Derivative Financial Instruments

12 Months Ended

Dec. 30, 2011

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Financial Instruments

Derivative Financial Instruments

Our derivative financial instruments reduce our exposure to fluctuations in foreign exchange rates and bunker fuel prices. We predominantly designate our derivative financial instruments as cash flow hedges.

Counterparties expose us to credit loss in the event of non-performance on hedges.  We monitor our exposure to counterparty non-performance risk both at inception of the hedge and at least quarterly thereafter.  However, because the contracts are entered into with highly rated financial institutions, we do not anticipate non-performance by any of these counterparties.  The exposure is usually the amount of the unrealized gains, if any, in such contracts.

Because of the high degree of effectiveness between the hedging instrument and the underlying exposure being hedged, fluctuations in the value of the derivative instruments are generally offset by changes in the cash flows or fair value of the underlying exposures being hedged.  In addition, we perform an assessment of hedge effectiveness, both at inception and at least quarterly thereafter, whether the financial instruments that are used in hedging transactions are effective at offsetting changes in the cash flows or fair value of the related underlying exposures. Any ineffective portion of a financial instrument’s change in fair value is immediately recognized in earnings.

Certain of our derivative instruments contain provisions that require the current credit relationship between the Company and its counterparty to be maintained throughout the term of the derivative instruments.  If that credit relationship changes, certain provisions could be triggered, and the counterparty could request immediate collateralization of derivative instruments in net liability position above a certain threshold.  The aggregate fair value of all derivative instruments with a credit-risk-related contingent feature that are in a liability position on December 30, 2011 is $15.1 million.  As of December 30, 2011, no triggering event has occurred and thus we are not required to post collateral.  If the credit-risk-related contingent features underlying these agreements were triggered on December 30, 2011 the entity would not be required to post collateral to its counterparty because the collateralization threshold has not been met.

Foreign Currency Hedges

We are exposed to fluctuations in currency exchange rates against the U.S. dollar on our results of operations and financial condition and we mitigate that exposure by entering into foreign currency forward contracts.  Certain of our subsidiaries periodically enter into foreign currency forward contracts in order to hedge portions of forecasted sales or cost of sales denominated in foreign currencies with forward contracts and options, which generally expire within 1 year.  At December 30, 2011, certain of our foreign currency hedges were entered into to hedge our 2012 foreign currency exposure.

We designate our foreign currency forward contracts as single-purpose cash flow hedges of forecasted cash flows.  Based on our formal assessment of hedge effectiveness of our foreign currency forward contracts, we determined that the impact of hedge ineffectiveness was de minimis for the years ended December 30, 2011December 31, 2010 and January 1, 2010.

18.  Derivative Financial Instruments (continued)

Bunker Fuel Hedges

We are exposed to fluctuations in bunker fuel prices on our results of operations and financial condition and can mitigate that exposure by entering into bunker fuel swap agreements, which permit us to lock in bunker fuel purchase prices.  As a subsequent event, in January, one of our subsidiaries entered into bunker fuel swap agreements o hedge fuel costs incurred via our owned and chartered vessels in 2012.    We did not have any bunker fuel hedges outstanding as of December 30, 2011 and December 31, 2010.

Other Derivative Instruments

We entered into derivative instruments not designated as hedging instruments, also referred to as economic hedges, in order to minimize the impact of fluctuation in foreign exchange relative to the South African rand in 2010 and the Korean won in 2011. We recognized a gain of $0.2 million and a loss of $0.3 million for the years ended December 30, 2011 and December 31, 2010, respectively, related to these derivative instruments included in other income (expense), net in our Consolidated Statements of Income. We did not have economic hedges for the years ended December 30, 2011 and January 1, 2010.  As of December 31, 2010, we had $0.3 million outstanding as an economic hedge on the South African rand included in accounts payable and other accrued expenses on our Consolidated Balance Sheets.

We had the following outstanding foreign currency forward contracts as of December 30, 2011:

Foreign Currency Contracts Qualifying as Cash Flow Hedges:		Notional Amount
Euro	€	168.6	million
British pound	£	7.2	million
Japanese yen	JPY	9,964.7	million
Costa Rican colon	CRC	12,556.6	million
Chilean Peso	CLP	3,750.0	million
Brazilian real	BRL	14.9	million
Kenya shilling	KES	1,508.6	million

The following table reflects the fair values of derivative instruments as of December 30, 2011 (U.S. dollars in millions):

Derivatives Designated as Hedging Instruments (1)
	Foreign exchange contracts
Balance Sheet Location:	December 30, 2011 (2)	December 31, 2010
Asset derivatives:
Prepaid expenses and other current assets	22.3	$	4.1
Other noncurrent assets	—	—
Total asset derivatives	22.3	$	4.1
Liability derivatives:
Accounts payable and accrued expenses	14.8	$	13.6
Other noncurrent liabilities	—	9.1
Total liability derivatives	14.8	$	22.7

⁽¹⁾ See Note 19, "Fair Value Measurements", for fair value disclosures.

⁽²⁾ We expect that $7.7 million of the net fair value of hedges recognized as a net gain in accumulated other comprehensive income ("AOCI") will be transferred to earnings during the next 12 months.

18.  Derivative Financial Instruments (continued)

The following table reflects the effect of derivative instruments on the Consolidated Statements of Income for the year ended December 30, 2011 (U.S. dollars in millions):

Derivatives in Cash Flow Hedging Relationships	Amount of Gain (Loss) Recognized in Other Comprehensive Income on Derivatives (Effective Portion)					Location of Gain (Loss) Reclassified from AOCI into Income (Effective Portion)	Amount of Gain (Loss) Reclassified from AOCI into Income (Effective Portion)
	Year ended						Year ended
	December 30, 2011		December 31, 2010				December 30, 2011			December 31, 2010
Foreign exchange contracts	$	24.5	$	(33.9	)	Net sales	$	(20.0	)	$	21.7
Foreign exchange contracts	1.8		(0.9		)	Cost of products sold	1.0			0.9
Bunker fuel swap agreements (1)	—		(4.3		)	Cost of products sold	—			3.6
Total	$	26.3	$	(39.1	)		$	(19.0	)	$	26.2

⁽¹⁾ The bunker fuel swap agreements had an ineffective portion of less than $0.1 million for the year ended