Tyson Foods 2011 Annual Report Download - page 60

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60
Assets and Liabilities Measured at Fair Value on a Recurring Basis
The fair value hierarchy requires the use of observable market data when available. In instances where the inputs used to measure fair
value fall into different levels of the fair value hierarchy, the fair value measurement has been determined based on the lowest level
input significant to the fair value measurement in its entirety. Our assessment of the significance of a particular item to the fair value
measurement in its entirety requires judgment, including the consideration of inputs specific to the asset or liability. The following
tables set forth by level within the fair value hierarchy our financial assets and liabilities accounted for at fair value on a recurring
basis according to the valuation techniques we used to determine their fair values (in millions):
October 1, 2011
Level 1
Level 2
Level 3
Netting (a)
Total
Assets:
Commodity Derivatives
$0
$24
$0
$(21)
$3
Foreign Exchange Forward Contracts
0
17
0
(2)
15
Available for Sale Securities:
Debt securities
0
34
83
0
117
Equity securities
7
0
0
0
7
Deferred Compensation Assets
28
122
0
0
150
Total Assets
$35
$197
$83
$(23)
$292
Liabilities:
Commodity Derivatives
$0
$162
$0
$(135)
$27
Foreign Exchange Forward Contracts
0
1
0
(1)
0
Interest Rate Swap
0
2
0
0
2
Total Liabilities
$0
$165
$0
$(136)
$29
October 2, 2010
Level 1
Level 2
Level 3
Netting (a)
Total
Assets:
Commodity Derivatives
$0
$30
$0
$(18)
$12
Foreign Exchange Forward Contracts
0
1
0
(1)
0
Available for Sale Securities:
Debt securities
0
42
73
0
115
Equity securities
15
3
0
0
18
Deferred Compensation Assets
0
86
0
0
86
Total Assets
$15
$162
$73
$(19)
$231
Liabilities:
Commodity Derivatives
$0
$50
$0
$(50)
$0
Foreign Exchange Forward Contracts
0
6
0
(1)
5
Interest Rate Swap
0
3
0
(1)
2
Total Liabilities
$0
$59
$0
$(52)
$7
(a) Our derivative assets and liabilities are presented in our Consolidated Balance Sheets on a net basis. We net derivative assets and
liabilities, including cash collateral, when a legally enforceable master netting arrangement exists between the counterparty to a
derivative contract and us. At October 1, 2011, and October 2, 2010, we had posted $113 million and $35 million of cash collateral
and held $0 and $3 million cash collateral with various counterparties, respectively.
The following table provides a reconciliation between the beginning and ending balance of debt securities measured at fair value on a
recurring basis in the table above that used significant unobservable inputs (Level 3) (in millions):
October 1, 2011
October 2, 2010
Balance at beginning of year
$73
$72
Total realized and unrealized gains (losses):
Included in earnings
0
1
Included in other comprehensive income (loss)
(1)
1
Purchases, issuances and settlements, net
11
(1)
Balance at end of year
$83
$73
Total gains (losses) for the periods included in earnings
attributable to the change in unrealized gains (losses) relating to
assets and liabilities still held at end of year
$0
$0