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Derivative Financial Instruments (Tables)

6 Months Ended

Jul. 13, 2013

Net Fair Value of Commodity Price Risk

As of July 13, 2013, the company’s hedge portfolio contained commodity derivatives with a net fair value of $(13.2) 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			(11.2	)			(0.8	)			—				(12.0	)
Other long-term			(0.8	)			(0.4	)			—				(1.2	)
Total			(12.0	)			(1.2	)			—				(13.2	)
Net Fair Value		$	(12.0	)		$	(1.2	)		$	—			$	(13.2	)

Net Fair Value of Interest Rate Swaps

As of July 13, 2013, the fair value of the interest rate swaps was $(0.1) 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			—				(0.1	)			—				(0.1	)
Other long-term			—				(0.0	)			—				(0.0	)
Total			—				(0.1	)			—				(0.1	)
Net Fair Value		$	—			$	(0.1	)		$	—			$	(0.1	)

Derivative Instruments Located on Consolidated Balance Sheet

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

		Derivative Assets												Derivative Liabilities
		July 13, 2013						December 29, 2012						July 13, 2013						December 29, 2012
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		$	78			Other current liabilities		$	867
Interest rate contracts		—			—			—			—			Other long term liabilities			—			Other long term liabilities			—
Commodity contracts		Other current assets			—			Other current assets			—			Other current liabilities			11,981			Other current liabilities			3,047
Commodity contracts		Other long term assets			—			Other long term assets			9			Other long term liabilities			1,262			Other long term liabilities			146
Total				$	—					$	9					$	13,321					$	4,060

Derivative Instruments Located on the Condensed 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
		July 13, 2013				July 14, 2012						July 13, 2013				July 14, 2012
Interest rate contracts		$	29			$	(35	)		Interest (expense) income		$	(155	)		$	(411	)
Commodity contracts			(6,947	)			9,993			Production costs(1)			(6,732	)			(3,613	)
Total		$	(6,918	)		$	9,958					$	(6,887	)		$	(4,024	)
Derivatives in Cash Flow Hedge Relationships		Amount of Gain or (Loss) Recognized in OCI on Derivative (Effective Portion) For the twenty-eight 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 twenty-eight weeks ended
		July 13, 2013				July 14, 2012						July 13, 2013				July 14, 2012
Interest rate contracts		$	(267	)		$	(1,583	)		Interest (expense) income		$	(489	)		$	(1,001	)
Commodity contracts			(15,272	)			4,532			Production costs(1)			(7,405	)			(13,059	)
Total		$	(15,539	)		$	2,949					$	(7,894	)		$	(14,060	)

1. Included in materials, supplies, labor and other production costs (exclusive of depreciation and amortization shown separately).

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 July 13, 2013:

		Commodity price risk derivatives				Interest rate risk derivatives				Totals
Closed contracts		$	2.2			$	1.3			$	3.5
Expiring in 2013			5.8				—				5.8
Expiring in 2014			2.0				—				2.0
Expiring in 2015			0.1				—				0.1
Expiring in 2016			0.1				—				0.1
Expiring in 2017			—				—				—
Total		$	10.2			$	1.3			$	11.5

Financial Contracts Hedging Commodity and Interest Rate Risk

As of July 13, 2013, 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		$	9.6
Wheat contracts			148.7
Soybean oil contracts			21.2
Natural gas contracts			18.3
Total		$	197.8

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- Definition

Tabular disclosure of the effective portion of gains and losses on derivative instruments (and nonderivative instruments) designated and qualifying in cash flow hedges recorded in accumulated other comprehensive income (loss) during the term of the hedging relationship and reclassified into earnings during the current period.

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