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DR PEPPER SNAPPLE GROUP, INC.
NOTES TO AUDITED CONSOLIDATED FINANCIAL STATEMENTS - (Continued)
82
The following table presents the fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis
as of December 31, 2010 (in millions):
Commodity contracts
Interest rate contracts
Total assets
Commodity contracts
Interest rate contracts
Foreign exchange forward contracts
Total liabilities
Fair Value Measurements at Reporting Date
Using
Quoted Prices
in Active
Markets for
Identical
Assets
Level 1
$ —
—
$ —
$ —
—
—
$ —
Significant
Other
Observable
Inputs
Level 2
$ 13
8
$ 21
$ 3
7
4
$ 14
Significant
Unobservable
Inputs
Level 3
$ —
—
$ —
$ —
—
—
$ —
The fair values of commodity forward contracts, interest rate swap contracts and foreign currency forward contracts are
determined based on inputs that are readily available in public markets or can be derived from information available in publicly
quoted markets. The fair value of commodity forward contracts are valued using the market approach based on observable market
transactions at the reporting date. Interest rate swap contracts are valued using models based on readily observable market
parameters for all substantial terms of the Company's contracts and credit risk of the counterparties. The fair value of foreign
currency forward contracts are valued using quoted forward foreign exchange prices at the reporting date. Therefore, the Company
has categorized these contracts as Level 2.
As of December 31, 2011, and 2010, the Company did not have any assets or liabilities without observable market values
that would require a high level of judgment to determine fair value (Level 3).
There were no transfers of financial instruments between the three levels of fair value hierarchy during the year ended
December 31, 2011.
The estimated fair values of other financial liabilities not measured at fair value on a recurring basis as of December 31, 2011,
and 2010, are as follows (in millions):
Long term debt – 2011 Notes(1)
Long term debt – 2012 Notes(1)
Long term debt – 2013 Notes
Long term debt – 2016 Notes
Long term debt – 2018 Notes
Long term debt – 2019 Notes(1)
Long term debt – 2021 Notes(1)
Long term debt – 2038 Notes(1)
December 31, 2011
Carrying
Amount
$ —
452
250
500
724
250
249
276
Fair Value
$ —
457
267
521
882
249
250
353
December 31, 2010
Carrying
Amount
$ 404
455
250
—
724
—
—
248
Fair Value
$ 403
460
276
—
861
—
—
308
____________________________
(1) The carrying amount includes adjustments related to the change in the fair value of interest rate swaps designated as fair value
hedges on the 2011, 2012, 2019, 2021 and 2038 Notes. See Note 9 for further information regarding derivatives.
Capital leases have been excluded from the calculation of fair value for both 2011 and 2010.