Kraft 2014 Annual Report Download - page 65

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Level 2 financial assets and liabilities consist of commodity forwards and foreign exchange forwards. Commodity forwards are
valued using an income approach based on the observable market commodity index prices less the contract rate multiplied by the
notional amount. Foreign exchange forwards are valued using an income approach based on observable market forward rates less
the contract rate multiplied by the notional amount. Our calculation of the fair value of financial instruments takes into consideration
the risk of nonperformance, including counterparty credit risk.
Derivative Volume:
The net notional values of our derivative instruments at December 27, 2014 and December 28, 2013 were:
Cash Flow Hedges:
Cash flow hedge activity, net of income taxes, within accumulated other comprehensive losses included:
The gains / (losses) on ineffectiveness recognized in pre-tax earnings were:
We record the pre-tax gain or loss reclassified from accumulated other comprehensive losses and the gain or loss on
ineffectiveness in:
60
Notional Amount
December 27,
2014 December 28,
2013
(in millions)
Commodity contracts $1,543 $1,349
Foreign exchange contracts 1,074 901
For the Years Ended
December 27,
2014
December 28,
2013
December 29,
2012
(in millions)
Accumulated other comprehensive losses at beginning of period $ (129) $(152 ) $(18 )
Unrealized gains / (losses):
Commodity contracts 18 (16) (57)
Foreign exchange contracts 38 36 (5 )
Interest rate contracts — — (137 )
56 20 (199 )
Transfer of realized (gains) / losses to earnings:
Commodity contracts (18) 26 49
Foreign exchange contracts (41) (31) 1
Interest rate contracts 7 8 19
(52) 3 69
Transfer of realized losses from MondelƝz International — — (4)
Accumulated other comprehensive losses at end of period $ (125) $(129 ) $(152 )
For the Years Ended
December 27,
2014
December 28,
2013
December 29,
2012
(in millions)
Commodity contracts $ 1 $ — $(4)
Interest rate contracts — — (23 )
Total $ 1 $ — $(27 )
• cost of sales for commodity contracts;
• cost of sales for foreign exchange contracts related to forecasted transactions; and
• interest and other expense, net for foreign exchange contracts related to intercompany loans and interest rate contracts.