XML 38 R27.htm IDEA: XBRL DOCUMENT v3.10.0.1
Fair Value Measurements (Tables)
 9 Months Ended
Sep. 29, 2018
Fair Value Disclosures [Abstract]  
Financial Assets and Liabilities Carried at Fair Value
Financial assets and liabilities carried at fair value as of September 29, 2018, are classified below (in millions):
 
Level 1
 
Level 2
 
Level 3
 
Total
Assets:
 
 
 
 
 
 
 
Foreign exchange contracts (1)
$
—

 
$
16

 
$
—

 
$
16

Forward interest rate swap contracts (2)
—

 
14

 
—

 
14

Money market investments related to the deferred compensation plan
18

 
—

 
—

 
18

Total Assets at fair value
$
18

 
$
30

 
$
—

 
$
48

Liabilities:
 
 
 
 
 
 
 
Liabilities related to the deferred compensation plan
18

 
—

 
—

 
18

Total Liabilities at fair value
$
18

 
$
—

 
$
—

 
$
18


Financial assets and liabilities carried at fair value as of December 31, 2017, are classified below (in millions):
 
Level 1
 
Level 2
 
Level 3
 
Total
Assets:
 
 
 
 
 
 
 
Money market investments related to the deferred compensation plan
$
15

 
$
—

 
$
—

 
$
15

Total Assets at fair value
$
15

 
$
—

 
$
—

 
$
15

Liabilities:
 
 
 
 
 
 
 
Forward interest rate swap contracts (2)
$
—

 
$
18

 
$
—

 
$
18

Foreign exchange contracts (1)
2

 
9

 
—

 
11

Liabilities related to the deferred compensation plan
15

 
—

 
—

 
15

Total Liabilities at fair value
$
17

 
$
27

 
$
—

 
$
44


(1)
The fair value of the foreign exchange contracts is calculated as follows:
a.
Fair value of a put option contract associated with forecasted sales hedges is calculated using bid and ask rates for similar contracts.
b.
Fair value of regular forward contracts associated with forecasted sales hedges is calculated using the period-end exchange rate adjusted for current forward points.
c.
Fair value of hedges against net assets is calculated at the period-end exchange rate adjusted for current forward points unless the hedge has been traded but not settled at period end (Level 2). If this is the case, the fair value is calculated at the rate at which the hedge is being settled (Level 1).
(2)
The fair value of forward interest rate swaps is based upon a valuation model that uses relevant observable market inputs at the quoted intervals, such as forward yield curves, and is adjusted for the Company’s credit risk and the interest rate swap terms. See gross balance reporting in Note 8, Derivative Instruments.