of the associated debt. Ineffective gains and losses are recorded as net interest. The amount of hedge ineffectiveness was less than $1 million in each of fiscal 2010, 2009 and 2008. Fixed Interest Rate Exposures – Fixed-to-floating interest rate swaps are accounted for as fair value hedges with effectiveness assessed based on changes in the fair value of the underlying debt and derivatives, using incremental borrowing rates currently available on loans with similar terms and maturities. Ineffective gains and losses on these derivatives and the underlying hedged items are recorded as net interest. The amount of hedge inef- fectiveness was less than $1 million in each of fiscal 2010, 2009 and 2008. In advance of a planned debt financing in fiscal 2011, we entered into $500 million of treasury lock derivatives with an average fixed rate of 4.3 percent. All of these treasury locks were cash settled for $17.1 million coincident with the issuance of our $500 million 30-year fixed-rate notes, which settled subsequent to our fiscal 2010 year end, on June 1, 2010. As of May 30, 2010, a $16.8 million pre-tax loss remained in AOCI, which will be reclassified to earnings over the term of the underlying debt. During the second quarter of fiscal 2010 we entered into $700 million of swaps to convert $700 million of 5.65 percent fixed-rate notes due September 10, 2012, to floating rates. In May 2010, we repurchased $179.2 million of our 5.65 percent notes, and as a result, we received $2.7 million to settle a portion of these swaps that related to the repurchased debt. In anticipation of our acquisition of The Pillsbury Company (Pillsbury) and other financing needs, we entered into pay-fixed interest rate swap contracts during fiscal 2001 and 2002 totaling $7.1 billion to lock in our interest payments on the associated debt. As of May 30, 2010, we still owned $1.6 billion of Pillsbury-related pay-fixed swaps that were previously neutralized with offsetting pay-floating swaps in fiscal 2002. In advance of a planned debt financing in fiscal 2007, we entered into $700.0 million pay-fixed, forward-starting interest rate swaps with an average fixed rate of 5.7 percent. All of these forward-starting interest rate swaps were cash settled for $22.5 million coincident with our $1.0 billion 10-year fixed-rate note offering on January 24, 2007. As of May 30, 2010, a $14.9 million pre-tax loss remained in AOCI, which will be reclassified to earnings over the term of the underlying debt. Foreign Exchange Risk Foreign currency fluctuations affect our net investments in foreign subsidiaries and foreign currency cash flows related to foreign-denominated commercial paper, third party purchases, intercompany loans, and product shipments.We are also exposed to the translation of foreign currency earnings to the U.S. dollar. Our principal exposures are to the Australian dollar, British pound sterling, Canadian dollar, Chinese renminbi, euro, Japanese yen, and Mexican peso. We mainly use foreign currency forward contracts to selectively hedge our foreign cur- rency cash flow exposures. We also generally swap our foreign- denominated commercial paper borrowings and nonfunctional currency intercompany loans back to U.S. dollars or the functional currency; the gains or losses on these derivatives offset the foreign currency revaluation gains or losses recorded in earnings on the associated borrowings. We generally do not hedge more than 18 months forward. The following table summarizes the notional amounts and weighted-average interest rates of our interest rate swaps. As discussed above, we have neutralized all of our Pillsbury-related pay-fixed swaps with pay-floating swaps; however, we cannot present them on a net basis in the following table because the offsetting occurred with different counterparties. Average float- ing rates are based on rates as of the end of the reporting period. In Millions May 30, 2010 May 31, 2009 ......................................................................................................................................................................................... Pay-floating swaps – notional amount $2,155.6 $1,859.3 Average receive rate 4.8% 5.7% Average pay rate 0.3% 0.3% Pay-fixed swaps – notional amount $1,600.0 $2,250.0 Average receive rate 0.3% 0.5% Average pay rate 7.3% 6.4% The swap contracts mature at various dates from fiscal 2011 to 2013 as follows: In Millions Pay Floating Pay Fixed Fiscal Year Maturity Date ...................................................... ......................................................................................................................................................................................... 2011 $ 17.6 $ — 2012 1,603.3 850.0 2013 534.7 750.0 ......................................................................................................................................................................................... Total $2,155.6 $1,600.0 61 Annual Report 2010