Fair Value Measurements (Tables)

3 Months Ended

Apr. 03, 2021

Schedule of Financial Assets and Liabilities Carried at Fair Value

The Company’s financial assets and liabilities carried at fair value as of April 3, 2021, are classified below (in millions):


	Level 1		Level 2		Level 3		Total
Assets:
Foreign exchange contracts (1)	$	4	$	6	$	—	$	10

Money market investments related to deferred compensation plan	33		—		—		33
Total Assets at fair value	$	37	$	6	$	—	$	43
Liabilities:

Forward interest rate swap contracts (2)	$	—	$	34	$	—	$	34
Liabilities related to the deferred compensation plan	33		—		—		33
Total Liabilities at fair value	$	33	$	34	$	—	$	67

The Company’s financial assets and liabilities carried at fair value as of December 31, 2020, are classified below (in millions):


	Level 1		Level 2		Level 3		Total
Assets:


Money market investments related to deferred compensation plan	$	30	$	—	$	—	$	30
Total Assets at fair value	$	30	$	—	$	—	$	30
Liabilities:
Foreign exchange contracts (1)	$	3	$	34	$	—	$	37
Forward interest rate swap contracts (2)	—		46		—		46
Liabilities related to the deferred compensation plan	30		—		—		30
Total Liabilities at fair value	$	33	$	80	$	—	$	113

(1)The fair value of the foreign exchange contracts is calculated as follows:

•Fair value of regular forward contracts associated with forecasted sales hedges is calculated using the period-end exchange rate adjusted for current forward points.

•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 year 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.