liabilities Outstanding

The table below describes the interest rate swaps in aggregate, and the fair value of the liabilities that were outstanding as of December 31, 2012 and 2011:


Interest Rate	Aggregate Notional Amounts		Average Swap Rate			Aggregate Fair Value			Maturity Dates
	(In millions)					(In millions)
At December 31, 2012
Interest Rate Swaps	$	140.0		2.78	%	$	(2.0	)		July 2013
At December 31, 2011
Interest Rate Swaps	$	140.0		2.78	%	$	(5.1	)		July 2013

Summary of Foreign Currency Forward Contracts Outstanding

The table below describes all foreign currency forward contracts that were outstanding as of December 31, 2012 and 2011:


Foreign Currency	Average Contract Rate		Original Notional Amount		Fair Value Gain (Loss)
			(In millions)		(In millions)
At December 31, 2012
Buy Brazilian real sell U.S. dollar		2.08	$	12.5	$	0.2
Buy Chinese yuan sell U.S. dollar		6.29		1.3		—
Buy Euro sell Argentine peso		6.66		3.0		—
Buy Euro sell Australian dollar		1.27		1.4		—
Buy Euro sell Chilean peso		633.00		1.5		—
Buy Euro sell Indonesian rupiah		12,935.00		9.7		—
Buy Euro sell Mexican peso		17.18		143.7		0.3
Buy Euro sell Malaysian ringgit		4.06		15.2		(0.1	)
Buy Euro sell Peruvian nuevo sol		3.41		2.0		—
Buy Euro sell U.S. dollar		1.33		82.1		(0.4	)
Buy British pound sell Euro		0.82		2.4		—
Buy Japanese yen sell U.S. dollar		85.88		9.3		(0.1	)
Buy South Korean won sell U.S. dollar		1,077.18		52.5		0.2
Buy Malaysian ringgit sell Euro		4.07		0.8		—
Buy Malaysian ringgit sell U.S. dollar		3.08		21.7		0.1
Buy U.S. dollar sell Brazilian real		2.05		12.6		—
Buy U.S. dollar sell Colombian peso		1,800.10		11.7		(0.2	)
Buy U.S. dollar sell Euro		1.30		174.4		(2.9	)
Buy U.S. dollar sell British pound		1.62		16.2		(0.1	)
Buy U.S. dollar sell South Korean won		1,089.08		6.3		(0.1	)
Buy U.S. dollar sell Mexican peso		13.12		25.4		(0.3	)
Buy U.S. dollar sell Philippine peso		40.99		2.9		—
Buy U.S. dollar sell New Taiwan dollar		28.98		0.8		—
Buy U.S. dollar sell South African rand		8.54		0.7		—

Total forward contracts			$	610.1	$	(3.4	)


Foreign Currency	Average Contract Rate		Original Notional Amount		Fair Value Gain (Loss)
			(In millions)		(In millions)
At December 31, 2011
Buy Chinese yuan sell U.S. dollar		6.34	$	2.5	$	—
Buy Euro sell Argentine peso		5.70		3.0		—
Buy Euro sell Australian dollar		1.30		0.8		—
Buy Euro sell British pound		0.83		0.8		—
Buy Euro sell Hong Kong dollar		10.15		0.9		—
Buy Euro sell Indonesian rupiah		11,985.00		2.2		—
Buy Euro sell Indian rupee		69.21		2.3		—
Buy Euro sell Mexican peso		18.14		14.9		—
Buy Euro sell Malaysian ringgit		4.17		6.0		(0.1	)
Buy Euro sell Russian ruble		41.74		9.2		—
Buy Euro sell U.S. dollar		1.30		44.8		(0.1	)
Buy Euro sell South African rand		10.89		0.6		—
Buy British pound sell Euro		0.84		0.8		—
Buy Japanese yen sell U.S. dollar		77.85		7.0		0.1
Buy South Korean won sell U.S. dollar		1,161.81		32.2		(0.2	)
Buy Malaysian ringgit sell Euro		4.12		0.8		—
Buy Malaysian ringgit sell U.S. dollar		3.18		19.0		—
Buy Peruvian nuevo sol sell U.S. dollar		2.70		6.7		—
Buy Swedish kronor sell Euro		8.98		1.0		—
Buy U.S. dollar sell Argentine peso		4.37		0.8		—
Buy U.S. dollar sell Colombian peso		1,943.00		5.1		—
Buy U.S. dollar sell Euro		1.37		81.4		4.4
Buy U.S. dollar sell British pound		1.55		24.1		—
Buy U.S. dollar sell Indian rupee		53.30		1.0		—
Buy U.S. dollar sell South Korean won		1,156.38		7.5		—
Buy U.S. dollar sell Mexican peso		13.89		37.3		0.4
Buy U.S. dollar sell Philippine peso		43.79		3.2		—
Buy U.S. dollar sell Russian ruble		31.86		1.3		—
Buy U.S. dollar sell Singapore dollar		1.28		0.3		—
Buy U.S. dollar sell Thai baht		31.43		0.2		—
Buy U.S. dollar sell South African rand		8.33		1.1		—

Total forward contracts			$	318.8	$	4.5

Gains (Losses) Relating to Derivative Instruments Recorded in Other Comprehensive Income (Loss)

The following table summarizes gains (losses) relating to derivative instruments recorded in other comprehensive income (loss) during the years ended December 31, 2012, 2011, and 2010:


	Amount of Gain (Loss) Recognized in Other Comprehensive Income (Loss) For the Year Ended
	December 31, 2012			December 31, 2011			December 31, 2010
	(In millions)
Derivatives designated as cash flow hedging instruments:
Foreign exchange currency contracts relating to inventory and intercompany management fee hedges	$	(3.3	)	$	4.1		$	5.6
Interest rate swaps	$	(0.6	)	$	(2.1	)	$	(7.5	)

Gains (Losses) Relating to Derivative Instruments Recorded to Income

The following table summarizes gains (losses) relating to derivative instruments recorded to income during the years ended December 31, 2012, 2011, and 2010:


	Amount of Gain (Loss) Recognized in Income For the Year Ended								Location of Gain (Loss) Recognized in Income
	December 31, 2012			December 31, 2011		December 31, 2010			Location of Gain (Loss) Recognized in Income
	(In millions)
Derivatives designated as cash flow hedging instruments:
Foreign exchange currency contracts relating to inventory hedges and intercompany management fee hedges(1)	$	(1.8	)	$	—	$	—		Selling, general and administrative expenses
Derivatives not designated as hedging instruments:
Foreign exchange currency contracts	$	(10.0	)	$	2.7	$	(9.4	)	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

The following table summarizes gains (losses) relating to derivative instruments reclassified from accumulated other comprehensive loss into income during the years ended December 31, 2012, 2011, and 2010:


	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, 2012			December 31, 2011			December 31, 2010
	(In millions)
Derivatives designated as cash flow hedging instruments:
Foreign exchange currency contracts relating to inventory hedges	$	0.1		$	(0.3	)	$	1.8		Cost of sales
Foreign exchange currency contracts relating to intercompany management fee hedges	$	4.5		$	(1.8	)	$	6.6		Selling, general and administrative expenses
Interest rate contracts	$	(3.6	)	$	(3.6	)	$	(3.6	)	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.

+ References + Details