Company: KHC
Filing Date: 2025-07-30
Form Type: 10-Q
Source: 0001637459-25-000152
Chunk: 105

Company: Kraft Heinz Co
Filing Date: 2025-07-30
Form: 10-Q
Item: Part I, Item 8
Chunk 105
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 at June 28, 2025 and $25 million at December 28, 2024, which were included in prepaid expenses on our condensed consolidated balance sheets. Level 1 derivative financial assets and liabilities consist of commodity future and options contracts and are valued using quoted prices in active markets for identical assets and liabilities.

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Level 2 derivative financial assets and liabilities consist of commodity swaps, foreign exchange forwards, options, and swaps, and cross-currency contracts. Commodity swaps are valued using an income approach based on the observable market commodity index prices less the contract rate multiplied by the notional amount. Foreign exchange forwards and swaps are valued using an income approach based on observable market forward rates less the contract rate multiplied by the notional amount. Foreign exchange options are valued using an income approach based on a Black-Scholes-Merton formula. This formula uses present value techniques and reflects the time value and intrinsic value based on observable market rates. Cross-currency contracts are valued based on observable market spot and swap rates.We did not have any Level 3 derivative financial assets or liabilities in any period presented.Our calculation of the fair value of derivative financial instruments takes into consideration the risk of nonperformance, including counterparty credit risk.Net Investment Hedging:At June 28, 2025, we had the following items designated as net investment hedges:•Non-derivative foreign-currency denominated debt with principal amounts of €1.2 billion; and•Cross-currency contracts with notional amounts of €2.2 billion ($2.4 billion), C$1.3 billion ($900 million), CNY4.0 billion ($549 million), and JPY9.6 billion ($68 million).The components of the gains and losses on our net investment in these designated foreign operations, driven by changes in foreign exchange rates, are economically offset by fair value movements on the effective portion of our cross-currency contracts and foreign exchange contracts.Cash Flow Hedge Coverage:At June 28, 2025, we had entered into foreign exchange contracts designated as cash flow hedges for periods not exceeding the next 2 years and into cross-currency contracts designated as cash flow hedges for periods not exceeding the next 3 years.Fair Value Hedge Coverage:At June 28, 2025, we had fair value hedges of the foreign currency exposure of both intercompany and external foreign currency denominated loans: •Foreign exchange contracts with notional amounts of £400 million ($549 million) and the carrying value of