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NOTES TO FINANCIAL STATEMENTS
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 2, 2011, and July 3,
2010, follows:
Information on the location and amounts of derivative fair values
in the Condensed Consolidated Balance Sheet at July 2, 2011 and
July 3, 2010 is as follows:
Assets Liabilities
Other Other Accrued
Current Assets Non-Current Assets Liabilities – Other Other
July 2, July 3, July 2, July 3, July 2, July 3, July 2, July 3,
In millions 2011 2010 2011 2010 2011 2010 2011 2010
Derivatives designated as hedging instruments
Interest rate contracts2$÷– $÷÷4 $12 $27 $÷÷2 $÷– $÷– $÷÷–
Foreign exchange contracts2– 143 – – 191 2 66 153
Commodity contracts1––––––––
Total derivatives designated as hedging instruments – 147 12 27 193 2 66 153
Derivatives not designated as hedging instruments
Foreign exchange contracts220 42 – – 13 42 – –
Commodity contracts12–––––––
Total derivatives not designated as hedging instruments 22 42 – – 13 42 – –
Total derivatives $22 $189 $12 $27 $206 $44 $66 $153
1 Categorized as level 1: Fair value of level 1 assets and liabilities as of July 2, 2011 are $2 million and nil and at July 3, 2010 are nil and nil, respectively.
2 Categorized as level 2: Fair value of level 2 assets and liabilities as of July 2, 2011 are $32 million and $272 million and at July 3, 2010 are $216 million and $197 million, respectively.
Interest Rate Foreign Exchange Commodity
Contracts Contracts Contracts Total
July 2, July 3, July 2, July 3, July 2, July 3, July 2, July 3,
In millions year ended 2011 2010 2011 2010 2011 2010 2011 2010
Cash Flow Derivatives
Amount of gain (loss) recognized in
other comprehensive income (OCI) 1$2 $«(4) $÷(69) $÷77 $14 $«– $÷(53) $÷73
Amount of gain (loss) reclassified
from AOCI into earnings 1, 2 3 – (82) 65 15 (4) (64) 61
Amount of ineffectiveness recognized in earnings3, 4 – – (9) (8) (1) – (10) (8)
Amount of gain (loss) expected to be classified
into earnings during the next twelve months –NA (7) NA –NA (7) NA
Net Investment Derivatives
Amount of gain (loss) recognized in OCI1– – (672) 411 – – (672) 411
Amount of gain (loss) recognized from OCI into earnings6––12–––12–
Fair Value Derivatives
Amount of derivative gain (loss)
recognized in earnings5319––––319
Amount of Hedged Item gain (loss)
recognized in earnings56(1)––––6(1)
Derivatives Not Designated as Hedging Instruments
Amount of gain (loss) recognized in Cost of Sales – – (46) 32 17 (5) (29) 27
Amount of gain (loss) recognized in SG&A – – 92 (60) 6 (1) 98 (61)
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.
6 The gain (loss) recognized from OCI into earnings is reported in gain on sale of discontinued operations.