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FINANCIAL INSTRUMENTS AND FAIR VALUE (Tables)
 3 Months Ended
Apr. 05, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
The fair value of derivative instruments
The following table presents assets and liabilities that were measured at fair value in the Consolidated Balance Sheet on a recurring basis as of April 5, 2015 and December 31, 2014 :
 
 
April 5, 2015
 
December 31, 2014
 
 
Assets (1)
 
Liabilities (1)
 
Assets (1)
 
Liabilities (1)
Derivatives designated as cash flow hedging instruments:
 
 
 
 
 
 
 
 
Commodities futures and options (2)
 
$
—

 
$
1,740

 
$
—

 
$
9,944

Foreign exchange contracts (3)
 
3,269

 
3,096

 
2,196

 
2,447

Interest rate swap agreements (4)
 
—

 
57,859

 
—

 
29,505

Cross-currency swap agreement (5)
 
2,790

 
—

 
2,016

 
—

 
 
6,059

 
62,695

 
4,212

 
41,896

Derivatives designated as fair value hedging instruments:
 
 
 
 
 
 
 
 
Interest rate swap agreements (4)
 
13,771

 
—

 
1,746

 
—

 
 
 
 
 
 
 
 
 
Derivatives not designated as hedging instruments:
 
 
 
 
 
 
 
 
Deferred compensation derivatives (6)
 
172

 
—

 
1,074

 
—

Foreign exchange contracts (3)
 
1,656

 
1,121

 
4,049

 
2,334

 
 
1,828

 
1,121

 
5,123

 
2,334

Total
 
$
21,658

 
$
63,816

 
$
11,081

 
$
44,230


(1)
Derivative assets are classified on our balance sheet within prepaid expenses and other if current and other assets if non-current. Derivative liabilities are classified on our balance sheet within accrued liabilities if current and other long-term liabilities if non-current.
(2)
The fair value of commodities futures and options contracts is based on quoted market prices and is, therefore, categorized as Level 1 within the fair value hierarchy. As of April 5, 2015, accrued liabilities reflects the net of assets of $52,338 and accrued liabilities of $52,406 associated with cash transfers receivable or payable on commodities futures contracts reflecting the change in quoted market prices on the last trading day for the period. The comparable amounts reflected on a net basis in accrued liabilities at December 31, 2014 were assets of $51,225 and accrued liabilities of $56,840. At April 5, 2015, the remaining amount reflected in liabilities related to the fair value of non-exchange traded derivative instruments. At December 31, 2014, the remaining amount reflected in liabilities related to the fair value of options contracts and other non-exchange traded derivative instruments.
(3)
The fair value of foreign currency forward exchange contracts is the difference between the contract and current market foreign currency exchange rates at the end of the period. We estimate the fair value of foreign currency forward exchange contracts on a quarterly basis by obtaining market quotes of spot and forward rates for contracts with similar terms, adjusted where necessary for maturity differences. These contracts are classified as Level 2 within the fair value hierarchy.
(4)
The fair value of interest rate swap agreements represents the difference in the present value of cash flows calculated at the contracted interest rates and at current market interest rates at the end of the period. We calculate the fair value of interest rate swap agreements quarterly based on the quoted market price for the same or similar financial instruments. Such contracts are categorized as Level 2 within the fair value hierarchy.
(5)
The fair value of the cross-currency swap agreement is categorized as Level 2 within the fair value hierarchy and is estimated based on the difference between the contract and current market foreign currency exchange rates at the end of the period.
(6)
The fair value of deferred compensation derivatives is based on quoted prices for market interest rates and a broad market equity index and is, therefore, categorized as Level 2 within the fair value hierarchy.
Gain (Loss) in Consolidates Statements of Income
The effect of derivative instruments on the Consolidated Statements of Income for the three months ended April 5, 2015 and March 30, 2014 was as follows:
 
 
Non-designated Hedges
 
Cash Flow Hedges
 
 
 
 
 
Gains (losses) recognized in income (a)
 
Gains (losses) recognized in accumulated other comprehensive income (“OCI”) (effective portion)
 
Gains (losses) reclassified from accumulated OCI into income (effective portion) (b)
 
Losses recognized in income (ineffective portion) (c)
 
 
2015
 
2014
 
2015
 
2014
 
2015
 
2014
 
2015
 
2014
Commodities futures and options
 
$
(2,777
)
 
$
2,339

 
$
(15,098
)
 
$
39,955

 
$
1,200

 
$
15,900

 
$
(287
)
 
$
(412
)
Foreign exchange contracts
 
(67
)
 
(10,468
)
 
1,240

 
1,136

 
341

 
143

 
—

 
—

Interest rate swap agreements
 
—

 
—

 
(28,354
)
 
(8,648
)
 
(1,189
)
 
(1,127
)
 
—

 
—

Deferred compensation derivatives
 
172

 
69

 
—

 
—

 
—

 
—

 
—

 
—

Total
 
$
(2,672
)
 
$
(8,060
)
 
$
(42,212
)
 
$
32,443

 
$
352

 
$
14,916

 
$
(287
)
 
$
(412
)
(a)
Gains (losses) recognized in income for non-designated commodities futures and options contracts were included in cost of sales. Gains (losses) recognized in income for non-designated foreign currency forward exchange contracts and deferred compensation derivatives were included in selling, marketing and administrative expenses.
(b)
Gains reclassified from accumulated OCI into income were included in cost of sales for commodities futures and options contracts and for foreign currency forward exchange contracts designated as hedges of purchases of inventory or other productive assets. Other gains for foreign currency forward exchange contracts were included in selling, marketing and administrative expenses. Losses reclassified from accumulated OCI into income for interest rate swap agreements were included in interest expense.
(c)
Losses representing hedge ineffectiveness were included in cost of sales for commodities futures and options contracts.