Sara Lee 2010 Annual Report Download - page 80

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Notes to financial statements
78 Sara Lee Corporation and Subsidiaries
Information on the location and amounts of derivative fair values
in the Condensed Consolidated Balance Sheet at July 3, 2010 and
June 27, 2009 is as follows:
Assets Liabilities
Other Other Accrued
Current Assets Non-Current Assets Liabilities – Other Other
July 3, June 27, July 3, June 27, July 3, June 27, July 3, June 27,
In millions 2010 2009 2010 2009 2010 2009 2010 2009
Derivatives designated as hedging instruments
Interest rate contracts2$÷÷4 $÷3 $27 $30 $÷– $÷– $÷÷– $÷÷–
Foreign exchange contracts2143 1 – – 2 8 153 249
Commodity contracts1–1––––––
Total derivatives designated as hedging instruments 147 5 27 30 2 8 153 249
Derivatives not designated as hedging instruments
Foreign exchange contracts242 61 – – 42 34 – –
Commodity contracts1–1––––––
Total derivatives not designated as hedging instruments 42 62 – – 42 34 – –
Total derivatives $189 $67 $27 $30 $44 $42 $153 $249
1Categorized as level 1: Fair value of level 1 assets and liabilities as of July 3, 2010 are nil and at June 27, 2009 are $2 million and nil, respectively.
2 Categorized as level 2: Fair value of level 2 assets and liabilities as of July 3, 2010 are $216 million and $197 million and at June 27, 2009 are $95 million and $291 million, respectively.
Information related to our cash flow hedges, net investment
hedges, fair value hedges and other derivatives not designated
as hedging instruments for the periods ended July 3, 2010,
and June 27, 2009, follows:
Interest Rate Foreign Exchange Commodity
Contracts Contracts Contracts Total
July 3, June 27, July 3, June 27, July 3, June 27, July 3, June 27,
In millions year ended 2010 2009 2010 2009 2010 2009 2010 2009
Cash Flow Derivatives
Amount of gain (loss) recognized in
other comprehensive income (OCI)1$«(4) $÷4 $÷77 $÷«24 $«– $(25) $÷73 $÷÷3
Amount of gain (loss) reclassified
from AOCI into earnings1, 2 – – 65 62 (4) (17) 61 45
Amount of ineffectiveness recognized in earnings3, 4 – – (8) (10) – (2) (8) (12)
Net Investment Derivatives
Amount of gain recognized in OCI1– – 411 407 – – 411 407
Fair Value Derivatives
Amount of derivative gain (loss)
recognized in earnings519 29 – 13 – – 19 42
Amount of Hedged Item gain (loss)
recognized in earnings5(1) (17) – (8) – – (1) (25)
Derivatives Not Designated as Hedging Instruments
Amount of gain (loss) recognized in Cost of Sales – – 32 1 (8) (29) 24 (28)
Amount of gain (loss) recognized in SG&A – – (60) (136) (2) (29) (62) (165)
1 Effective portion.
2 Gain (loss) reclassified from AOCI into earnings is reported in interest, for interest rate swaps, in selling, general, and administrative (SG&A) expenses for foreign exchange contracts and in cost
of sales for commodity contracts.
3 Gain (loss) recognized in earnings is related to the ineffective portion and amounts excluded from the assessment of hedge effectiveness.
4 Gain (loss) recognized in earnings is reported in interest expense for foreign exchange contract and SG&A expenses for commodity contracts.
5 The amount of gain (loss) recognized in earnings on the derivative contracts and the related hedged item is reported in interest for the interest rate contracts and SG&A for the foreign exchange contracts.