Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES (Tables)

v2.4.0.6
DERIVATIVES (Tables)
6 Months Ended
Jul. 01, 2012
DERIVATIVES  
Outstanding foreign currency forward contracts

 

 

 

 

Notional amount in millions

 

 

 

July 1,

 

December 31,

 

Currency denomination

 

2012

 

2011

 

United States Dollar (USD)

 

167

 

181

 

British Pound Sterling (GBP)

 

271

 

347

 

Euro (EUR)

 

18

 

47

 

Singapore Dollar (SGD)

 

9

 

20

 

Indian Rupee (INR)

 

1,815

 

1,701

 

Japanese Yen (JPY)

 

2,207

 

3,348

 

Canadian Dollar (CAD)

 

57

 

39

 

South Korea Won (KRW)

 

47,667

 

36,833

 

Chinese Renmimbi (CNY)

 

62

 

61

 

Outstanding commodity swap contracts entered to hedge certain raw material purchases

 

 

Dollars in millions

 

July 1, 2012

 

December 31, 2011

 

Commodity

 

Notional Amount

 

Quantity

 

Notional Amount

 

Quantity

 

Copper

 

$

67

 

8,191

 

metric tons (1)

 

$

78

 

9,220

 

metric tons (1)

 

Platinum

 

81

 

51,150

 

troy ounces (2)

 

84

 

50,750

 

troy ounces (2)

 

Palladium

 

8

 

11,952

 

troy ounces (2)

 

5

 

7,141

 

troy ounces (2)

 

 

 

(1)A metric ton is a measurement of mass equal to 1,000 kilograms.

(2)A troy ounce is a measurement of mass equal to approximately 31 grams.

Gains and losses on interest rate swap

 

 

 

 

Three months ended

 

Six months ended

 

In millions

 

July 1, 2012

 

June 26, 2011

 

July 1, 2012

 

June 26, 2011

 

Income Statement

 

Gain/(Loss) on

 

Gain/(Loss) on

 

Gain/(Loss) on

 

Gain/(Loss) on

 

Gain/(Loss) on

 

Gain/(Loss) on

 

Gain/(Loss) on

 

Gain/(Loss) on

 

Classification

 

Swaps

 

Borrowings

 

Swaps

 

Borrowings

 

Swaps

 

Borrowings

 

Swaps

 

Borrowings

 

Interest expense

 

$

17

 

$

(17

)

$

18

 

$

(18

)

$

5

 

$

(5

)

$

10

 

$

(10

)

Location and amounts of gains and losses for derivative instruments classified as cash flow hedges

 

 

 

 

 

 

Three months ended

 

Six months ended

 

 

 

Location of

 

 

 

 

 

 

 

 

 

 

 

Gain/(Loss)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reclassified

 

Amount of Gain/(Loss)

 

Amount of Gain/(Loss)

 

Amount of Gain/(Loss)

 

Amount of Gain/(Loss)

 

 

 

into Income

 

Recognized in

 

Reclassified from

 

Recognized in

 

Reclassified from

 

In millions

 

(Effective

 

AOCL on Derivative

 

AOCL into Income

 

AOCL on Derivative

 

AOCL into Income

 

Derivatives in Cash 

 

Portion)

 

(Effective Portion)

 

(Effective Portion)

 

(Effective Portion)

 

(Effective Portion)

 

Flow Hedging

 

 

 

July 1,

 

June 26,

 

July 1,

 

June 26,

 

July 1,

 

June 26,

 

July 1,

 

June 26,

 

Relationships

 

 

 

2012

 

2011

 

2012

 

2011

 

2012

 

2011

 

2012

 

2011

 

Foreign currency forward contracts

 

Net sales

 

$

(5

)

$

1

 

$

 

$

3

 

$

3

 

$

5

 

$

(2

)

$

4

 

Commodity swap contracts

 

Cost of sales

 

(10

)

(7

)

(2

)

8

 

3

 

(5

)

(5

)

14

 

Total

 

 

 

$

(15

)

$

(6

)

$

(2

)

$

11

 

$

6

 

$

 

$

(7

)

$

18

 

Location and amounts of gains and losses for derivative instruments that are not classified as hedges

 

 

 

 

 

 

Three months ended

 

Six months ended

 

 

 

 

 

Amount of Gain/(Loss) Recognized in

 

Amount of Gain/(Loss) Recognized in

 

In millions

 

Location of Gain/(Loss)

 

Income on Derivatives

 

Income on Derivatives

 

Derivatives Not Designated as

 

Recognized in Income

 

July 1,

 

June 26,

 

July 1,

 

June 26,

 

Hedging Instruments

 

on Derivatives

 

2012

 

2011

 

2012

 

2011

 

Foreign currency forward contracts

 

Cost of sales

 

$

 

$

1

 

$

(3

)

$

(3

)

Foreign currency forward contracts

 

Other income (expense), net

 

(9

)

(10

)

5

 

(5

)

Commodity swap contracts

 

Cost of sales

 

(6

)

 

(1

)

 

Location and fair value of derivative instruments

 

 

 

 

Derivative Assets

 

 

 

Fair Value

 

 

 

 

 

July 1,

 

December 31,

 

 

 

In millions

 

2012

 

2011

 

Balance Sheet Location

 

Derivatives designated as hedging instruments

 

 

 

 

 

 

 

Interest rate contract

 

$

87

 

$

82

 

Other assets

 

Total derivative assets

 

$

87

 

$

82

 

 

 

 

 

 

Derivative Liabilities

 

 

 

Fair Value

 

 

 

 

 

July 1,

 

December 31,

 

 

 

In millions

 

2012

 

2011

 

Balance Sheet Location

 

Derivatives designated as hedging instruments

 

 

 

 

 

 

 

Commodity swap contracts

 

$

8

 

$

16

 

Other accrued expenses

 

Foreign currency forward contracts

 

2

 

7

 

Other accrued expenses

 

Total derivatives designated as hedging instruments

 

10

 

23

 

 

 

 

 

 

 

 

 

 

 

Derivatives not designated as hedging instruments

 

 

 

 

 

 

 

Commodity swap contracts

 

4

 

6

 

Other accrued expenses

 

Foreign currency forward contracts

 

 

1

 

Other accrued expenses

 

Total derivatives not designated as hedging instruments

 

4

 

7

 

 

 

Total derivative liabilities

 

$

14

 

$

30