Crucial 2011 Annual Report Download - page 71
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For currency forward contracts without hedge accounting designation, we recognized gains of $ 21 million for 2011 and losses of $
29 million
for 2010 , which were included in other operating (income) expense.
Currency Derivatives with Cash Flow Hedge Accounting Designation
We utilize currency forward contracts that generally mature within 12
months to hedge the exposure of changes in cash flows from changes in
currency exchange rates for certain forecasted capital expenditures. Currency forward contracts are valued at their fair values based on market-
based observable inputs including currency exchange spot and forward rates, interest rate and credit risk spread (referred to as Level 2). For those
derivatives designated as cash flow hedges, the effective portion of the realized and unrealized gain or loss on the derivatives was included as a
component of accumulated other comprehensive income (loss) in shareholders' equity. The amounts in the accumulated other comprehensive
income (loss) for those cash flow hedges are reclassified into earnings in the same line items of the consolidated statements of operations and in
the same periods in which the underlying transactions affect earnings. The ineffective or excluded portion of the realized and unrealized gain or
loss was included in other operating income (expense). Total gross notional amounts and fair values for currency derivatives with cash flow
hedge accounting designation were as follows:
68
Notional Amount
(1)
Fair Value
Currency
(in U.S. Dollars)
Asset
(2)
(Liability)
(3)
As of September 1, 2011:
Euro
$
301
$
3
$
—
Singapore dollar
210
—
—
Yen
165
3
—
Other
148
—
(
2
)
$
824
$
6
$
(2
)
As of September 2, 2010:
Euro
$
260
$
—
$
(
5
)
Singapore dollar
157
—
—
Yen
104
1
—
$
521
$
1
$
(5
)
(1)
Represents the face value of outstanding contracts
(2)
Included in other receivables
(3)
Included in other accounts payable and accrued expenses
Notional Amount
(1)
Fair Value
Currency
(in U.S. Dollars)
Asset
(2)
(Liability)
(3)
As of September 1, 2011:
Euro
$
232
$
8
—
Yen
19
1
—
$
251
$
9
—
As of September 2, 2010:
Euro
$
196
$
1
—
Yen
81
1
—
$
277
$
2
—
(1)
Represents the face value of outstanding contracts
(2)
Included in other receivables
(3)
Included in other accounts payable and accrued expenses