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DERIVATIVES AND HEDGING (Tables) | 6 Months Ended
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May 01, 2022
Derivative [Line Items] |
Schedule of fair values of derivative instruments | The fair values of the Company’s derivative instruments designated as hedges are:
|  | Gross Fair Value
in thousands | Location on Consolidated Condensed Statements of Financial Position | May 1, 2022 |  | October 31, 2021
Derivatives Designated as Hedges: |  |  |  |
Commodity Contracts(1) | Other Current Assets | $ | 51,269 |  |  | $ | 21,798 |
Interest Rate Contracts | Interest and Dividends Payable | (18,723) |  |  | — |
(1) Amounts represent the gross fair value of commodity derivative assets and liabilities. The Company nets the derivative assets and liabilities for each of its hedging programs, including cash collateral, when a master netting arrangement exists between the Company and the counterparty to the derivative contract. The amount or timing of cash collateral balances may impact the classification of the commodity derivative in the Consolidated Condensed Statements of Financial Position. The gross asset position as of May 1, 2022 is offset by the obligation to return net cash collateral of $39.4 million contained within the master netting arrangement. The gross asset position as of October 31, 2021 is offset by the obligation to return net cash collateral of $10.8 million. See Note I - Fair Value Measurements for a discussion of these net amounts as reported in the Consolidated Condensed Statements of Financial Position.
Schedule of fair value hedge assets (liabilities) | The carrying amount of the Company's fair value hedged assets (liabilities) are:
|  | Carrying Amount of Hedged Assets/(Liabilities)
in thousands | Location on Consolidated Condensed Statements of Financial Position | May 1, 2022 |  | October 31, 2021
Fair Value Hedges: |  |  |  |
Commodity Contracts | Accounts Payable(1) | $ | 20,428 |  |  | $ | 3,432 |
Interest Rate Contracts | Long-term Debt - Less Current Maturities(2) | (431,277) |  |  | — |
(1) Represents the carrying amount of fair value hedged assets and liabilities which are offset by other assets included in master netting arrangements described above. (2) Represents the carrying amount of the hedged portion of the "2024 Notes". As of May 1, 2022, a cumulative basis adjustment of $18.7 million has been included in the carrying amount.
Schedule of gains or losses related to derivative instruments | The effect of AOCL for gains or losses (before tax) related to the Company's derivative instruments are:
| Gain/(Loss) Recognized in AOCL (1) | Gain/(Loss) Reclassified from AOCL into Earnings (1) | Location on Consolidated Statements of Operations
| Quarter Ended | Quarter Ended
in thousands | May 1, 2022 |  | April 25, 2021 | May 1, 2022 |  | April 25, 2021
Cash Flow Hedges: |  |  |  |  |  |  |
Commodity Contracts | $ | 50,331 |  |  | $ | 36,109 |  | $ | 11,269 |  |  | $ | 4,512 |  | Cost of Products Sold
Excluded Component (2) | (2,271) |  |  | — |  | — |  |  | — |  |
Interest Rate Contracts | — |  |  | 18,539 |  | 247 |  |  | — |  | Interest Expense
| Gain/(Loss) Recognized in AOCL (1) | Gain/(Loss) Reclassified from AOCL into Earnings (1) | Location on Consolidated Statements of Operations
| Six Months Ended | Six Months Ended
in thousands | May 1, 2022 |  | April 25, 2021 | May 1, 2022 |  | April 25, 2021
Cash Flow Hedges: |  |  |  |  |  |  |
Commodity Contracts | $ | 70,611 |  |  | $ | 52,661 |  | $ | 19,015 |  |  | $ | 4,462 |  | Cost of Products Sold
Excluded Component (2) | (3,444) |  |  | — |  | — |  |  | — |  |
Interest Rate Contracts | — |  |  | 18,539 |  | 494 |  |  | — |  | Interest Expense
(1) See Note H - Accumulated Other Comprehensive Loss for the after-tax impact of these gains or losses on Net Earnings. (2) Represents the time value of corn options excluded from the assessment of effectiveness for which the difference between changes in fair value and periodic amortization is recorded in AOCL. Consolidated Statements of Operations Impact: The effect on the Consolidated Statements of Operations for gains or losses (before tax) related to the Company's derivative instruments are:
| Consolidated Statements of Operations Impact
| Quarter Ended |  | Six Months Ended
in thousands | May 1, 2022 |  | April 25, 2021 |  | May 1, 2022 |  | April 25, 2021
Net Earnings Attributable to Hormel Foods Corporation | $ | 261,617 |  |  | $ | 227,901 |  |  | $ | 501,188 |  |  | $ | 450,184 |
Cash Flow Hedges - Commodity Contracts |  |  |  |  |  |  |
Gain (Loss) Reclassified from AOCL | 9,599 |  |  | 4,512 |  |  | 17,345 |  |  | 4,462 |
Amortization of Excluded Component from Options | (1,120) |  |  | — |  |  | (1,945) |  |  | — |
Gain (Loss) Reclassified from AOCL Due to Discontinuance of Cash Flow Hedges (1) | 1,620 |  |  | — |  |  | 1,620 |  |  | — |
Fair Value Hedges - Commodity Contracts |  |  |  |  |  |  |
Gain (Loss) on Commodity Futures (2) | (9,757) |  |  | (11,357) |  |  | (13,407) |  |  | (14,271) |
Total Gain (Loss) on Commodity Contracts (3) | $ | 342 |  |  | $ | (6,845) |  |  | $ | 3,613 |  |  | $ | (9,809) |
Cash Flow Hedges - Interest Rate Locks |  |  |  |  |  |  |
Amortization of Gain on Interest Rate Locks | 247 |  |  | — |  |  | 494 |  |  | — |
Fair Value Hedge - Interest Rate Swap |  |  |  |  |  |  |
Gain (Loss) on Interest Rate Swap | 699 |  |  | — |  |  | 1,491 |  |  | — |
Total Gain (Loss) on Interest Rate Contracts (4) | $ | 946 |  |  | $ | — |  |  | $ | 1,985 |  |  | $ | — |
Total Gain (Loss) Recognized in Earnings | $ | 1,288 |  |  | $ | (6,845) |  |  | $ | 5,598 |  |  | $ | (9,809) |
(1) During the second quarter of fiscal 2022, the Company discontinued hedge accounting on 0.6 million bushels of corn usage that was deemed no longer probable to occur. A gain of $1.7 million related to the discontinued hedges and an immaterial loss related to the excluded component from options was reclassified directly into earnings. (2) Amounts represent gains or losses on commodity contracts designated as fair value hedges that were closed during the quarter and six months ended May 1, 2022, which were offset by a corresponding gain or loss on the underlying hedged purchase commitment. Additional gains or losses related to changes in the fair value of open commodity contracts, along with the offsetting gain or loss on the hedged purchase commitment, are also marked-to-market through earnings with no impact on a net basis. (3) Total Gain (Loss) on Commodity Contracts is recognized in earnings through Cost of Products Sold. (4) Total Gain (Loss) on Interest Rate Contracts is recognized in earnings through Interest Expense.
Cash Flow Hedges |
Derivative [Line Items] |
Schedule of outstanding commodity futures contracts | The Company's outstanding contracts related to its commodity hedging programs include:
| Volume
Commodity Contracts | May 1, 2022 |  | October 31, 2021
Corn | 37.7 million bushels |  | 33.1 million bushels
Lean Hogs | 162.0 million pounds |  | 120.0 million pounds

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