Derivative Financial Instruments (Tables)

9 Months Ended

Oct. 06, 2012

Net Fair Value of Commodity Price Risk

As of October 6, 2012, the company’s hedge portfolio contained commodity derivatives with a net fair value of $5.6 million, which is recorded in the following accounts with fair values measured as indicated (amounts in millions):

	Level 1		Level 2		Level 3		Total
Assets:
Other current	$	5.6	$	1.0	$	—	$	6.6
Other long-term		—		0.1		—		0.1
Total		5.6		1.1		—		6.7
Liabilities:
Other current		(0.4)		(0.6)		—		(1.0)
Other long-term		(0.1)		—		—		(0.1)
Total		(0.5)		(0.6)		—		(1.1)
Net Fair Value	$	5.1	$	0.5	$	—	$	5.6

Net Fair Value of Interest Rate Swaps

As of October 6, 2012, the fair value of the interest rate swaps was $(1.4) million, which is recorded in the following accounts with fair values measured as indicated (amounts in millions):

	Level 1		Level 2		Level 3		Total
Liabilities:
Other current		—		(1.4)		—		(1.4)
Other long-term		—		—		—		—
Total		—		(1.4)		—		(1.4)
Net Fair Value	$	—	$	(1.4)	$	—	$	(1.4)

Derivative Instruments Located on Consolidated Balance Sheet

The company has the following derivative instruments located on the condensed consolidated balance sheet, utilized for risk management purposes (amounts in thousands):

	Derivative Assets						Derivative Liabilities
	October 6, 2012			December 31, 2011			October 6, 2012			December 31, 2011
Derivatives designated as hedging instruments	Balance Sheet location	Fair Value		Balance Sheet location	Fair Value		Balance Sheet location	Fair Value		Balance Sheet location	Fair Value
Interest rate contracts	—		$      —	—		$    —	Other current liabilities		$1,436	Other current liabilities		$2,639
Interest rate contracts	—		—	—		—	Other long term liabilities		—	Other long term liabilities		765
Commodity contracts	Other current assets		6,693	Other current assets		—	Other current liabilities		970	Other current liabilities		5,439
Commodity contracts	Other long term assets		25	Other long term assets		61	Other long term liabilities		104	Other long term liabilities		278
Total			$  6,718			$    61			$2,510			$9,121

Derivative Instruments Located on Consolidated Statements Of Income

The company has the following derivative instruments located on the condensed consolidated statements of income, utilized for risk management purposes (amounts in thousands and net of tax):

Derivatives in Cash Flow Hedge Relationships	Amount of Gain or (Loss) Recognized in OCI on Derivative (Effective Portion) For the twelve weeks ended				Location of Gain or (Loss) Reclassified from AOCI into Income (Effective Portion)	Amount of Gain or (Loss) Reclassified from Accumulated OCI into Income (Effective Portion) For the twelve weeks ended
	October 6, 2012		October 8, 2011			October 6, 2012		October 8, 2011
Interest rate contracts	$	(23)	$	(69)	Interest (expense) income	$	(378)	$	(551)
Commodity contracts		62		(8,009)	Production costs(1)		(2,299)		2,605
Total	$	39	$	(8,078)		$	(2,677)	$	2,054
Derivatives in Cash Flow Hedge Relationships	Amount of Gain or (Loss) Recognized in OCI on Derivative (Effective Portion) For the forty weeks ended				Location of Gain or (Loss) Reclassified from AOCI into Income (Effective Portion)	Amount of Gain or (Loss) Reclassified from Accumulated OCI into Income (Effective Portion) For the forty weeks ended
	October 6, 2012		October 8, 2011			October 6, 2012		October 8, 2011
Interest rate contracts	$	(1,606)	$	(504)	Interest (expense) income	$	(1,379)	$	(1,923)
Commodity contracts		4,594		(16,574)	Production costs(1)		(15,358)		24,817
Total	$	2,988	$	(17,078)		$	(16,737)	$	22,894

Accumulated Other Comprehensive Income (Loss) Related to Derivative Transactions

The balance in accumulated other comprehensive income (loss) related to commodity price risk and interest rate risk derivative transactions that are closed or will expire over the next five years are as follows (amounts in millions and net of tax) at October 6, 2012:

	Commodity price risk     derivatives		Interest rate risk     derivatives		Totals
Closed contracts	$	3.7	$	(1.4)	$	2.3
Expiring in 2012		(0.3)		(0.4)		(0.7)
Expiring in 2013		3.7		(0.5)		3.2
Expiring in 2014		—		—		—
Expiring in 2015		—		—		—
Expiring in 2016		—		—		—
Total	$	7.1	$	(2.3)	$	4.8

Financial Contracts Hedging Commodity and Interest Rate Risk

As of October 6, 2012, the company had the following outstanding financial contracts that were entered to hedge commodity and interest rate risk (amounts in millions):

	Notional amount
Interest rate contracts	$	67.5
Wheat contracts		106.5
Soybean oil contracts		24.6
Natural gas contracts		10.2
Total	$	208.8