Derivative Financial Instruments

6 Months Ended

Jun. 26, 2011

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Financial Instruments

Derivative Financial Instruments:

Derivative financial instruments are only used within the Partnership's overall risk management program to manage certain interest rate and foreign currency risks from time to time. The Partnership does not use derivative financial instruments for trading purposes.

The Partnership has effectively converted a total of $800 million of its variable-rate debt to fixed rates through the use of several interest rate swap agreements entered into in September 2010, March 2011, and May 2011. Cash flows related to these interest rate swap agreements are included in interest expense over the term of the agreements. In September 2010, the Partnership entered into several forward-starting swap agreements ("September 2010 swaps") to effectively convert a total of $600 million of variable-rate debt to fixed rates beginning in October 2011. As a result of the February 2011 amendment to the 2010 Credit Agreement, the LIBOR floor on the term loan portion of its credit facilities decreased to 100 bps from 150 bps, causing a mismatch in critical terms of the September 2010 swaps and the underlying debt. Because of the mismatch of critical terms, the Partnership determined the September 2010 swaps, which were originally designated as cash flow hedges, were no longer highly effective, resulting in the de-designation of the swaps as of the end of February 2011. As a result of this ineffectiveness, gains of $7.2 million recorded in accumulated other comprehensive income (AOCI) through the date of de-designation are being amortized through December 2015, to a balance of $3.9 million to offset the change in fair value during the period of de-designation as discussed below. Of the $6.0 million remaining in AOCI as of December 31, 2012, $2.1 million has yet to be amortized.

On March 15, 2011, the Partnership entered into several additional forward-starting basis-rate swap agreements ("March 2011 swaps") that, when combined with the September 2010 swaps, effectively convert $600 million of variable-rate debt to fixed rates beginning in October 2011. The September 2010 swaps and the March 2011 swaps, which have been jointly designated as cash flow hedges, mature in December 2015 and fix LIBOR at a weighted average rate of 2.46%. For the period that the September 2010 swaps were de-designated, their fair value decreased by $3.3 million, the offset of which was recognized as a direct charge to the Partnership's earnings and recorded to “Net effect of swaps” on the consolidated statement of operations along with the regular amortization of “Other comprehensive income (loss)” balances related to these swaps. No other ineffectiveness related to these swaps was recorded in any period presented.

On May 2, 2011, the Partnership entered into four additional forward-starting interest-rate swap agreements ("May 2011 forward-starting swaps") that effectively convert another $200 million of variable-rate debt to fixed rates beginning in October 2011. These swaps, which were designated as cash flow hedges, mature in December 2015 and fix LIBOR at a weighted average rate of 2.54%.

The combined fair market value of the September 2010 swaps, the March 2011 swaps, and the May 2011 forward-starting swaps was a liability of $32.3 million and $32.4 million, at December 31, 2012 and December 31, 2011, respectively, and was recorded in “Derivative Liability” on the consolidated balance sheet.

Prior to the forward swaps taking effect in October 2011, the Partnership had effectively converted a total of $1.0 billion of its variable-rate debt to fixed rates through the use of several interest rate swap agreements. Cash flows related to these interest rate swap agreements are included in interest expense over the term of the agreements. These swap agreements expired in October 2011. The Partnership designated these interest rate swap agreements and hedging relationships as cash flow hedges. As a part of our quarterly regression analysis testing of the effectiveness of these cash flow swaps, the swaps were deemed to be ineffective as of October 2009. As a result of this ineffectiveness, losses recorded in AOCI were amortized through October 2011. The amount recorded in AOCI to be amortized was $91.8 million at the time of ineffectiveness, all of which was amortized into earnings as of December 31, 2011.

The Partnership had also effectively converted $268.7 million of term debt related to its wholly owned Canadian subsidiary from variable U.S. dollar denominated debt to fixed-rate Canadian dollar denominated debt through the use of cross-currency swap agreements. The Partnership originally designated these cross-currency swaps as foreign currency cash flow hedges. Cash flows related to these swap agreements, which expired in February 2012, were included in interest expense over the term of the agreement. The fair market value of the cross-currency swaps was a liability of $37.6 million at December 31, 2011, which was recorded in "Current derivative liability" on the consolidated balance sheet.As a result of paying down a portion of the underlying Canadian term debt with net proceeds from the sale of surplus land near Canada's Wonderland in August 2009, the notional amounts of the underlying debt and the cross currency swaps no longer matched. Because of the mismatch of the notional amounts, the Partnership determined the swaps were no longer highly effective, resulting in the de-designation of the swaps as of the end of August 2009. As a result of this de-designation, losses recorded in AOCI are being amortized through February 2012 (the original hedge period). The amount recorded in AOCI to be amortized was $15.1 million at the time of de-designation and was fully amortized in February 2012.

In May 2011, the Partnership entered into several foreign currency swap agreements to fix the exchange rate on approximately 50% of the termination payment associated with the cross-currency swap agreements due in February 2012 and in July 2011 the Partnership entered into another foreign currency swap agreement to fix the exchange rate on an additional 25% of the termination payment. The fair market value of these foreign currency swap agreements was a liability of $13.2 million at December 31, 2011, which was recorded in "Current derivative liability" on the consolidated balance sheet. The Partnership did not seek hedge accounting treatment on these foreign currency swaps, and as such, changes in fair value of the swaps flowed directly through earnings along with changes in fair value on the related, de-designated cross-currency swaps.

(In thousands):	Consolidated Balance Sheet Location	Fair Value as of			Fair Value as of
		December 31, 2012			December 31, 2011
Derivatives designated as hedging instruments:
Interest rate swaps	Derivative Liability	(32,260		)	(32,400		)
Total derivatives designated as hedging instruments:		(32,260		)	(32,400		)
Derivatives not designated as hedging instruments:
Foreign-currency swaps	Current derivative liability	—			(13,155		)
Cross-currency swaps	Current derivative liability	—			(37,617		)
Total derivatives not designated as hedging instruments:		—			(50,772		)
Net derivative liability		$	(32,260	)	$	(83,172	)

The following table presents our forward-starting fixed-rate swaps, which became effective October 1, 2011 and mature December 15, 2015, along with their notional amounts and their fixed interest rates which compare to 30-day LIBOR of 0.21% as of December 31, 2012.

($'s in thousands)	Forward-Starting Interest Rate Swaps
	Notional Amounts		LIBOR Rate
	$	200,000	2.40	%
	75,000		2.43	%
	50,000		2.42	%
	150,000		2.55	%
	50,000		2.42	%
	50,000		2.55	%
	25,000		2.43	%
	50,000		2.54	%
	30,000		2.54	%
	70,000		2.54	%
	50,000		2.54	%
Total $'s / Average Rate	$	800,000	2.48	%

The following table presents our fixed-rate swaps, which matured October 3, 2011, along with their notional amounts and their fixed interest rates, and the cross-currency swap which matured in February 2012, along with their notional amounts and their fixed interest rates:

($'s in thousands)	Interest Rate Swaps				Cross-currency Swaps
	Notional Amounts		LIBOR Rate		Notional Amounts		Implied Interest Rate
	$	200,000	5.64	%	$	255,000	7.31	%
	200,000		5.64	%	825		9.50	%
	200,000		5.64	%
	200,000		5.57	%
	100,000		5.60	%
	100,000		5.60	%
Total $'s / Average Rate	$	1,000,000	5.62	%	$	255,825	7.32	%

Effects of Derivative Instruments on Income and Other Comprehensive Income (Loss):

(In thousands):	Amount of Gain (Loss) recognized in OCI  on Derivatives (Effective Portion)					Amount and Location of Gain (Loss) Reclassified from Accumulated OCI into Income (Effective Portion)							Amount and Location of Gain (Loss) Recognized in Income on Derivative (Ineffective Portion)
	Twelve months ended 12/31/12		Twelve months ended 12/31/11				Twelve months ended 12/31/12			Twelve months ended 12/31/11				Twelve months ended 12/31/12		Twelve months ended 12/31/11
Interest rate swaps	$	140	$	(35,353	)	Interest Expense	$	(12,027	)	$	(3,023	)	Net effect of swaps	$	—	$	47,987

(In thousands):	Amount and Location of Gain (Loss) Recognized in Income on Derivative
Derivatives not designated as Cash Flow Hedging Relationships
		Twelve months ended 12/31/12			Twelve months ended 12/31/11
Interest rate swaps (1)	Net effect of swaps	$	—		$	(3,342	)
Cross-currency swaps (2)	Net effect of swaps	(4,999		)	16,098
Foreign currency swaps	Net effect of swaps	6,278			(13,665		)
		$	1,279		$	(909	)

(1) The September 2010 swaps became ineffective and were de-designated in February 2011.

(2) The cross currency swaps became ineffective and were de-designated in August 2009.

In addition to the $1.3 million of gain recognized in income on the ineffective portion of both designated and not designated derivatives noted in the table above, $16 thousand of expense representing the amortization of amounts in AOCI for the swaps and a $0.2 million foreign currency gain during the year related to the U.S. dollar denominated Canadian term loan was recorded during the fiscal year in the consolidated statements of operations. The net effect of these amounts resulted in a benefit to earnings for the year of $1.5 million recorded in “Net effect of swaps.”

For 2011, in addition to the $47.1 million of gain recognized in income on the ineffective portion of both designated and not designated derivatives noted in the table above, $33.6 million of expense representing the amortization of amounts in AOCI for the swaps and a $0.4 million foreign currency loss during the year related to the U.S. dollar denominated Canadian term loan was recorded during the fiscal year in the consolidated statements of operations. The net effect of these amounts resulted in a benefit to earnings for the year of $13.1 million recorded in “Net effect of swaps.”

The amounts reclassified from AOCI into income for the periods noted above are in large part the result of the Partnership's initial three-year requirement to swap at least 50% of its aggregate term debt to fixed rates under the terms of its 2010 Amended Credit Agreement.